PFE Options History — February 2014

In February 2014, PFE traded between $29.03 and $30.58. ATM implied volatility averaged 17.4%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 6.0% (HV 20d: 23.4%). Max pain ranged from $26.57 to $26.57. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.37.

Notable Days

  • 2014-02-03: Highest Volume — 244,086 contracts
  • 2014-02-27: Largest IV spike — 11.1% change
  • 2014-02-03: Highest IV Rank — 47.9%
  • 2014-02-05: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.96$29.03$30.58$29.03$30.46
Max Pain$26.57$26.57$26.57$26.57$26.57
ATM IV17.4%15.7%20.7%20.7%17.2%
Expected Move5.8%5.6%6.3%6.1%5.7%
HV 20d23.4%18.7%25.2%20.5%18.7%
HV 60d17.7%16.1%18.1%16.1%18.1%
IV Rank31.9%23.8%47.9%47.9%31.1%
IV Percentile63.4%41.7%93.3%93.3%61.9%
Term Structure0.5%-0.5%2.6%-0.5%2.6%
VWIV21.1%17.1%24.5%22.0%19.7%
Skew 25d1.4%0.7%2.3%2.2%1.0%
Skew 10d3.6%2.1%6.1%4.4%2.8%
Call IV 25d17.3%15.5%20.6%20.6%16.3%
Put IV 25d18.7%16.6%22.8%22.8%17.3%
Bid-Ask Spread %11.005.6430.0130.017.02
Gamma HHI0.230.200.300.220.24
Net GEX57.4M30.7M71.3M32.0M64.4M
Net DEX-692.4M-915.5M-367.3M-367.8M-815.5M
Net VEX-5.2M-5.4M-4.9M-4.9M-4.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.150.590.430.19
Total Volume60,180.31612,235244,086244,08664,531
Total OI1,006,156.053909,6491,059,895909,6491,002,925

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-02-03$29.03$26.5720.7%6.1%20.5%47.9%22.0%2.2%-0.5%32.0M-367.8M-4.9M0.4330.01170,14373,943560,193349,456
2014-02-04$29.83$26.5719.9%5.9%22.6%44.2%21.5%1.6%0.0%46.7M-649.9M-5.4M0.2215.7689,40219,456629,454376,726
2014-02-05$29.08$26.5720.4%6.3%24.4%46.5%23.1%2.3%-0.5%30.7M-367.3M-5.4M0.5916.4936,56421,726598,634380,452
2014-02-06$29.26$26.5719.0%6.1%24.4%39.9%21.6%1.7%-0.1%38.6M-433.7M-5.3M0.4916.2523,51911,635613,201379,090
2014-02-07$29.62$26.5718.1%5.9%24.8%35.4%17.1%1.3%-0.1%46.0M-548.3M-5.4M0.5117.2526,59013,559619,643383,684
2014-02-10$29.86$26.5717.7%5.9%24.7%33.6%21.0%1.2%0.5%53.7M-653.8M-5.4M0.4412.9416,2297,061622,700381,413
2014-02-11$30.25$26.5717.2%5.8%25.0%31.1%22.7%1.3%-0.1%59.3M-821.3M-5.2M0.5212.7535,32418,427625,236384,694
2014-02-12$29.99$26.5716.7%5.8%24.8%28.6%20.8%1.5%-0.2%60.3M-718.1M-5.2M0.459.5118,2568,273632,192391,229
2014-02-13$30.08$26.5716.6%5.8%24.7%27.9%19.8%1.5%-0.0%63.4M-760.2M-5.3M0.518.688,1284,107636,690395,194
2014-02-14$30.30$26.5716.0%5.8%24.8%25.3%22.2%1.2%0.1%69.8M-845.7M-5.2M0.247.9235,6408,592639,594396,191
2014-02-18$30.25$26.5716.6%5.7%24.8%28.0%24.5%1.0%0.2%71.3M-832.0M-5.1M0.227.7127,3705,985639,856385,328
2014-02-19$29.87$26.5717.0%5.7%25.2%30.2%22.6%2.0%-0.2%64.3M-668.2M-5.1M0.358.2928,2869,850654,666387,087
2014-02-20$29.93$26.5716.4%5.6%25.2%27.0%20.4%1.1%0.4%65.9M-721.8M-5.0M0.366.7534,26812,405651,960384,060
2014-02-21$29.85$26.5715.9%5.6%25.1%24.8%20.2%1.5%-0.2%57.4M-683.6M-5.0M0.596.9623,44513,776668,052391,843
2014-02-24$30.35$26.5715.7%5.6%22.8%23.8%20.1%1.4%1.8%61.7M-775.8M-5.0M0.177.4150,2588,606608,626349,863
2014-02-25$30.26$26.5715.8%5.6%22.0%24.0%22.2%0.7%1.8%65.3M-758.4M-5.1M0.155.7942,4776,374628,695354,992
2014-02-26$30.35$26.5715.7%5.6%20.5%23.8%19.8%0.8%1.8%69.8M-818.6M-5.1M0.365.6418,8176,789641,618358,562
2014-02-27$30.58$26.5717.5%5.7%20.0%32.3%19.8%0.9%1.5%70.4M-915.5M-5.2M0.155.95125,07218,543650,534362,632
2014-02-28$30.46$26.5717.2%5.7%18.7%31.1%19.7%1.0%2.6%64.4M-815.5M-4.9M0.197.0254,44510,086631,079371,846