PFE Options History — June 2014

In June 2014, PFE traded between $27.80 and $28.27. ATM implied volatility averaged 13.6%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 5.1% (HV 20d: 8.6%). Max pain ranged from $28.46 to $30.36. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2014-06-12: Highest Volume — 126,215 contracts
  • 2014-06-30: Largest IV spike — 9.9% change
  • 2014-06-30: Highest IV Rank — 25.0%
  • 2014-06-02: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.06$27.80$28.27$28.19$28.16
Max Pain$30.09$28.46$30.36$28.46$30.36
ATM IV13.6%12.0%15.4%15.4%15.1%
Expected Move5.1%4.7%5.3%5.3%4.7%
HV 20d8.6%6.4%13.8%13.8%10.6%
HV 60d18.2%17.3%19.3%19.3%17.5%
IV Rank11.3%0.0%25.0%24.2%25.0%
IV Percentile13.1%0.0%31.7%29.0%31.7%
Term Structure1.0%-0.6%4.7%-0.1%-0.6%
VWIV18.0%10.4%20.7%18.6%17.3%
Skew 25d1.1%0.3%2.1%1.2%1.8%
Skew 10d1.4%-0.8%6.9%1.2%1.9%
Call IV 25d13.3%11.2%14.9%14.9%13.8%
Put IV 25d14.4%12.8%16.2%16.2%15.7%
Bid-Ask Spread %11.058.1543.258.578.94
Gamma HHI0.180.140.240.140.22
Net GEX27.7M4.2M52.3M30.9M39.4M
Net DEX2.0M-165.0M133.2M-89.9M-50.1M
Net VEX-6.5M-7.1M-5.7M-7.1M-5.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.301.700.750.46
Total Volume45,703.90516,225126,21547,19016,238
Total OI1,690,326.5241,404,9281,811,9441,725,8381,471,904

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$28.19$28.4615.4%5.3%13.8%24.2%18.6%1.2%-0.1%30.9M-89.9M-7.1M0.758.5726,96120,2291,086,803639,035
2014-06-03$28.07$28.4614.2%5.3%10.5%15.1%19.3%1.2%-0.1%24.6M-11.5M-6.9M0.718.6940,78928,8231,095,619645,005
2014-06-04$28.12$28.4614.0%5.3%8.3%13.4%17.9%0.7%-0.0%32.1M-59.4M-7.0M0.349.0941,76614,0191,118,453654,764
2014-06-05$28.24$30.3613.7%5.2%6.4%10.8%19.5%1.1%-0.5%33.5M-96.8M-7.0M0.658.6015,85210,3621,130,654663,899
2014-06-06$27.91$30.3613.7%5.2%7.6%11.0%17.8%0.3%0.4%10.6M100.9M-6.8M0.379.1825,8809,5221,133,574664,033
2014-06-09$27.85$30.3614.0%5.2%7.5%13.4%20.3%0.9%1.1%4.2M133.2M-6.6M0.508.1541,64820,7331,130,267661,055
2014-06-10$27.99$30.3613.9%5.2%7.6%12.8%20.1%1.2%0.3%15.5M32.2M-6.7M1.2910.0221,08127,2881,143,327663,680
2014-06-11$27.92$30.3613.8%5.2%7.6%12.0%19.8%2.1%0.8%18.2M43.0M-6.6M1.709.866,30110,7111,151,476656,141
2014-06-12$27.94$30.3614.2%5.2%7.5%14.6%18.2%1.1%0.7%20.1M44.6M-6.7M0.5412.8381,77944,4361,153,630658,314
2014-06-13$28.02$30.3614.1%5.2%7.5%14.2%18.3%0.4%-0.2%14.9M40.5M-6.6M0.309.9368,17320,1991,117,245672,609
2014-06-16$28.09$30.3614.2%5.2%7.5%15.1%20.7%0.6%1.1%29.3M-9.7M-6.6M0.468.8619,6339,0691,113,952655,693
2014-06-17$27.97$30.3614.3%5.1%7.5%15.5%17.4%0.8%-0.3%23.0M68.1M-6.4M1.108.6111,92413,1701,118,205658,592
2014-06-18$28.19$30.3613.4%5.1%7.9%8.7%18.0%0.4%1.4%34.7M-22.8M-6.5M0.749.2812,1598,9561,120,135661,166
2014-06-19$28.07$30.3612.6%5.0%7.1%2.6%17.7%0.6%1.2%30.8M55.7M-6.2M0.399.3817,4526,8371,113,714660,334
2014-06-20$28.25$30.3612.0%4.9%7.4%0.0%16.9%0.6%1.1%42.2M-15.0M-6.2M0.4412.9339,94317,4821,119,316663,633
2014-06-23$27.94$30.3612.4%4.9%8.2%3.6%18.0%1.2%2.1%28.5M40.5M-5.7M0.479.4147,71222,361893,190511,738
2014-06-24$27.80$30.3612.4%4.9%8.2%3.0%17.1%1.4%0.7%21.7M77.2M-5.8M0.588.5121,66412,563922,228525,592
2014-06-25$28.27$30.3612.2%4.8%10.3%1.7%16.4%2.1%4.7%52.3M-165.0M-6.0M0.408.5644,39817,925933,885528,716
2014-06-26$28.07$30.3612.8%4.7%10.6%6.7%10.4%2.1%3.5%36.3M-13.1M-6.1M0.5443.2517,8219,698949,399536,952
2014-06-27$28.15$30.3613.7%4.7%10.7%13.9%17.6%1.6%3.0%38.9M-61.3M-6.1M0.989.478,1998,026957,707541,223
2014-06-30$28.16$30.3615.1%4.7%10.6%25.0%17.3%1.8%-0.6%39.4M-50.1M-5.9M0.468.9411,1055,133937,649534,255