PFE Options History — June 2015

In June 2015, PFE traded between $31.88 and $32.80. ATM implied volatility averaged 13.4%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 4.5% (HV 20d: 8.9%). Max pain ranged from $31.31 to $32.26. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2015-06-01: Highest Volume — 114,816 contracts
  • 2015-06-29: Largest IV spike — 27.4% change
  • 2015-06-30: Highest IV Rank — 50.3%
  • 2015-06-29: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.44$31.88$32.80$32.80$31.88
Max Pain$32.13$31.31$32.26$31.31$32.26
ATM IV13.4%11.3%17.5%14.3%17.5%
Expected Move3.8%3.2%4.6%4.0%4.4%
HV 20d8.9%7.7%12.2%12.2%8.0%
HV 60d12.5%10.8%14.0%14.0%10.9%
IV Rank16.0%0.0%50.3%23.0%50.3%
IV Percentile15.8%0.0%79.8%27.8%79.8%
Term Structure0.5%-1.3%1.4%-1.3%0.3%
VWIV13.1%11.0%16.4%13.5%15.6%
Skew 25d1.4%0.8%2.1%1.3%2.1%
Skew 10d3.1%0.2%5.5%3.0%5.5%
Call IV 25d13.0%10.6%16.5%13.9%16.4%
Put IV 25d14.4%12.5%18.6%15.2%18.6%
Bid-Ask Spread %11.817.4026.388.238.41
Gamma HHI0.350.280.410.400.28
Net GEX100.8M15.2M157.1M155.0M15.2M
Net DEX-763.7M-1.22B-201.1M-1.22B-201.1M
Net VEX-5.9M-6.7M-5.3M-6.7M-5.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.272.180.361.62
Total Volume44,38613,725114,816114,81651,195
Total OI1,554,531.2271,215,0141,759,6961,658,6071,320,690

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$32.80$31.3114.3%4.0%12.2%23.0%13.5%1.3%-1.3%155.0M-1.22B-6.7M0.368.2384,39330,4231,023,591635,016
2015-06-02$32.72$31.3113.5%3.9%11.9%16.4%13.2%0.9%0.1%151.5M-1.14B-6.7M1.348.695,8737,8521,024,190643,782
2015-06-03$32.65$31.3113.2%3.7%11.7%13.7%13.2%1.3%0.2%141.9M-1.04B-6.5M1.097.4015,23516,5501,001,571646,833
2015-06-04$32.49$32.2614.3%4.0%9.5%23.0%13.7%1.8%0.0%125.5M-878.6M-6.6M0.3813.0526,37710,1481,003,393653,593
2015-06-05$32.39$32.2613.5%3.9%9.6%16.4%13.4%1.7%-0.3%117.5M-781.0M-6.5M0.629.5124,85615,4921,011,017655,350
2015-06-08$32.28$32.2613.5%3.9%8.6%16.1%13.8%1.2%0.4%114.7M-699.9M-6.3M0.9110.3817,28615,7091,000,315652,273
2015-06-09$32.31$32.2613.5%3.9%8.6%16.1%13.5%1.5%0.0%120.2M-722.7M-6.2M2.1811.7411,07124,0881,003,392653,120
2015-06-10$32.56$32.2612.8%3.8%8.7%10.0%13.1%1.0%0.5%146.4M-945.5M-6.1M0.9611.2518,15517,4281,006,089661,889
2015-06-11$32.69$32.2612.7%3.7%8.3%9.2%12.5%0.8%0.4%157.1M-1.05B-6.1M0.7811.8622,62817,7581,010,341664,798
2015-06-12$32.50$32.2613.0%3.7%7.8%12.0%13.0%0.9%-0.2%144.0M-890.8M-6.1M0.739.3412,9389,4331,017,440667,759
2015-06-15$32.34$32.2613.2%3.8%8.0%13.5%13.3%1.3%1.3%135.4M-747.6M-5.7M0.469.9621,4199,8041,009,988665,462
2015-06-16$32.32$32.2612.9%3.7%8.0%11.0%12.9%1.5%0.9%125.4M-719.1M-5.6M0.849.2532,26526,9951,012,314668,128
2015-06-17$32.26$32.2612.6%3.6%7.7%8.5%12.7%1.3%1.1%127.8M-674.5M-5.7M1.0013.2227,92927,8881,025,145681,699
2015-06-18$32.61$32.2612.4%3.5%8.5%6.9%12.1%1.4%0.6%133.0M-999.5M-5.4M0.389.5654,19220,7221,031,039687,424
2015-06-19$32.51$32.2611.3%3.2%8.5%0.0%11.0%1.9%-0.1%39.3M-974.8M-5.4M0.609.7026,22515,6991,057,707701,989
2015-06-22$32.57$32.2611.7%3.3%8.5%3.6%11.6%1.6%1.3%48.8M-588.2M-5.3M0.2913.7744,63412,867708,125506,889
2015-06-23$32.72$32.2612.5%3.6%8.5%9.9%12.6%1.2%1.3%66.1M-724.7M-5.5M0.2726.3855,47614,741741,760511,554
2015-06-24$32.53$32.2612.2%3.5%8.5%7.6%12.2%1.3%1.4%58.3M-623.9M-5.6M0.5614.3224,41613,715781,251516,939
2015-06-25$32.33$32.2613.7%3.6%8.7%19.4%12.7%1.9%1.3%40.8M-495.6M-5.5M0.6220.8316,66210,369789,053521,229
2015-06-26$32.23$32.2613.5%3.6%7.7%18.1%13.0%1.4%0.6%30.9M-411.2M-5.7M0.459.2626,04511,670793,247524,049
2015-06-29$31.93$32.2617.2%4.6%8.0%48.1%16.4%1.6%0.7%22.4M-261.1M-5.6M1.0313.6813,74814,123782,677525,577
2015-06-30$31.88$32.2617.5%4.4%8.0%50.3%15.6%2.1%0.3%15.2M-201.1M-5.6M1.628.4119,57431,621787,963532,727