PFE Options History — November 2014

In November 2014, PFE traded between $28.37 and $29.55. ATM implied volatility averaged 14.0%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.1% (HV 20d: 13.9%). Max pain ranged from $27.51 to $29.41. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.52.

Notable Days

  • 2014-11-04: Highest Volume — 458,205 contracts
  • 2014-11-04: Largest IV spike — 7.0% change
  • 2014-11-28: Highest IV Rank — 26.2%
  • 2014-11-28: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.82$28.37$29.55$28.64$29.55
Max Pain$28.01$27.51$29.41$27.51$29.41
ATM IV14.0%13.3%14.9%13.6%14.9%
Expected Move4.5%4.3%5.0%4.4%5.0%
HV 20d13.9%9.4%20.8%20.8%10.3%
HV 60d15.0%14.8%15.4%15.3%15.3%
IV Rank19.3%13.7%26.2%16.3%26.2%
IV Percentile20.1%10.7%30.6%16.3%30.6%
Term Structure-0.1%-0.9%0.5%0.3%0.2%
VWIV15.9%14.9%17.6%16.5%17.6%
Skew 25d1.3%-0.5%2.2%2.2%-0.5%
Skew 10d3.2%-1.4%5.1%4.5%-1.4%
Call IV 25d13.8%13.1%15.8%13.5%15.8%
Put IV 25d15.2%14.4%16.2%15.7%15.3%
Bid-Ask Spread %7.956.299.407.919.20
Gamma HHI0.220.180.250.250.22
Net GEX60.0M42.3M75.3M47.6M70.2M
Net DEX-436.9M-800.6M-186.0M-348.7M-800.6M
Net VEX-5.5M-6.0M-5.3M-5.7M-5.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.041.030.690.23
Total Volume75,973.78914,796458,20546,80762,563
Total OI1,592,134.5261,495,6541,645,8731,619,8821,562,682

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-11-03$28.64$27.5113.6%4.4%20.8%16.3%16.5%2.2%0.3%47.6M-348.7M-5.7M0.697.9127,65419,153881,119738,763
2014-11-04$28.72$27.5114.6%4.4%20.0%23.7%15.4%1.8%0.3%53.2M-453.3M-5.8M0.047.67440,37617,829888,027738,406
2014-11-05$28.50$27.5114.5%4.5%19.3%23.0%16.1%1.1%-0.0%42.6M-243.5M-6.0M0.127.0789,91510,464843,100740,507
2014-11-06$28.49$27.5114.7%4.5%18.6%24.6%15.7%1.3%-0.6%44.6M-261.7M-5.7M0.507.0233,22816,491847,913742,901
2014-11-07$28.37$27.5113.9%4.5%18.7%18.7%15.8%1.8%0.2%42.3M-186.0M-5.7M0.549.0735,46818,995850,452742,648
2014-11-10$28.62$27.5114.1%4.4%16.5%19.8%16.2%2.2%-0.9%57.9M-327.4M-5.5M0.717.2830,87121,936847,702739,150
2014-11-11$28.76$27.5113.3%4.4%16.3%13.7%15.4%1.2%0.3%60.3M-381.9M-5.4M0.707.6336,09825,160843,866736,602
2014-11-12$28.85$27.5113.7%4.5%14.5%17.2%14.9%1.4%0.2%59.3M-445.6M-5.5M0.337.8252,45417,285857,119749,605
2014-11-13$28.85$27.5113.7%4.5%11.9%17.1%16.5%0.9%0.5%66.8M-471.7M-5.6M0.577.5725,58614,710872,045752,280
2014-11-14$28.79$27.5113.7%4.5%12.1%17.0%15.3%0.3%0.3%65.0M-442.8M-5.5M0.376.8210,8073,989870,073752,326
2014-11-17$28.78$27.5114.1%4.5%12.2%20.3%15.9%1.4%0.3%67.1M-447.7M-5.4M0.938.1527,58225,717867,557729,324
2014-11-18$29.03$27.5113.5%4.3%11.3%15.0%15.7%1.0%0.5%74.3M-569.3M-5.5M0.426.2950,88121,145876,330737,209
2014-11-19$28.88$27.5113.9%4.5%11.4%18.7%15.6%1.7%-0.4%70.2M-487.1M-5.5M0.887.3612,75111,179886,420740,782
2014-11-20$28.86$27.5114.2%4.7%11.3%20.7%15.8%1.5%-0.5%75.3M-502.9M-5.4M1.038.9631,45732,295885,690735,788
2014-11-21$28.84$29.4114.1%4.7%9.4%20.0%16.3%1.5%0.3%66.4M-483.2M-5.4M0.629.0143,19526,611893,683752,190
2014-11-24$28.67$29.4113.8%4.6%9.5%17.7%15.6%1.7%-0.8%48.8M-284.2M-5.3M0.268.3623,0696,072813,390682,264
2014-11-25$28.95$29.4113.9%4.6%9.9%18.1%16.1%1.4%-0.7%58.2M-414.4M-5.5M0.518.5038,32319,669828,396687,178
2014-11-26$29.51$29.4114.1%4.8%10.8%20.1%16.4%1.1%-0.5%69.6M-748.9M-5.3M0.359.4046,35516,169842,591694,478
2014-11-28$29.55$29.4114.9%5.0%10.3%26.2%17.6%-0.5%0.2%70.2M-800.6M-5.5M0.239.2050,69411,869860,290702,392