PFE Options History — May 2015

In May 2015, PFE traded between $31.76 and $33.04. ATM implied volatility averaged 14.4%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 1.0% (HV 20d: 13.4%). Max pain ranged from $30.36 to $32.26. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.61.

Notable Days

  • 2015-05-29: Highest Volume — 237,889 contracts
  • 2015-05-08: Largest IV drop — 11.7% change
  • 2015-05-07: Highest IV Rank — 43.6%
  • 2015-05-06: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.35$31.76$33.04$32.29$33.04
Max Pain$31.26$30.36$32.26$32.26$31.31
ATM IV14.4%12.4%16.8%16.1%14.4%
Expected Move4.2%3.6%4.8%4.8%4.3%
HV 20d13.4%11.9%14.4%12.3%11.9%
HV 60d14.4%13.8%16.2%16.2%13.9%
IV Rank23.8%6.8%43.6%37.4%24.0%
IV Percentile26.6%2.8%64.3%47.6%29.8%
Term Structure0.1%-0.5%0.9%0.2%-0.3%
VWIV15.1%12.3%22.9%18.6%13.8%
Skew 25d1.4%0.9%2.1%1.7%0.9%
Skew 10d3.2%1.6%6.4%3.6%5.5%
Call IV 25d14.3%12.1%16.3%15.7%14.9%
Put IV 25d15.7%13.5%18.2%17.4%15.8%
Bid-Ask Spread %8.035.5111.647.5811.64
Gamma HHI0.300.200.600.210.35
Net GEX78.0M-197.0M160.4M63.2M160.4M
Net DEX-805.0M-1.51B-295.1M-480.9M-1.51B
Net VEX-6.6M-7.0M-6.1M-6.7M-6.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.111.950.501.95
Total Volume74,903.2518,626237,889208,500237,889
Total OI1,612,100.31,371,7481,776,5231,776,5231,539,381

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$32.29$32.2616.1%4.8%12.3%37.4%18.6%1.7%0.2%63.2M-480.9M-6.7M0.507.58139,17869,3221,051,349725,174
2015-05-04$32.56$30.3614.7%4.5%12.7%26.0%15.8%1.5%0.3%76.9M-870.1M-7.0M0.247.5425,6316,2061,073,572656,064
2015-05-05$32.37$30.3615.4%4.4%12.8%32.1%22.9%1.8%-0.1%64.1M-720.8M-6.9M0.116.76188,21521,1241,082,023660,968
2015-05-06$31.76$31.3116.6%4.8%14.3%41.9%16.6%1.5%-0.2%25.5M-295.1M-6.8M0.629.7238,83424,0701,024,733671,503
2015-05-07$31.88$31.3116.8%4.6%13.7%43.6%16.5%2.1%-0.5%28.5M-376.0M-6.8M0.848.9623,29119,5271,026,989680,553
2015-05-08$32.28$31.3114.8%4.3%13.7%27.3%15.1%1.3%0.1%57.5M-682.3M-6.8M0.208.1655,14111,2691,032,788685,191
2015-05-11$32.22$31.3114.5%4.2%13.4%24.5%14.9%1.4%0.5%68.1M-667.2M-6.6M0.698.3011,0467,5801,039,785654,999
2015-05-12$32.05$31.3114.9%4.2%13.5%28.0%16.3%1.6%-0.1%45.4M-516.0M-6.5M0.976.6417,73417,1491,048,462659,422
2015-05-13$31.83$31.3114.6%4.2%13.3%25.5%14.8%1.9%-0.0%35.8M-350.3M-6.4M0.627.7926,98516,8021,052,014660,937
2015-05-14$32.19$31.3113.6%3.9%14.1%17.0%13.9%1.1%0.0%39.2M-591.7M-6.4M0.398.1447,56118,5201,058,852662,946
2015-05-15$32.27$31.3113.1%3.8%14.1%12.5%13.3%1.4%0.5%-197.0M-646.7M-6.4M0.495.5149,52224,0631,060,098665,155
2015-05-18$32.24$31.3112.4%3.6%14.1%6.8%12.3%1.5%0.0%108.5M-759.9M-6.1M0.417.3248,74520,165891,995479,753
2015-05-19$32.46$31.3113.4%3.8%14.4%15.5%13.3%1.3%0.9%124.9M-992.0M-6.6M0.1610.2051,2148,074933,588493,425
2015-05-20$32.56$31.3113.2%3.8%14.4%13.8%13.3%1.4%0.2%136.2M-1.07B-6.7M0.728.1122,53216,231966,794497,885
2015-05-21$32.66$31.3113.4%3.8%14.1%15.1%13.4%1.1%0.0%139.3M-1.12B-6.7M0.658.6843,73228,404971,016499,204
2015-05-22$32.53$31.3113.2%3.8%14.1%13.9%13.4%1.0%-0.0%140.8M-1.09B-6.7M0.697.1520,57714,302992,300512,161
2015-05-26$32.41$31.3114.4%4.2%12.2%24.0%14.6%1.5%-0.1%135.8M-991.5M-6.6M0.897.5212,26910,917988,715509,436
2015-05-27$32.61$31.3114.3%4.1%12.3%22.6%14.1%1.7%-0.1%150.8M-1.14B-6.5M0.658.4926,05916,9991,001,721510,467
2015-05-28$32.70$31.3114.4%4.2%12.2%23.6%14.9%1.2%0.0%155.7M-1.23B-6.7M0.486.4541,22119,9651,014,074506,514
2015-05-29$33.04$31.3114.4%4.3%11.9%24.0%13.8%0.9%-0.3%160.4M-1.51B-6.6M1.9511.6480,690157,1991,034,893504,488