PFE Options History — April 2014

In April 2014, PFE traded between $28.33 and $30.74. ATM implied volatility averaged 20.4%, placing in the 43.3% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 0.4% (HV 20d: 20.8%). 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 6 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2014-04-29: Highest Volume — 261,866 contracts
  • 2014-04-07: Largest IV drop — 11.7% change
  • 2014-04-30: Highest IV Rank — 69.7%
  • 2014-04-10: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.46$28.33$30.74$30.31$29.68
Max Pain$26.57$26.57$26.57$26.57$26.57
ATM IV20.4%17.6%24.2%19.9%21.5%
Expected Move5.9%5.8%6.0%5.8%6.0%
HV 20d20.8%17.5%25.5%17.5%25.5%
HV 60d20.3%19.0%21.5%19.0%20.9%
IV Rank43.3%28.1%69.7%39.7%69.7%
IV Percentile82.1%57.5%96.8%84.5%91.3%
Term Structure-0.1%-1.3%2.7%1.6%-0.2%
VWIV21.6%19.8%24.3%21.5%21.4%
Skew 25d2.4%0.5%3.6%1.7%2.5%
Skew 10d4.6%-2.2%11.6%3.2%5.3%
Call IV 25d19.6%16.6%24.1%19.4%20.8%
Put IV 25d22.0%19.7%24.7%21.1%23.3%
Bid-Ask Spread %9.575.4827.227.1527.22
Gamma HHI0.240.190.310.260.22
Net GEX33.9M8.1M74.9M63.6M45.8M
Net DEX-350.8M-904.6M164.8M-699.3M-600.7M
Net VEX-6.3M-7.8M-5.8M-6.1M-7.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.281.590.710.50
Total Volume80,05322,824261,866146,064125,258
Total OI1,231,696.7141,102,1111,396,7711,155,8821,396,771

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$30.31$26.5719.9%5.8%17.5%39.7%21.5%1.7%1.6%63.6M-699.3M-6.1M0.717.1585,22160,843778,542377,340
2014-04-02$30.64$26.5720.7%5.8%17.9%44.2%21.5%1.2%1.0%71.7M-834.2M-6.5M0.415.4864,36726,575805,359409,884
2014-04-03$30.74$26.5722.3%5.8%17.7%52.6%19.8%1.3%1.1%74.9M-904.6M-6.6M0.606.2545,23026,932826,782419,009
2014-04-04$30.51$26.5724.2%5.9%17.9%62.5%20.2%0.5%-0.5%60.5M-804.9M-6.7M0.397.3845,21117,543844,182433,116
2014-04-07$29.60$26.5721.4%5.8%20.8%47.7%22.2%1.3%-1.3%37.8M-331.0M-6.1M0.476.3884,02839,184807,367421,214
2014-04-08$29.29$26.5720.7%6.0%21.0%44.1%22.8%2.3%-0.5%23.5M-194.3M-6.1M1.597.7724,31138,635824,306442,393
2014-04-09$29.63$26.5720.8%5.8%21.1%44.5%21.0%1.6%-0.9%31.5M-291.1M-6.3M0.486.6918,9879,129827,139466,631
2014-04-10$29.04$26.5721.6%6.0%20.1%48.9%22.3%2.4%-0.8%14.2M-81.4M-6.1M0.568.2039,66722,249829,172466,745
2014-04-11$28.33$26.5722.0%6.0%21.7%50.8%21.6%3.6%0.3%9.2M164.8M-5.8M0.517.5656,20528,512838,673478,907
2014-04-14$28.34$26.5722.0%6.0%21.5%50.7%22.7%3.0%-0.2%8.6M90.1M-5.8M0.966.4039,37237,796795,889453,300
2014-04-15$28.36$26.5721.1%6.0%20.4%46.1%22.2%3.0%-0.1%8.1M86.8M-5.9M0.448.1144,50219,424812,845465,907
2014-04-16$28.55$26.5719.8%5.8%20.7%39.2%21.4%2.7%-0.1%9.4M-14.7M-6.0M0.547.5916,8529,153821,792459,016
2014-04-17$28.70$26.5719.0%5.8%20.6%35.0%22.3%2.4%-0.3%12.7M-59.4M-6.0M0.407.5423,4709,446827,007461,616
2014-04-21$29.28$26.5718.7%5.8%21.8%33.4%21.3%2.9%-0.5%28.4M-293.3M-6.3M0.318.9755,92617,077679,675422,436
2014-04-22$29.41$26.5718.0%5.8%20.7%29.9%21.2%2.8%-0.4%35.1M-361.8M-6.4M0.747.3521,11115,562705,638430,849
2014-04-23$29.34$26.5717.6%5.8%20.2%28.1%20.9%3.6%-0.6%32.5M-313.2M-6.3M0.647.5116,73610,770702,785437,236
2014-04-24$29.14$26.5718.5%5.8%19.7%32.6%21.4%3.3%-0.8%27.3M-239.4M-6.3M0.847.5112,55710,525707,268444,611
2014-04-25$29.17$26.5718.1%5.8%19.8%30.4%20.5%3.2%-0.8%26.6M-245.7M-6.3M0.468.1715,6727,152710,765449,942
2014-04-28$30.40$26.5719.3%5.9%24.9%36.5%24.3%2.8%0.0%46.5M-739.4M-6.3M0.2915.52137,75640,301699,498443,205
2014-04-29$30.13$26.5720.4%6.0%25.0%42.7%21.4%2.3%2.7%44.8M-699.3M-7.3M0.2826.14204,69557,171781,986458,833
2014-04-30$29.68$26.5721.5%6.0%25.5%69.7%21.4%2.5%-0.2%45.8M-600.7M-7.8M0.5027.2283,45241,806909,219487,552