PFE Options History — January 2014

In January 2014, PFE traded between $28.14 and $29.67. ATM implied volatility averaged 17.4%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.6% (HV 20d: 13.9%). Max pain ranged from $26.57 to $26.57. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2014-01-28: Highest Volume — 87,569 contracts
  • 2014-01-24: Largest IV spike — 14.6% change
  • 2014-01-29: Highest IV Rank — 42.3%
  • 2014-01-06: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.13$28.14$29.67$28.90$28.84
Max Pain$26.57$26.57$26.57$26.57$26.57
ATM IV17.4%15.2%19.5%17.0%18.8%
Expected Move5.9%5.7%6.1%6.0%6.1%
HV 20d13.9%8.5%20.3%14.5%20.3%
HV 60d14.3%13.2%16.0%15.2%16.0%
IV Rank32.0%21.2%42.3%30.2%38.6%
IV Percentile69.0%41.3%88.5%67.1%83.3%
Term Structure-0.9%-2.4%0.5%0.2%0.0%
VWIV21.1%18.5%22.9%22.2%21.2%
Skew 25d2.6%1.9%3.3%2.5%2.5%
Skew 10d5.8%4.4%8.0%5.7%5.0%
Call IV 25d16.4%14.0%19.0%16.2%18.3%
Put IV 25d19.0%16.3%21.6%18.7%20.8%
Bid-Ask Spread %17.4912.3539.8012.5617.94
Gamma HHI0.250.180.400.260.20
Net GEX34.0M14.1M52.8M32.2M32.1M
Net DEX-399.8M-610.9M-79.6M-351.0M-272.2M
Net VEX-4.5M-4.8M-4.3M-4.6M-4.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.231.100.990.69
Total Volume41,335.42921,70587,56924,27858,638
Total OI1,034,624.381757,7361,225,3071,167,610917,654

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$28.90$26.5717.0%6.0%14.5%30.2%22.2%2.5%0.2%32.2M-351.0M-4.6M0.9912.5612,18012,098592,848574,762
2014-01-03$28.96$26.5717.0%6.1%14.5%30.0%21.1%2.4%0.4%33.9M-368.4M-4.6M0.3613.2419,7427,113597,684578,273
2014-01-06$28.98$26.5717.4%6.1%14.6%32.2%20.4%3.3%-1.7%35.1M-379.1M-4.6M1.1012.3511,33612,448597,230574,810
2014-01-07$29.17$26.5717.3%6.1%14.3%31.3%20.4%3.1%-2.1%38.3M-451.9M-4.5M0.5915.4420,78312,215599,240578,586
2014-01-08$29.36$26.5717.2%6.0%14.6%31.1%21.5%2.7%-1.2%35.1M-493.8M-4.6M0.4216.7916,4826,950604,988585,322
2014-01-09$29.35$26.5717.3%6.1%14.4%31.7%22.9%2.6%-1.3%40.0M-529.2M-4.5M0.4515.1815,0216,684609,641584,861
2014-01-10$29.12$26.5717.6%6.0%12.2%33.2%20.6%2.2%-2.3%40.2M-452.6M-4.5M0.5914.6216,3839,639616,575584,808
2014-01-13$28.98$26.5718.0%5.9%11.4%34.9%20.5%3.0%-2.4%39.3M-384.7M-4.5M0.3214.8332,04810,222612,085584,274
2014-01-14$29.41$26.5717.4%6.0%12.5%32.1%20.8%2.5%-1.5%44.2M-561.8M-4.5M0.6613.9015,85510,470621,735589,214
2014-01-15$29.58$26.5717.5%5.9%12.6%32.5%22.2%2.8%-1.4%39.9M-610.9M-4.5M0.3220.8421,6967,035615,985591,087
2014-01-16$29.57$26.5716.8%5.8%12.5%29.1%20.3%2.8%-1.0%40.3M-604.9M-4.4M0.2315.7635,8298,186616,984593,261
2014-01-17$29.50$26.5716.3%5.7%10.3%26.5%20.5%2.6%-1.2%52.8M-581.1M-4.5M0.5317.5827,20514,307628,521596,786
2014-01-21$29.63$26.5715.8%5.7%10.3%24.0%19.5%2.8%-0.1%29.6M-421.0M-4.5M0.7614.4821,51016,289457,464300,272
2014-01-22$29.67$26.5715.2%5.7%8.5%21.2%21.0%2.3%-0.1%32.6M-443.6M-4.5M0.2814.6818,7705,303468,263305,563
2014-01-23$29.42$26.5715.9%5.7%9.1%24.9%22.1%2.9%-0.2%32.2M-392.5M-4.5M0.9318.4812,38111,477480,319307,378
2014-01-24$28.55$26.5718.3%5.9%14.4%36.2%21.2%2.1%-0.8%19.4M-172.6M-4.4M0.6919.5327,90819,388485,890311,713
2014-01-27$28.14$26.5719.2%5.8%14.8%40.9%22.8%3.0%-1.2%14.1M-79.6M-4.3M0.5920.5949,69829,275485,636311,667
2014-01-28$28.86$26.5717.4%5.9%17.5%32.1%22.1%2.6%0.5%26.3M-263.7M-4.5M0.4622.3159,97327,596500,091324,105
2014-01-29$28.57$26.5719.5%6.0%17.9%42.3%18.5%2.6%-0.7%21.5M-175.7M-4.6M0.6439.8042,36727,010519,432337,608
2014-01-30$29.24$26.5718.6%6.0%19.8%37.6%21.6%1.9%0.1%35.5M-406.0M-4.8M0.2516.5062,61615,918536,747347,750
2014-01-31$28.84$26.5718.8%6.1%20.3%38.6%21.2%2.5%0.0%32.1M-272.2M-4.8M0.6917.9434,72123,917566,053351,601