PFE Options History — August 2015

In August 2015, PFE traded between $30.08 and $34.30. ATM implied volatility averaged 20.0%, placing in the 53.1% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 1.7% (HV 20d: 18.3%). Max pain ranged from $32.26 to $33.21. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2015-08-04: Highest Volume — 358,881 contracts
  • 2015-08-24: Largest IV spike — 33.7% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-25: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.72$30.08$34.30$34.30$30.59
Max Pain$33.12$32.26$33.21$32.26$33.21
ATM IV20.0%14.2%33.7%14.9%27.2%
Expected Move5.8%4.0%9.2%4.1%8.2%
HV 20d18.3%15.3%24.8%15.6%24.8%
HV 60d13.8%11.8%18.5%12.0%18.5%
IV Rank53.1%23.8%100.0%29.7%71.0%
IV Percentile71.5%26.6%100.0%43.3%99.2%
Term Structure-0.2%-6.5%1.6%0.1%-0.9%
VWIV21.0%15.7%31.8%16.9%31.1%
Skew 25d4.6%1.1%13.9%1.1%8.7%
Skew 10d8.7%1.2%25.0%1.8%15.9%
Call IV 25d18.6%14.1%25.9%15.1%23.7%
Put IV 25d23.2%15.6%39.4%16.2%32.4%
Bid-Ask Spread %13.237.5424.4810.5018.56
Gamma HHI0.150.080.210.200.08
Net GEX14.7M-18.7M80.2M76.3M-10.9M
Net DEX-241.2M-1.34B704.5M-1.34B478.1M
Net VEX-6.1M-6.6M-5.3M-5.4M-6.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.223.081.851.81
Total Volume109,061.47619,285358,88171,73260,253
Total OI1,426,690.7621,192,7091,614,6961,376,9501,523,877

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$34.30$32.2614.9%4.1%15.6%29.7%16.9%1.1%0.1%76.3M-1.34B-5.4M1.8510.5025,20746,525759,159617,791
2015-08-04$34.25$32.2614.5%4.0%15.3%25.7%21.2%1.6%0.0%80.2M-1.30B-5.3M0.227.73294,22164,660756,032622,024
2015-08-05$34.00$33.2114.2%4.0%15.5%23.8%16.0%1.5%-0.0%34.8M-663.7M-5.4M0.827.54103,32785,100563,095632,833
2015-08-06$33.40$33.2116.3%4.8%16.9%40.9%17.2%1.5%-0.6%11.5M-348.3M-5.8M0.6515.08184,904120,820562,637630,072
2015-08-07$33.38$33.2117.0%5.1%16.4%46.5%18.2%1.2%-0.2%12.2M-419.7M-6.6M1.069.6329,42031,150669,913708,515
2015-08-10$33.53$33.2115.9%4.8%15.9%37.3%16.7%1.3%0.7%19.8M-485.0M-6.3M1.009.6723,54523,518665,896708,807
2015-08-11$33.32$33.2116.4%4.9%15.9%41.7%17.2%1.9%0.7%8.0M-372.3M-6.3M1.218.348,74310,542666,622715,164
2015-08-12$33.52$33.2116.3%5.0%16.0%40.6%17.3%3.0%0.8%15.7M-467.8M-6.3M1.0011.1527,95127,870671,634717,688
2015-08-13$33.61$33.2116.5%5.1%15.9%42.0%17.9%1.8%1.6%21.2M-542.3M-6.3M0.688.7528,32419,268676,019726,341
2015-08-14$33.48$33.2116.8%4.9%16.0%44.3%17.2%1.8%1.1%19.0M-483.4M-6.3M0.449.6551,79722,541688,593726,515
2015-08-17$33.69$33.2115.6%4.5%16.0%35.2%16.3%2.9%0.7%32.9M-602.1M-6.1M0.929.1123,95021,961706,357725,374
2015-08-18$33.67$33.2116.0%4.6%15.9%38.0%15.7%2.4%-0.1%33.8M-599.3M-6.1M0.828.8837,62330,729710,730726,388
2015-08-19$33.46$33.2116.0%4.6%15.8%38.1%16.3%2.6%-0.4%25.2M-541.1M-6.1M0.5012.6212,9626,508731,392729,785
2015-08-20$32.84$33.2119.3%5.5%17.3%64.6%21.1%3.7%0.7%-9.3M-190.5M-6.2M1.1812.5731,02436,488739,136731,696
2015-08-21$31.93$33.2122.6%6.4%19.4%91.2%22.0%6.0%0.2%-18.7M298.7M-6.1M3.0816.3553,919166,105753,735744,528
2015-08-24$30.77$33.2130.2%8.9%23.2%100.0%31.8%13.9%0.7%-12.8M502.7M-6.0M0.8224.4878,82764,565712,634691,116
2015-08-25$30.08$33.2133.7%9.2%20.5%100.0%26.9%8.5%-6.5%-12.3M704.5M-5.7M0.6021.38104,45862,626763,058725,303
2015-08-26$30.76$33.2127.0%8.1%22.2%70.0%29.9%12.4%-0.3%-7.8M547.7M-6.3M0.5020.6658,86029,481818,685751,958
2015-08-27$31.57$33.2125.8%7.2%24.7%64.8%25.2%9.3%-0.8%-5.0M268.3M-6.6M0.9123.8061,26955,674811,048763,660
2015-08-28$30.97$33.2126.7%7.9%24.8%68.6%27.9%9.1%-0.8%-4.5M497.3M-6.4M1.3711.2926,78136,795833,641781,055
2015-08-31$30.59$33.2127.2%8.2%24.8%71.0%31.1%8.7%-0.9%-10.9M478.1M-6.0M1.8118.5621,46638,787800,323723,554