PFE Options History — September 2013

In September 2013, PFE traded between $26.57 and $27.55. ATM implied volatility averaged 14.8%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 3.3% (HV 20d: 11.5%). Max pain ranged from $24.67 to $27.51. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.59.

Notable Days

  • 2013-09-17: Highest Volume — 121,139 contracts
  • 2013-09-30: Largest IV spike — 19.7% change
  • 2013-09-03: Highest IV Rank — 23.4%
  • 2013-09-30: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.11$26.57$27.55$26.57$27.26
Max Pain$26.67$24.67$27.51$26.09$26.09
ATM IV14.8%12.4%17.7%17.7%17.7%
Expected Move4.2%3.5%5.2%5.1%5.2%
HV 20d11.5%10.2%12.2%10.2%12.1%
HV 60d12.5%11.6%13.7%13.5%11.7%
IV Rank13.5%5.5%23.4%23.4%23.3%
IV Percentile33.4%2.8%69.4%69.4%69.4%
Term Structure1.2%-0.9%4.2%-0.1%-0.8%
VWIV15.1%11.8%18.7%17.5%18.7%
Skew 25d2.6%2.0%3.4%3.1%3.0%
Skew 10d5.9%4.9%8.8%6.4%6.2%
Call IV 25d14.1%12.1%16.9%16.6%16.9%
Put IV 25d16.7%14.2%19.9%19.7%19.9%
Bid-Ask Spread %5.122.917.255.736.76
Gamma HHI0.220.170.580.170.21
Net GEX33.8M14.5M114.7M14.5M23.4M
Net DEX-117.6M-329.2M92.2M92.2M-178.4M
Net VEX-4.7M-4.9M-4.5M-4.8M-4.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.241.130.530.59
Total Volume36,469.5516,080121,13921,75631,102
Total OI1,301,862.251,161,9131,393,6841,335,1921,201,431

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$26.57$26.0917.7%5.1%10.2%23.4%17.5%3.1%-0.1%14.5M92.2M-4.8M0.535.7314,1877,569691,085644,107
2013-09-04$26.92$26.5717.2%4.9%11.2%21.6%18.2%2.6%0.3%26.6M-41.4M-4.9M0.264.9324,6966,347694,959645,625
2013-09-05$26.82$26.5716.7%4.8%11.2%20.0%17.2%2.9%0.7%24.8M4.3M-4.8M1.014.978,3088,417704,011647,005
2013-09-06$26.83$26.5716.2%4.6%11.2%18.1%16.9%3.0%0.5%19.5M8.6M-4.8M0.254.9757,57314,460704,143649,312
2013-09-09$26.85$26.0916.3%4.7%11.1%18.4%16.4%2.5%0.5%21.8M4.5M-4.6M0.884.979,8878,672687,194646,803
2013-09-10$26.99$26.5715.4%4.4%11.4%15.5%16.2%2.4%0.9%25.9M-54.0M-4.6M1.134.8010,60912,008697,886650,390
2013-09-11$27.20$26.0915.2%4.4%11.7%14.7%15.5%2.2%-0.5%30.8M-129.8M-4.6M0.605.1510,0216,059680,475654,697
2013-09-12$26.86$0.0014.9%4.2%12.2%14.0%16.8%2.7%0.7%23.5M1.7M-4.5M0.753.0713,0189,752682,726654,818
2013-09-13$27.05$24.6714.8%4.3%12.2%13.5%15.8%2.7%-0.9%34.8M-78.3M-4.5M0.255.8931,1917,948685,196655,116
2013-09-16$27.24$26.5714.4%4.0%11.2%12.0%15.2%3.0%2.6%36.5M-132.4M-4.5M0.554.2311,5826,355670,027647,636
2013-09-17$27.17$26.5713.9%3.9%11.2%10.4%14.3%3.4%2.3%35.6M-83.6M-4.5M0.353.4189,68231,457673,207648,831
2013-09-18$27.55$26.5713.3%3.8%12.2%8.5%13.6%2.4%2.9%46.3M-329.2M-4.6M0.243.9042,12310,077698,140674,306
2013-09-19$27.36$26.5712.7%3.6%11.9%6.4%12.9%2.0%0.7%52.3M-243.4M-4.7M1.002.9715,85215,780713,933669,496
2013-09-20$27.49$27.5112.4%3.5%11.8%5.5%12.6%2.1%0.7%114.7M-294.9M-4.7M0.422.9136,30115,395716,221677,463
2013-09-23$27.32$27.5112.4%3.6%11.9%5.5%13.0%2.4%2.8%28.4M-209.1M-4.7M0.747.2521,76716,020591,936569,977
2013-09-24$27.24$27.5113.1%3.8%11.2%7.7%12.5%2.5%2.0%29.3M-183.9M-4.8M0.766.9615,50111,855608,054578,312
2013-09-25$27.03$27.5113.3%3.8%11.6%8.5%12.7%2.9%4.2%28.8M-116.1M-4.8M0.576.7614,4838,278615,367581,602
2013-09-26$27.06$27.5113.9%3.8%11.3%10.3%11.8%2.4%2.5%31.4M-131.1M-4.7M0.525.5112,9726,693621,923586,247
2013-09-27$27.40$27.5114.8%4.0%12.0%13.5%14.5%2.1%2.4%26.8M-256.6M-4.9M0.337.2241,53713,857628,559589,029
2013-09-30$27.26$26.0917.7%5.2%12.1%23.3%18.7%3.0%-0.8%23.4M-178.4M-4.8M0.596.7619,59211,510615,433585,998