PFE Options History — January 2015

In January 2015, PFE traded between $29.56 and $31.40. ATM implied volatility averaged 18.2%, placing in the 52.7% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 0.9% (HV 20d: 17.4%). Max pain ranged from $29.41 to $30.36. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.59.

Notable Days

  • 2015-01-13: Highest Volume — 215,645 contracts
  • 2015-01-05: Largest IV spike — 13.3% change
  • 2015-01-05: Highest IV Rank — 82.3%
  • 2015-01-06: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.61$29.56$31.40$29.78$29.68
Max Pain$29.89$29.41$30.36$29.41$30.36
ATM IV18.2%16.3%22.0%19.4%18.8%
Expected Move5.1%4.5%6.0%5.6%5.3%
HV 20d17.4%15.1%19.4%17.0%18.0%
HV 60d15.0%14.3%16.2%16.2%15.3%
IV Rank52.7%37.1%82.3%62.0%57.4%
IV Percentile64.6%42.5%95.6%80.6%73.8%
Term Structure-0.1%-1.2%1.0%0.6%0.7%
VWIV17.8%15.9%20.5%19.1%19.6%
Skew 25d2.8%1.1%4.4%1.5%2.9%
Skew 10d5.0%1.8%10.3%3.9%3.1%
Call IV 25d17.2%14.8%20.0%19.7%17.2%
Put IV 25d20.0%17.6%24.3%21.1%20.1%
Bid-Ask Spread %9.566.4613.677.808.93
Gamma HHI0.240.150.340.240.15
Net GEX58.0M23.9M87.7M49.3M23.9M
Net DEX-827.5M-1.25B-212.2M-624.5M-212.2M
Net VEX-5.4M-6.1M-4.4M-5.2M-5.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.181.090.720.65
Total Volume76,914.624,419215,64540,51474,893
Total OI1,396,969.551,063,0761,756,7181,542,4621,205,299

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$29.78$29.4119.4%5.6%17.0%62.0%19.1%1.5%0.6%49.3M-624.5M-5.2M0.727.8023,48817,026855,304687,158
2015-01-05$29.56$29.4122.0%5.9%17.2%82.3%20.3%3.0%-1.0%44.2M-524.1M-5.3M0.9310.1212,63911,780853,482685,604
2015-01-06$29.81$29.4121.6%6.0%17.2%79.2%20.5%4.4%-0.6%51.5M-654.5M-5.2M0.7410.0224,56618,300857,169687,065
2015-01-07$30.22$29.4120.5%5.3%17.9%70.9%18.5%3.3%-0.7%63.0M-807.2M-5.1M1.0910.0827,44929,829861,039690,534
2015-01-08$30.85$29.4119.7%5.2%19.4%64.6%18.3%3.9%0.2%73.7M-1.17B-4.4M0.437.77115,82950,149856,655682,765
2015-01-09$30.91$29.4119.9%5.2%19.4%65.8%18.2%2.0%-0.7%73.7M-1.16B-5.1M0.486.4638,23718,272888,001699,308
2015-01-12$31.12$29.4119.1%5.2%18.9%59.5%18.8%2.7%-0.7%76.6M-1.23B-5.0M0.636.5649,68231,216884,877696,291
2015-01-13$30.67$29.4117.4%5.1%18.6%45.9%17.6%2.6%0.6%76.1M-1.03B-5.1M0.1812.52182,52333,122894,350701,540
2015-01-14$30.86$29.4118.2%4.9%18.6%52.4%17.8%1.9%-1.2%77.8M-1.13B-5.4M0.428.0197,13641,019989,637715,705
2015-01-15$30.75$29.4117.9%5.1%18.3%50.0%17.3%2.5%0.3%69.0M-1.01B-5.6M0.579.2255,51731,670986,352729,695
2015-01-16$31.12$30.3616.3%4.5%18.1%37.1%16.4%2.6%-0.9%87.7M-1.25B-5.3M0.3312.1468,67122,4861,012,908743,810
2015-01-20$31.40$30.3616.7%4.7%15.8%40.2%17.7%2.7%0.1%59.0M-942.0M-5.3M0.587.9235,11520,410673,114389,962
2015-01-21$30.97$30.3616.3%4.7%16.8%37.3%15.9%2.6%-0.3%53.8M-782.5M-5.4M0.4410.0836,29415,927688,528400,071
2015-01-22$31.07$30.3616.3%4.6%16.7%37.4%15.9%2.8%0.6%56.4M-783.7M-6.0M0.697.8523,68816,289709,153411,268
2015-01-23$30.84$30.3616.7%4.9%15.1%40.8%17.2%2.7%-0.8%42.4M-747.3M-5.4M1.0510.1830,66832,343717,641414,035
2015-01-26$31.12$30.3616.3%4.7%15.3%37.3%16.5%3.9%-0.1%55.8M-826.0M-5.5M0.3413.6732,71910,969719,161422,313
2015-01-27$30.93$30.3616.6%4.8%15.4%40.0%16.3%1.1%1.0%55.6M-783.9M-5.6M0.3610.8662,60822,665728,782426,245
2015-01-28$30.33$30.3617.0%4.8%16.8%42.7%17.1%3.3%-0.0%37.2M-470.9M-6.0M0.4612.0646,92321,708741,117438,929
2015-01-29$30.22$30.3617.9%4.7%16.9%50.2%17.1%3.7%0.3%33.6M-398.2M-6.1M0.659.0333,01921,448750,517444,007
2015-01-30$29.68$30.3618.8%5.3%18.0%57.4%19.6%2.9%0.7%23.9M-212.2M-5.9M0.658.9345,45329,440755,098450,201