PFE Options History — April 2015

In April 2015, PFE traded between $32.15 and $33.63. ATM implied volatility averaged 17.8%, placing in the 51.5% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 2.8% (HV 20d: 15.0%). Max pain ranged from $31.31 to $32.26. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.04.

Notable Days

  • 2015-04-16: Highest Volume — 219,208 contracts
  • 2015-04-28: Largest IV drop — 21.3% change
  • 2015-04-27: Highest IV Rank — 73.6%
  • 2015-04-27: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.03$32.15$33.63$32.50$32.15
Max Pain$32.12$31.31$32.26$31.31$32.26
ATM IV17.8%16.1%20.4%17.7%17.2%
Expected Move5.2%4.8%7.0%4.9%5.4%
HV 20d15.0%12.3%17.5%17.4%12.3%
HV 60d16.9%16.0%17.8%17.8%16.2%
IV Rank51.5%37.5%73.6%48.8%47.1%
IV Percentile73.9%47.6%93.7%71.8%69.8%
Term Structure-0.4%-1.3%0.8%0.7%0.2%
VWIV18.3%16.7%24.9%16.7%20.3%
Skew 25d1.8%1.0%2.3%1.9%1.6%
Skew 10d3.2%-0.2%6.0%-0.2%4.8%
Call IV 25d17.2%15.6%19.6%17.7%17.2%
Put IV 25d18.9%17.0%20.6%19.6%18.8%
Bid-Ask Spread %10.206.1914.388.976.19
Gamma HHI0.300.170.840.400.18
Net GEX121.4M27.8M660.2M56.9M27.8M
Net DEX-1.08B-1.65B-285.9M-799.2M-285.9M
Net VEX-6.0M-6.5M-5.7M-6.0M-6.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.040.176.564.650.36
Total Volume127,191.42954,526219,208133,925185,655
Total OI1,516,167.5711,399,3471,661,3191,448,8191,645,113

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$32.50$31.3117.7%4.9%17.4%48.8%16.7%1.9%0.7%56.9M-799.2M-6.0M4.658.9723,702110,223845,512603,307
2015-04-02$32.64$31.3117.0%5.1%17.5%43.2%18.5%1.7%0.8%61.9M-849.5M-6.0M2.0111.9551,381103,389843,996622,507
2015-04-06$32.75$31.3118.0%5.0%16.2%50.5%18.7%1.7%-0.9%68.6M-909.2M-6.1M4.0113.3617,77471,216851,096622,374
2015-04-07$32.79$32.2617.7%4.9%16.2%48.3%17.4%1.5%-0.6%72.7M-955.5M-5.9M6.569.8010,12366,432854,364629,132
2015-04-08$32.87$32.2618.2%5.0%15.9%55.2%17.5%1.8%-1.3%76.5M-1.01B-5.9M0.179.5746,5317,995856,587631,584
2015-04-09$33.23$32.2618.5%5.2%16.1%57.5%18.1%1.6%-0.3%115.8M-1.35B-6.0M1.3311.1756,50574,908881,198635,847
2015-04-10$33.63$32.2618.3%5.2%16.2%55.4%17.6%1.4%0.6%139.3M-1.65B-5.8M1.187.8285,740101,195902,108638,996
2015-04-13$33.32$32.2618.6%5.2%16.7%58.0%17.8%2.3%-0.6%144.9M-1.43B-6.0M2.348.5931,25573,131934,110604,179
2015-04-14$33.19$32.2617.9%5.1%16.3%52.7%17.6%2.2%-0.9%162.8M-1.33B-5.8M2.988.2125,27375,243937,611601,899
2015-04-15$33.36$32.2617.0%4.9%16.0%45.1%17.3%1.8%0.1%190.7M-1.49B-5.8M1.908.2939,11174,448950,176606,700
2015-04-16$33.42$32.2617.5%5.0%15.9%49.1%17.6%1.5%-0.4%189.3M-1.53B-5.8M1.719.3180,854138,354952,453613,849
2015-04-17$33.23$32.2619.3%5.6%15.9%64.0%19.8%2.2%-0.3%660.2M-1.38B-6.1M0.9810.3395,58693,7111,000,896660,423
2015-04-20$33.19$32.2618.0%5.3%15.9%53.2%19.0%1.7%-0.8%73.9M-1.04B-6.1M1.879.0033,12362,056827,686571,661
2015-04-21$33.10$32.2618.0%5.3%13.6%53.4%17.9%2.3%-0.4%70.5M-956.9M-6.1M0.9411.0154,61351,131832,286577,291
2015-04-22$33.19$32.2617.8%5.5%12.4%51.8%18.6%2.1%-1.1%77.5M-1.02B-6.1M2.7211.4320,23355,056857,639580,904
2015-04-23$33.46$32.2616.9%5.0%12.4%44.3%17.5%1.6%-0.5%94.2M-1.25B-5.7M0.7211.1880,49657,947862,619587,133
2015-04-24$33.51$32.2617.5%5.0%12.3%49.1%17.7%1.7%-0.8%99.0M-1.33B-6.0M2.359.1732,63476,780914,776605,891
2015-04-27$32.83$32.2620.4%7.0%14.2%73.6%24.9%1.0%-0.8%66.2M-854.9M-6.5M1.6514.3870,251115,855895,854599,225
2015-04-28$32.67$32.2616.1%4.8%13.3%37.5%16.9%1.8%0.1%54.0M-644.4M-6.3M1.1411.1862,66971,278919,110668,000
2015-04-29$32.52$32.2617.0%5.0%13.2%44.7%17.6%1.2%-0.1%46.7M-510.9M-6.3M1.3013.2837,82049,343929,046684,381
2015-04-30$32.15$32.2617.2%5.4%12.3%47.1%20.3%1.6%0.2%27.8M-285.9M-6.3M0.366.19136,93948,716937,665707,448