PFE Options History — May 2014

In May 2014, PFE traded between $27.53 and $29.55. ATM implied volatility averaged 19.5%, placing in the 54.5% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 2.3% (HV 20d: 21.8%). Max pain ranged from $25.62 to $28.46. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2014-05-02: Highest Volume — 199,723 contracts
  • 2014-05-07: Largest IV spike — 8.4% change
  • 2014-05-07: Highest IV Rank — 86.1%
  • 2014-05-02: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.00$27.53$29.55$29.55$28.11
Max Pain$27.04$25.62$28.46$26.57$28.46
ATM IV19.5%15.9%23.6%23.4%15.9%
Expected Move5.6%5.3%6.2%6.0%5.3%
HV 20d21.8%14.2%26.6%25.1%14.2%
HV 60d20.0%19.3%20.5%20.1%19.3%
IV Rank54.5%27.9%86.1%84.5%27.9%
IV Percentile69.5%35.3%96.0%96.0%35.3%
Term Structure-0.2%-0.7%0.4%-0.6%-0.2%
VWIV20.4%18.8%22.6%22.6%19.0%
Skew 25d0.9%-0.3%2.1%1.2%0.9%
Skew 10d1.8%-4.8%8.8%8.8%2.8%
Call IV 25d19.6%15.9%24.1%24.1%15.9%
Put IV 25d20.5%16.7%25.2%25.2%16.7%
Bid-Ask Spread %19.597.1928.8625.857.97
Gamma HHI0.150.120.220.200.13
Net GEX30.5M5.2M81.0M43.6M42.2M
Net DEX9.1M-546.7M284.2M-546.7M-85.0M
Net VEX-7.6M-8.1M-7.2M-8.1M-7.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.301.060.350.59
Total Volume84,196.61930,215199,723141,93845,288
Total OI1,762,130.6191,456,2821,883,1121,456,2821,783,744

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$29.55$26.5723.4%6.0%25.1%84.5%22.6%1.2%-0.6%43.6M-546.7M-8.1M0.3525.85105,16036,778944,749511,533
2014-05-02$29.17$26.5722.6%6.2%25.3%78.1%21.7%1.0%-0.0%38.8M-369.6M-8.1M0.5420.22130,05169,672994,033533,731
2014-05-05$28.43$26.5720.8%6.1%26.6%64.5%21.5%2.1%-0.4%25.7M-32.1M-7.7M0.5218.7585,57544,2531,047,122570,562
2014-05-06$27.92$26.5721.8%6.0%25.3%72.2%21.7%1.3%-0.3%16.5M183.9M-7.4M0.4016.29139,87556,5911,082,317602,212
2014-05-07$27.53$26.5723.6%5.8%25.4%86.1%21.9%1.1%-0.3%15.8M281.7M-7.7M0.6216.4296,93560,3401,125,502646,369
2014-05-08$27.68$26.5722.9%5.9%25.1%80.4%20.6%0.0%0.1%22.0M189.1M-8.0M0.5217.8742,21522,1471,187,659669,412
2014-05-09$27.54$26.5722.3%5.9%24.3%75.8%21.3%0.1%0.0%5.2M284.2M-7.9M0.4519.5558,26325,9261,169,740684,514
2014-05-12$27.64$26.5721.2%5.8%22.9%67.9%21.9%1.5%-0.7%17.0M180.1M-7.8M0.3028.7656,61517,2231,141,464662,487
2014-05-13$27.70$26.5720.3%5.8%22.9%61.2%21.1%0.2%-0.3%18.9M168.1M-7.8M0.4524.9534,66515,6201,166,700671,169
2014-05-14$27.61$26.5719.1%5.6%22.9%51.7%19.8%0.4%-0.5%15.4M199.1M-7.6M0.6422.3456,29135,9811,172,414671,739
2014-05-15$27.57$26.5718.4%5.5%22.7%46.5%20.3%0.8%-0.7%8.4M248.6M-7.4M1.0624.5520,40321,5741,187,013684,694
2014-05-16$27.63$26.5718.5%5.6%22.6%47.1%19.9%-0.3%-0.6%12.0M157.9M-7.6M0.5628.4543,23224,2151,200,868682,244
2014-05-19$27.78$0.0018.2%5.5%21.3%44.6%20.6%1.1%-0.3%26.6M9.2M-7.6M0.3025.1749,44614,7801,110,806636,215
2014-05-20$27.75$25.6218.1%5.4%21.2%44.5%18.8%0.9%-0.2%30.1M48.5M-7.5M0.7726.3129,20122,3431,134,961644,055
2014-05-21$28.06$25.6217.6%5.4%21.7%40.5%19.1%0.9%0.4%43.7M-125.9M-7.7M0.6017.1140,64424,3811,132,801637,664
2014-05-22$28.14$28.4617.4%5.4%21.7%39.3%19.0%1.2%0.3%53.9M-189.3M-7.7M0.8628.8616,26113,9541,144,282635,624
2014-05-23$27.98$28.4616.6%5.3%21.7%33.0%19.0%1.6%0.2%81.0M-69.4M-7.5M0.9220.1329,56427,3251,146,165635,849
2014-05-27$28.09$28.4616.9%5.3%14.9%34.8%19.6%1.1%-0.1%39.0M-110.1M-7.3M0.777.1930,28123,3281,125,046638,534
2014-05-28$28.09$28.4616.6%5.4%14.8%32.9%18.9%0.8%0.1%42.4M-141.0M-7.5M0.627.2622,35713,9581,142,944647,589
2014-05-29$28.08$28.4616.4%5.3%14.2%31.6%19.9%0.8%0.2%43.4M-90.6M-7.3M0.477.3944,35721,0611,143,432654,785
2014-05-30$28.11$28.4615.9%5.3%14.2%27.9%19.0%0.9%-0.2%42.2M-85.0M-7.2M0.597.9728,55816,7301,129,472654,272