PFE Options History — November 2013

In November 2013, PFE traded between $29.33 and $30.55. ATM implied volatility averaged 13.2%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 1.2% (HV 20d: 14.4%). Max pain ranged from $28.46 to $30.36. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.67.

Notable Days

  • 2013-11-05: Highest Volume — 346,067 contracts
  • 2013-11-29: Largest IV spike — 7.3% change
  • 2013-11-11: Highest IV Rank — 14.8%
  • 2013-11-29: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.02$29.33$30.55$29.57$30.10
Max Pain$29.26$28.46$30.36$28.94$28.46
ATM IV13.2%12.3%13.9%13.4%13.2%
Expected Move5.2%3.7%6.0%3.8%6.0%
HV 20d14.4%12.1%18.1%18.1%12.1%
HV 60d14.1%13.8%14.3%14.2%13.9%
IV Rank11.4%7.0%14.8%12.4%11.4%
IV Percentile9.7%0.8%19.4%10.3%9.9%
Term Structure0.6%-0.1%1.5%0.5%0.5%
VWIV18.7%13.0%22.5%13.0%22.3%
Skew 25d1.7%1.4%2.1%2.1%1.9%
Skew 10d4.3%2.7%7.0%3.9%3.8%
Call IV 25d12.8%11.8%13.3%12.6%12.2%
Put IV 25d14.5%13.6%15.3%14.8%14.1%
Bid-Ask Spread %7.544.3139.185.174.32
Gamma HHI0.180.150.230.230.16
Net GEX36.6M28.9M44.2M43.8M34.9M
Net DEX-592.1M-862.7M-329.3M-862.7M-505.5M
Net VEX-4.4M-4.6M-4.1M-4.5M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.031.240.250.57
Total Volume45,015.412,868346,06743,26212,868
Total OI1,201,337.41,146,1041,344,7011,344,7011,223,071

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$29.57$28.9413.4%3.8%18.1%12.4%13.0%2.1%0.5%43.8M-862.7M-4.5M0.255.1734,6978,565681,146663,555
2013-11-04$29.66$29.8912.9%3.7%17.0%10.2%13.2%1.9%1.0%44.2M-836.1M-4.6M0.445.7328,71212,645665,192641,754
2013-11-05$29.64$29.4113.4%3.9%15.8%12.6%13.2%1.9%0.2%44.0M-804.9M-4.6M0.035.10335,92610,141668,969647,611
2013-11-06$29.38$29.4113.4%3.8%16.5%12.5%13.4%1.9%0.1%28.9M-346.3M-4.4M0.805.3116,37513,034511,736653,612
2013-11-07$29.33$29.4113.3%3.8%16.0%12.1%13.2%1.6%0.4%30.8M-329.3M-4.3M0.756.5211,8648,944515,283657,691
2013-11-08$29.72$29.4112.9%3.7%16.2%10.3%13.5%1.5%0.5%35.9M-472.2M-4.1M0.266.4028,4987,308517,520657,846
2013-11-11$29.64$0.0013.9%5.6%15.0%14.8%20.1%1.4%0.0%36.2M-454.3M-4.4M1.2418.155,8547,242529,389650,198
2013-11-12$29.77$28.4613.4%5.9%14.5%12.8%21.4%1.8%0.7%36.7M-501.1M-4.4M0.876.5017,39515,194530,949651,152
2013-11-13$30.24$30.3613.0%5.9%13.7%10.6%19.8%1.4%0.4%39.5M-657.6M-4.3M0.285.0324,9756,955536,343658,438
2013-11-14$30.36$30.3613.7%5.9%12.9%14.2%21.3%1.6%-0.1%38.9M-646.5M-4.2M0.335.2534,76111,358531,179656,703
2013-11-15$30.55$30.3613.3%5.6%12.8%11.9%19.1%1.6%0.1%37.3M-702.8M-4.3M0.2539.1832,9028,249538,314660,632
2013-11-18$30.37$30.3613.4%5.9%13.0%12.7%21.0%1.7%1.0%37.6M-643.3M-4.2M1.094.947,1757,811525,602620,502
2013-11-19$30.04$30.3613.4%5.9%13.6%12.6%21.1%2.1%1.3%34.9M-512.0M-4.4M0.944.7516,49515,472527,289625,885
2013-11-20$30.28$28.4613.1%5.9%13.7%11.2%22.5%1.6%1.3%35.6M-590.7M-4.4M0.884.898,9907,943533,148633,624
2013-11-21$30.33$28.4613.2%5.9%13.7%11.5%22.5%1.5%0.3%37.0M-592.0M-4.3M0.785.1110,9848,608532,827636,668
2013-11-22$30.47$28.4612.9%5.9%13.7%10.3%20.5%1.5%0.1%34.3M-633.8M-4.3M0.904.8910,8199,687535,679641,244
2013-11-25$30.49$28.4612.9%5.8%13.7%10.2%21.6%1.5%1.3%34.5M-635.7M-4.3M0.744.6818,80113,888531,541640,750
2013-11-26$30.26$28.4612.3%5.9%13.0%7.3%20.7%1.5%1.5%34.6M-562.2M-4.3M0.754.3120,98415,698537,836648,299
2013-11-27$30.25$28.4612.3%5.9%12.3%7.0%21.6%1.8%0.3%32.5M-553.2M-4.4M1.194.5314,83317,658547,591659,980
2013-11-29$30.10$28.4613.2%6.0%12.1%11.4%22.3%1.9%0.5%34.9M-505.5M-4.4M0.574.328,2124,656552,107670,964