PFE Options History — July 2015 In July 2015, PFE traded between $31.55 and $34.24. ATM implied volatility averaged 16.1%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 4.0% (HV 20d: 12.1%). Max pain ranged from $32.26 to $32.26. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.45.
Notable Days 2015-07-29 : Highest Volume — 204,388 contracts2015-07-28 : Largest IV drop — 20.1% change2015-07-08 : Highest IV Rank — 66.0%2015-07-06 : Largest Expected Move — 5.2%Monthly Statistics Metric Avg Min Max Open Close Price $32.89 $31.55 $34.24 $31.97 $34.24 Max Pain $32.26 $32.26 $32.26 $32.26 $32.26 ATM IV 16.1% 13.9% 19.4% 17.9% 14.7% Expected Move 4.5% 3.7% 5.2% 4.7% 4.1% HV 20d 12.1% 8.1% 16.4% 8.1% 16.0% HV 60d 11.5% 10.8% 12.7% 10.9% 12.0% IV Rank 39.2% 21.3% 66.0% 53.9% 27.5% IV Percentile 54.9% 21.4% 94.4% 84.1% 38.5% Term Structure -0.3% -1.0% 0.8% 0.4% 0.1% VWIV 15.8% 14.2% 18.6% 16.5% 14.6% Skew 25d 2.2% 0.9% 3.1% 2.0% 0.9% Skew 10d 4.5% 2.8% 6.9% 4.6% 3.0% Call IV 25d 15.3% 12.6% 18.2% 16.7% 15.1% Put IV 25d 17.5% 14.5% 20.6% 18.7% 16.1% Bid-Ask Spread % 10.04 5.98 17.42 11.54 8.82 Gamma HHI 0.41 0.23 0.91 0.27 0.23 Net GEX 88.2M 12.0M 512.4M 16.4M 66.6M Net DEX -716.7M -1.30B -105.0M -271.2M -1.30B Net VEX -5.2M -5.7M -4.9M -5.7M -5.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.45 0.22 3.49 0.81 0.42 Total Volume 82,546.682 21,921 204,388 170,342 102,689 Total OI 1,271,981.318 1,102,641 1,401,536 1,349,698 1,365,969
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2015-07-01 $31.97 $32.26 17.9% 4.7% 8.1% 53.9% 16.5% 2.0% 0.4% 16.4M -271.2M -5.7M 0.81 11.54 94,275 76,067 796,150 553,548 2015-07-02 $31.71 $32.26 17.6% 4.7% 8.4% 51.3% 16.3% 1.8% 0.2% 21.0M -167.4M -5.4M 1.00 13.41 24,025 24,038 780,827 520,983 2015-07-06 $31.55 $32.26 18.9% 5.2% 8.5% 61.7% 17.7% 2.7% -1.0% 12.0M -105.0M -5.2M 0.48 6.51 14,820 7,101 777,748 513,979 2015-07-07 $31.98 $32.26 18.8% 5.0% 10.0% 61.0% 17.3% 2.1% -0.6% 27.2M -338.5M -5.3M 2.03 10.71 16,665 33,877 785,909 515,525 2015-07-08 $31.81 $32.26 19.4% 5.1% 10.1% 66.0% 18.1% 2.4% -0.9% 19.1M -232.6M -5.4M 0.96 9.08 14,389 13,825 791,885 531,016 2015-07-09 $32.19 $32.26 19.2% 5.2% 10.7% 63.9% 18.6% 1.9% -0.9% 32.7M -425.0M -5.5M 0.22 6.46 36,107 8,001 791,936 533,226 2015-07-10 $32.62 $32.26 17.4% 4.9% 11.7% 49.8% 16.7% 2.8% -0.1% 71.8M -682.1M -5.2M 0.43 7.92 31,495 13,577 809,640 534,786 2015-07-13 $33.03 $32.26 15.8% 4.4% 12.2% 36.6% 15.8% 1.6% -0.5% 115.8M -934.0M -5.1M 1.16 8.17 19,269 22,348 791,256 534,920 2015-07-14 $33.26 $32.26 15.4% 4.3% 12.2% 33.2% 15.1% 2.9% -0.5% 153.7M -1.13B -5.0M 1.13 8.74 26,198 29,556 795,290 535,850 2015-07-15 $33.20 $32.26 15.5% 4.3% 12.3% 34.0% 15.0% 2.3% -0.6% 164.7M -1.10B -4.9M 2.23 5.98 15,286 34,126 802,208 548,111 2015-07-16 $33.32 $32.26 14.6% 4.2% 12.2% 27.0% 14.5% 2.4% -0.3% 229.8M -1.17B -4.9M 1.70 6.99 44,036 74,745 802,117 560,337 2015-07-17 $33.24 $32.26 14.8% 4.1% 11.8% 28.2% 14.6% 1.8% -0.6% 512.4M -1.04B -5.1M 1.46 6.92 55,659 81,354 787,565 613,971 2015-07-20 $33.43 $32.26 14.4% 4.1% 11.9% 25.5% 14.8% 2.1% -0.3% 59.5M -831.1M -4.9M 3.30 8.19 16,409 54,170 595,776 506,865 2015-07-21 $33.33 $32.26 14.8% 4.2% 12.0% 28.1% 14.4% 2.1% -0.2% 57.5M -798.7M -4.9M 2.21 10.11 23,620 52,134 601,110 517,712 2015-07-22 $33.06 $32.26 14.2% 4.1% 12.3% 23.9% 14.2% 2.5% -0.7% 56.8M -652.2M -5.0M 1.84 9.88 22,604 41,603 611,009 521,091 2015-07-23 $33.00 $32.26 14.2% 4.1% 12.1% 23.9% 14.2% 1.7% -0.1% 55.8M -687.9M -4.9M 2.66 10.72 12,261 32,616 619,568 531,480 2015-07-24 $32.57 $32.26 15.9% 4.6% 12.9% 37.3% 16.3% 3.1% -0.4% 38.2M -426.1M -5.0M 2.43 14.54 18,967 46,151 621,646 534,857 2015-07-27 $32.57 $32.26 18.0% 5.2% 12.8% 54.7% 18.2% 2.6% -0.3% 37.2M -431.7M -5.0M 3.49 14.29 35,942 125,302 614,257 531,540 2015-07-28 $33.60 $32.26 14.4% 3.7% 16.2% 25.3% 14.6% 1.9% 0.5% 62.2M -885.9M -5.2M 0.80 17.42 76,555 61,574 635,587 579,042 2015-07-29 $33.95 $32.26 14.8% 4.2% 16.4% 28.8% 15.9% 2.2% 0.2% 61.8M -1.05B -5.1M 0.47 15.73 138,781 65,607 647,980 591,257 2015-07-30 $33.94 $32.26 13.9% 4.1% 16.4% 21.3% 15.2% 2.1% 0.8% 67.6M -1.09B -5.7M 0.62 8.66 48,171 30,032 721,915 626,145 2015-07-31 $34.24 $32.26 14.7% 4.1% 16.0% 27.5% 14.6% 0.9% 0.1% 66.6M -1.30B -5.4M 0.42 8.82 72,354 30,335 738,933 627,036
« Jun 2015 | All History | Aug 2015 » Home PFE History July 2015