PFE Options History — August 2014

In August 2014, PFE traded between $26.60 and $27.98. ATM implied volatility averaged 14.1%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 0.2% (HV 20d: 14.3%). Max pain ranged from $27.51 to $28.46. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2014-08-05: Highest Volume — 72,575 contracts
  • 2014-08-14: Largest IV drop — 10.8% change
  • 2014-08-07: Highest IV Rank — 40.9%
  • 2014-08-07: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.26$26.60$27.98$27.38$27.88
Max Pain$27.60$27.51$28.46$28.46$27.51
ATM IV14.1%11.6%17.0%16.3%12.8%
Expected Move5.0%4.7%5.5%5.3%4.7%
HV 20d14.3%11.8%15.5%14.7%11.8%
HV 60d12.5%11.7%13.0%11.7%13.0%
IV Rank18.9%0.0%40.9%34.9%9.6%
IV Percentile23.1%0.0%59.1%47.6%6.7%
Term Structure0.2%-0.8%1.2%-0.2%0.2%
VWIV17.9%16.1%19.7%19.7%16.9%
Skew 25d1.3%0.6%2.0%2.0%1.4%
Skew 10d2.3%-1.1%4.7%4.2%2.6%
Call IV 25d14.0%11.3%17.5%16.9%12.6%
Put IV 25d15.3%13.0%18.9%18.9%14.0%
Bid-Ask Spread %9.127.1911.259.3910.15
Gamma HHI0.140.120.180.160.16
Net GEX14.9M-12.9M49.4M19.0M46.6M
Net DEX214.4M-181.9M500.4M279.3M-144.2M
Net VEX-5.9M-6.2M-5.6M-6.2M-6.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.130.910.560.66
Total Volume38,378.1914,64172,57552,55922,051
Total OI1,697,063.3811,590,8701,787,9011,698,9031,725,223

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$27.38$28.4616.3%5.3%14.7%34.9%19.7%2.0%-0.2%19.0M279.3M-6.2M0.569.3933,68618,8731,089,477609,426
2014-08-04$27.28$28.4616.8%5.2%14.6%39.5%18.5%1.1%-0.8%11.3M282.1M-6.0M0.467.1920,3389,4151,068,552591,697
2014-08-05$26.95$27.5116.8%5.4%14.7%39.4%18.6%0.7%-0.5%3.7M383.0M-5.8M0.608.9445,36127,2141,077,936595,937
2014-08-06$26.83$27.5116.8%5.4%14.7%39.2%19.0%1.8%-0.1%3.1M399.8M-6.0M0.528.1817,3639,1121,100,667615,847
2014-08-07$26.60$27.5117.0%5.5%14.8%40.9%19.5%0.6%-0.2%-4.9M485.8M-5.7M0.478.3743,53320,2451,108,285615,947
2014-08-08$26.89$27.5116.8%5.5%15.5%38.9%19.7%0.8%0.1%655.1K390.0M-6.0M0.917.7426,35623,9961,121,274628,375
2014-08-11$26.80$27.5115.9%5.3%15.2%31.5%18.7%0.9%0.4%-7.2M447.4M-5.8M0.589.1324,77814,3891,102,629637,693
2014-08-12$26.64$27.5115.2%5.3%14.8%25.7%19.0%1.2%0.2%-12.9M500.4M-5.6M0.787.9322,24517,2401,114,745642,326
2014-08-13$26.76$27.5114.4%5.1%12.8%19.6%18.5%1.6%0.1%-10.5M470.5M-5.7M0.628.0219,90512,3221,119,336651,876
2014-08-14$27.26$27.5112.8%5.0%14.8%6.9%17.4%1.1%-0.1%5.6M284.3M-5.9M0.3411.2539,72613,3331,117,740645,139
2014-08-15$27.17$27.5113.3%4.9%14.4%10.5%18.8%1.3%-0.2%5.1M323.8M-5.8M0.8110.1719,86416,0631,137,288650,613
2014-08-18$27.36$27.5111.9%4.8%14.4%0.0%17.1%1.2%0.7%14.4M156.6M-5.8M0.347.5725,8088,7711,004,124586,746
2014-08-19$27.46$27.5111.6%4.7%14.4%0.0%17.8%1.7%1.2%13.6M138.5M-5.7M0.318.9731,98310,0591,017,191590,663
2014-08-20$27.41$27.5111.7%4.7%14.4%0.8%16.7%1.6%0.9%22.2M129.7M-5.9M0.368.8210,8023,8391,034,579596,371
2014-08-21$27.34$27.5112.7%4.7%14.4%9.4%17.4%1.3%0.7%19.0M148.7M-5.8M0.419.1236,31114,7811,039,807597,288
2014-08-22$27.44$27.5112.3%4.7%14.5%6.3%16.5%1.1%0.4%27.2M99.4M-6.0M0.378.8821,4667,9271,055,579607,883
2014-08-25$27.43$27.5112.9%4.7%14.5%10.7%17.5%1.5%-0.0%22.9M94.9M-5.9M0.1310.5719,3962,6071,054,255610,055
2014-08-26$27.71$27.5112.7%4.7%14.6%9.3%16.5%1.6%0.5%39.3M-50.3M-6.0M0.6010.8511,1676,7431,067,870610,990
2014-08-27$27.98$27.5112.7%4.7%13.9%9.4%16.1%1.5%0.3%49.4M-181.9M-6.1M0.539.3334,30318,1631,071,215610,319
2014-08-28$27.87$27.5113.2%4.7%11.9%13.2%16.6%0.8%0.0%46.1M-135.8M-6.2M0.2510.9919,5544,8541,088,788626,580
2014-08-29$27.88$27.5112.8%4.7%11.8%9.6%16.9%1.4%0.2%46.6M-144.2M-6.0M0.6610.1513,3118,7401,097,785627,438