PFE Options History — September 2014

In September 2014, PFE traded between $27.73 and $29.01. ATM implied volatility averaged 15.5%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 4.3% (HV 20d: 11.2%). Max pain ranged from $27.51 to $27.51. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.44.

Notable Days

  • 2014-09-19: Highest Volume — 198,876 contracts
  • 2014-09-29: Largest IV spike — 10.3% change
  • 2014-09-29: Highest IV Rank — 49.8%
  • 2014-09-12: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.27$27.73$29.01$27.76$28.06
Max Pain$27.51$27.51$27.51$27.51$27.51
ATM IV15.5%13.4%17.9%13.4%17.2%
Expected Move4.8%4.6%4.9%4.7%4.9%
HV 20d11.2%9.3%12.7%11.8%12.7%
HV 60d13.2%12.8%13.6%12.8%13.2%
IV Rank30.8%14.7%49.8%14.7%44.5%
IV Percentile40.3%17.1%69.4%17.1%61.1%
Term Structure0.5%-0.5%1.5%-0.4%1.2%
VWIV17.0%16.1%18.2%16.8%17.3%
Skew 25d1.1%0.1%3.0%1.9%2.2%
Skew 10d3.0%1.1%7.4%5.4%2.9%
Call IV 25d15.3%13.1%17.7%13.1%16.8%
Put IV 25d16.4%14.5%19.2%15.0%19.0%
Bid-Ask Spread %8.717.1512.778.957.50
Gamma HHI0.180.150.330.160.16
Net GEX58.1M25.9M141.9M37.3M25.9M
Net DEX-303.3M-889.0M-7.0M-44.6M-88.5M
Net VEX-6.1M-6.3M-5.8M-6.0M-6.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.061.200.531.20
Total Volume52,743.0959,960198,87625,97136,003
Total OI1,687,3821,382,4491,931,5021,719,8871,514,186

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$27.76$27.5113.4%4.7%11.8%14.7%16.8%1.9%-0.4%37.3M-44.6M-6.0M0.538.9516,9778,9941,092,995626,892
2014-09-03$27.89$27.5114.4%4.8%10.9%22.5%17.2%1.4%0.3%45.4M-118.4M-6.1M0.2010.5234,3286,7591,093,810631,987
2014-09-04$27.87$27.5113.9%4.8%10.7%18.5%16.5%1.4%0.3%46.5M-112.3M-6.1M0.318.5010,5133,2671,118,552636,252
2014-09-05$28.13$27.5113.7%4.7%10.3%16.5%16.6%1.4%0.0%51.5M-240.0M-6.1M0.368.0817,1246,1851,119,769637,065
2014-09-08$27.89$27.5113.9%4.8%10.6%18.5%17.3%0.4%0.8%50.4M-130.2M-6.0M0.797.155,5744,3861,117,898633,682
2014-09-09$27.73$27.5114.4%4.8%10.8%22.5%17.3%0.7%0.3%37.8M-7.0M-5.9M0.317.7815,5744,8271,120,356635,967
2014-09-10$27.93$27.5114.0%4.8%10.5%19.1%16.5%1.0%1.3%56.2M-162.4M-6.0M0.857.6223,51120,0581,129,653637,057
2014-09-11$28.11$27.5114.2%4.7%10.6%20.6%16.6%0.4%-0.2%58.5M-229.7M-6.1M0.398.3714,0435,4401,137,555650,449
2014-09-12$27.92$27.5115.6%4.9%9.3%32.0%17.6%0.4%0.4%61.4M-147.5M-6.1M0.267.5528,9557,5201,139,200654,951
2014-09-15$28.39$27.5116.2%4.8%10.6%36.9%16.9%0.5%0.3%76.2M-394.3M-6.1M0.468.4175,26334,8871,139,137655,818
2014-09-16$28.51$27.5116.4%4.8%10.5%38.0%18.2%0.4%0.3%89.8M-521.6M-6.2M0.297.7737,09410,6141,177,712686,202
2014-09-17$28.80$27.5117.4%4.9%10.8%46.4%17.3%0.1%0.0%114.3M-801.0M-6.3M0.1312.7781,68510,9021,195,072690,466
2014-09-18$29.01$27.5117.5%4.8%10.9%46.6%17.0%0.4%-0.1%141.9M-889.0M-6.3M0.3011.2643,01412,8011,224,374690,995
2014-09-19$28.84$27.5115.7%4.7%11.2%32.7%16.1%0.7%-0.2%78.9M-717.2M-6.1M0.069.45187,20511,6711,233,591697,911
2014-09-22$28.63$27.5114.5%4.6%11.7%23.6%17.3%1.4%1.5%45.8M-375.4M-5.8M0.348.1743,81014,887778,664603,785
2014-09-23$28.51$27.5115.5%4.7%11.9%31.3%17.0%3.0%1.3%45.0M-298.5M-6.0M0.6811.2929,28719,840799,845613,683
2014-09-24$28.76$27.5116.1%4.8%11.8%35.9%16.7%1.5%1.0%51.3M-455.0M-5.9M0.217.8561,15213,122811,808621,914
2014-09-25$28.44$27.5116.7%4.9%12.2%40.4%17.4%1.6%0.8%43.6M-305.1M-6.2M0.627.8338,14223,603849,610629,769
2014-09-26$28.20$27.5116.2%4.8%12.6%36.6%17.1%0.4%1.2%31.5M-162.3M-6.2M0.648.8542,13727,170862,807642,035
2014-09-29$28.24$27.5117.9%4.8%12.6%49.8%17.2%1.6%-0.5%30.7M-169.8M-6.2M0.307.3314,8294,452851,957649,591
2014-09-30$28.06$27.5117.2%4.9%12.7%44.5%17.3%2.2%1.2%25.9M-88.5M-6.2M1.207.5016,38819,615861,729652,457