PFE Options History — December 2013

In December 2013, PFE traded between $28.60 and $30.20. ATM implied volatility averaged 15.1%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 0.9% (HV 20d: 14.1%). Max pain ranged from $26.57 to $28.46. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2013-12-03: Highest Volume — 75,032 contracts
  • 2013-12-11: Largest IV spike — 11.7% change
  • 2013-12-17: Highest IV Rank — 30.3%
  • 2013-12-11: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.21$28.60$30.20$30.20$29.06
Max Pain$27.65$26.57$28.46$28.46$26.57
ATM IV15.1%13.1%17.1%13.1%16.7%
Expected Move6.0%5.9%6.2%6.0%6.0%
HV 20d14.1%10.9%15.9%10.9%15.8%
HV 60d15.0%13.9%15.8%13.9%15.4%
IV Rank20.7%11.0%30.3%11.0%28.5%
IV Percentile41.4%8.3%67.1%8.3%64.3%
Term Structure0.9%-1.5%2.1%1.1%-1.5%
VWIV22.1%20.1%23.7%22.9%22.4%
Skew 25d2.3%1.6%3.2%1.6%2.5%
Skew 10d5.3%3.4%8.8%3.8%5.3%
Call IV 25d14.4%12.9%16.4%12.9%15.9%
Put IV 25d16.7%14.6%19.2%14.6%18.5%
Bid-Ask Spread %14.133.7718.533.7714.04
Gamma HHI0.220.160.290.160.23
Net GEX33.9M22.2M69.1M37.3M32.4M
Net DEX-306.3M-540.2M-90.1M-540.2M-392.2M
Net VEX-4.5M-4.8M-4.3M-4.3M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.211.200.481.01
Total Volume35,718.85714,78275,03217,88123,355
Total OI1,240,264.8571,134,8661,338,7031,209,7931,155,034

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$30.20$28.4613.1%6.0%10.9%11.0%22.9%1.6%1.1%37.3M-540.2M-4.3M0.483.7712,0705,811546,424663,369
2013-12-03$29.62$28.4614.4%5.9%13.1%17.4%21.1%2.4%1.0%32.1M-347.9M-4.4M1.2010.9134,06640,966549,995665,253
2013-12-04$29.67$28.4614.2%6.0%13.1%16.3%23.4%2.2%1.3%30.0M-321.9M-4.4M0.8714.0811,80910,327562,021686,531
2013-12-05$29.65$28.4614.7%6.0%12.7%18.8%23.0%2.1%0.8%33.6M-339.5M-4.4M0.2513.3712,8503,275563,403680,428
2013-12-06$29.92$28.4613.4%6.0%13.0%12.6%21.8%1.8%0.9%69.1M-443.6M-4.4M0.2116.9632,7716,778567,981681,549
2013-12-09$29.96$28.4613.8%6.0%12.2%14.7%23.7%1.9%0.4%34.4M-483.3M-4.3M1.0313.2125,57326,250558,868670,367
2013-12-10$29.73$28.4613.5%5.9%12.5%13.3%23.3%1.7%1.5%34.0M-438.4M-4.5M0.9212.0422,77220,893578,767690,774
2013-12-11$29.08$28.4615.1%6.2%14.7%21.0%21.2%1.9%0.0%25.5M-202.4M-4.6M0.9012.0820,49718,395582,421694,259
2013-12-12$28.70$28.4616.5%6.1%13.9%27.4%20.3%2.1%0.1%22.2M-90.1M-4.5M0.5513.9220,70311,460589,304697,485
2013-12-13$28.70$28.4616.5%6.1%13.7%27.7%21.2%2.6%-0.1%23.0M-96.5M-4.5M0.2913.1336,57010,486596,537700,599
2013-12-16$28.70$28.4617.0%6.1%13.3%30.2%23.7%2.1%1.6%27.9M-138.8M-4.5M0.9715.8020,82520,243601,846699,928
2013-12-17$28.60$28.4617.1%6.1%13.3%30.3%21.8%2.8%1.4%25.6M-93.2M-4.5M0.7814.6312,99910,125609,295704,649
2013-12-18$29.19$26.5715.1%6.1%15.3%20.9%21.6%3.2%1.9%39.2M-295.8M-4.6M1.0116.3616,73816,961616,126707,162
2013-12-19$29.14$26.5715.3%6.0%14.9%21.6%21.5%2.6%0.9%39.6M-298.4M-4.4M0.2615.6129,7657,611614,381709,694
2013-12-20$28.70$26.5716.3%6.1%15.6%26.5%23.2%3.2%0.2%30.2M-193.9M-4.8M0.5418.5343,49623,338632,824705,879
2013-12-23$28.80$26.5714.5%6.0%15.5%18.1%21.5%2.5%1.9%34.5M-288.1M-4.6M0.4613.8840,05118,470573,667561,199
2013-12-24$28.74$26.5714.2%6.0%15.4%16.5%23.6%2.4%2.1%38.0M-281.2M-4.7M0.7016.788,6966,086590,960566,913
2013-12-26$28.98$26.5714.5%6.0%15.8%18.0%20.1%2.1%1.7%42.4M-358.9M-4.6M0.7516.949,9477,422589,849570,571
2013-12-27$29.07$26.5714.6%6.0%15.9%18.4%22.9%2.3%2.1%30.3M-384.8M-4.7M0.4615.2112,5485,752590,809574,004
2013-12-30$29.12$26.5715.9%5.9%15.9%24.6%20.3%2.4%-0.9%31.5M-404.1M-4.6M0.5415.4520,41310,933579,955564,482
2013-12-31$29.06$26.5716.7%6.0%15.8%28.5%22.4%2.5%-1.5%32.4M-392.2M-4.7M1.0114.0411,61711,738587,571567,463