PFE Options History — February 2015

In February 2015, PFE traded between $30.03 and $33.00. ATM implied volatility averaged 15.7%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 4.5% (HV 20d: 20.3%). Max pain ranged from $29.41 to $30.36. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.33.

Notable Days

  • 2015-02-12: Highest Volume — 153,877 contracts
  • 2015-02-10: Largest IV drop — 9.1% change
  • 2015-02-02: Highest IV Rank — 58.2%
  • 2015-02-02: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.08$30.03$33.00$30.03$32.56
Max Pain$29.66$29.41$30.36$30.36$29.41
ATM IV15.7%13.9%18.9%18.9%14.1%
Expected Move4.5%3.8%5.3%5.3%3.9%
HV 20d20.3%18.1%21.8%18.2%19.2%
HV 60d17.1%15.4%17.8%15.4%17.6%
IV Rank32.8%18.1%58.2%58.2%19.8%
IV Percentile36.5%13.1%74.6%74.6%18.3%
Term Structure0.1%-0.6%1.0%-0.2%0.0%
VWIV16.0%13.7%19.5%19.5%14.1%
Skew 25d2.1%0.8%4.0%3.5%0.8%
Skew 10d5.1%1.7%11.5%6.4%1.7%
Call IV 25d15.2%13.7%17.9%17.9%14.4%
Put IV 25d17.3%15.0%21.4%21.4%15.1%
Bid-Ask Spread %8.285.4812.6510.449.15
Gamma HHI0.260.160.380.160.28
Net GEX76.1M32.0M90.7M32.0M89.5M
Net DEX-1.23B-1.70B-354.0M-354.0M-1.37B
Net VEX-6.0M-6.5M-5.5M-6.2M-5.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.194.360.402.14
Total Volume76,700.36822,178153,87725,06555,032
Total OI1,302,150.6841,215,0661,417,0081,215,0661,311,665

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-02-02$30.03$30.3618.9%5.3%18.2%58.2%19.5%3.5%-0.2%32.0M-354.0M-6.2M0.4010.4417,9527,113769,425445,641
2015-02-03$30.33$30.3618.0%4.9%18.3%50.7%19.5%3.4%-0.0%41.2M-482.1M-6.2M0.3412.6585,21829,160774,775446,397
2015-02-04$30.37$30.3617.2%5.0%18.1%44.3%17.7%4.0%0.8%48.2M-485.4M-6.3M0.249.1745,26310,933766,099462,522
2015-02-05$31.33$29.4117.1%4.8%20.6%43.6%17.1%3.5%-0.5%72.5M-931.6M-6.3M0.518.0578,30140,083772,856464,724
2015-02-06$31.43$29.4116.6%4.7%19.4%39.8%17.1%2.7%0.2%68.2M-975.1M-6.4M0.378.0779,36329,080782,921486,251
2015-02-09$31.35$29.4116.8%5.0%19.4%41.6%18.0%2.3%0.6%70.8M-966.7M-6.3M0.766.5841,12831,109768,666469,140
2015-02-10$32.28$29.4115.3%4.4%21.8%29.6%16.4%2.3%0.3%78.6M-1.38B-6.3M1.218.3063,51177,121784,733489,919
2015-02-11$32.42$29.4116.4%4.6%21.0%38.5%17.1%2.0%-0.4%81.0M-1.49B-6.5M2.168.4024,06352,064813,427533,855
2015-02-12$33.00$29.4115.6%4.5%21.6%31.6%15.9%1.6%0.3%72.0M-1.70B-6.3M0.607.8196,21657,661815,063553,103
2015-02-13$32.83$29.4115.6%4.4%21.7%31.6%15.7%1.6%-0.3%89.2M-1.64B-6.4M1.625.4826,83543,415850,598566,410
2015-02-17$32.72$29.4115.9%4.6%21.6%34.4%15.3%1.5%-0.4%86.8M-1.62B-6.1M3.066.2014,13343,303841,826559,248
2015-02-18$32.66$29.4115.2%4.4%21.5%28.7%15.4%1.6%-0.6%89.8M-1.54B-6.2M1.336.9530,85541,169838,578561,517
2015-02-19$32.65$29.4114.5%4.2%20.7%23.7%14.1%1.7%-0.6%90.7M-1.58B-5.7M0.297.8417,1974,981842,328561,729
2015-02-20$32.79$29.4113.9%3.9%20.7%18.1%13.7%1.6%0.7%89.3M-1.63B-5.8M0.198.2027,6105,276848,801563,559
2015-02-23$32.54$29.4114.5%3.9%20.7%23.0%14.0%1.6%-0.3%84.6M-1.28B-5.6M3.297.5813,69945,109759,023469,270
2015-02-24$32.50$29.4113.9%3.8%20.6%18.1%14.6%1.7%0.3%82.4M-1.26B-5.5M4.368.029,87843,106765,237477,655
2015-02-25$32.91$30.3614.5%4.2%20.6%23.3%14.8%0.9%0.2%89.6M-1.42B-5.5M1.4910.2731,07546,224767,807481,517
2015-02-26$32.76$30.3614.7%4.0%19.1%25.0%14.1%1.8%1.0%90.0M-1.36B-5.5M0.848.1450,66642,405783,636490,942
2015-02-27$32.56$29.4114.1%3.9%19.2%19.8%14.1%0.8%0.0%89.5M-1.37B-5.6M2.149.1517,51137,521816,262495,403