PFE Options History — September 2015

In September 2015, PFE traded between $29.28 and $31.70. ATM implied volatility averaged 25.2%, placing in the 61.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 4.7% (HV 20d: 29.9%). Max pain ranged from $31.31 to $33.21. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2015-09-16: Highest Volume — 123,182 contracts
  • 2015-09-24: Largest IV spike — 29.9% change
  • 2015-09-28: Highest IV Rank — 100.0%
  • 2015-09-28: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.58$29.28$31.70$29.75$29.80
Max Pain$32.37$31.31$33.21$33.21$31.31
ATM IV25.2%20.7%35.1%31.6%29.2%
Expected Move7.3%6.0%10.5%9.9%7.9%
HV 20d29.9%25.9%33.0%25.9%27.9%
HV 60d22.0%19.3%24.3%19.3%24.3%
IV Rank61.0%42.0%100.0%90.6%75.0%
IV Percentile95.5%90.1%100.0%99.6%98.0%
Term Structure0.2%-1.5%2.0%-0.6%0.5%
VWIV25.2%18.3%37.3%36.6%27.7%
Skew 25d6.7%4.3%10.7%9.7%6.4%
Skew 10d14.2%5.3%22.2%22.0%11.2%
Call IV 25d23.2%18.7%33.9%28.2%27.8%
Put IV 25d30.0%23.3%39.6%37.9%34.2%
Bid-Ask Spread %15.289.0732.7914.4111.49
Gamma HHI0.100.080.110.080.09
Net GEX3.9M-18.4M21.2M-10.4M9.2M
Net DEX238.3M-128.0M660.2M646.2M282.9M
Net VEX-5.9M-6.5M-5.5M-6.0M-5.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.241.661.660.61
Total Volume71,072.57126,720123,18266,98574,898
Total OI1,534,156.9521,370,0801,659,1071,537,7021,615,077

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$29.75$33.2131.6%9.9%25.9%90.6%36.6%9.7%-0.6%-10.4M646.2M-6.0M1.6614.4125,15441,831807,902729,800
2015-09-02$30.25$33.2125.1%7.2%27.2%61.5%26.0%8.0%-0.2%-13.6M591.4M-5.8M1.3712.2743,01058,940812,205738,659
2015-09-03$30.28$33.2124.0%6.9%26.9%56.5%18.3%8.4%0.0%-9.7M576.0M-5.8M1.5012.9825,97138,948834,749743,511
2015-09-04$29.86$33.2125.9%7.7%27.1%64.9%21.5%10.7%0.2%-18.4M660.2M-5.6M1.2411.7625,44831,629838,368743,160
2015-09-08$30.86$32.2622.3%6.4%30.2%49.1%23.4%6.4%-0.4%-1.1M258.5M-5.8M0.7214.1515,53611,184813,791688,279
2015-09-09$30.28$32.2624.2%7.0%30.7%57.4%25.6%7.2%1.1%-6.1M412.4M-5.6M0.969.6616,73316,099821,379694,075
2015-09-10$30.93$32.2623.9%6.5%31.9%56.2%22.9%8.4%-1.4%506.1K242.4M-5.8M0.8011.5421,09416,807824,506695,735
2015-09-11$31.23$32.2622.2%6.5%32.2%48.6%22.8%8.4%0.4%2.8M126.1M-5.9M0.5311.2350,15126,451830,260697,230
2015-09-14$30.98$32.2623.3%6.6%32.2%53.6%26.4%7.0%1.1%2.4M222.1M-5.9M1.0312.3618,42318,958845,800698,668
2015-09-15$31.47$32.2622.8%6.5%32.8%51.2%22.0%6.3%0.6%8.6M17.5M-5.8M0.2413.7326,8996,415848,006702,658
2015-09-16$31.49$32.2621.3%6.1%32.8%44.6%20.3%5.7%0.1%7.4M23.2M-5.6M0.3313.3992,30930,873857,436705,718
2015-09-17$31.70$32.2620.8%6.0%33.0%42.2%20.7%4.7%-1.5%16.3M-110.9M-6.0M0.6622.2662,21341,158897,935721,242
2015-09-18$31.26$32.2620.7%6.0%32.7%42.0%20.5%6.3%-0.6%12.2M91.2M-5.9M0.6714.6451,15534,407919,955739,152
2015-09-21$30.70$32.2621.3%6.1%31.8%44.5%21.5%5.2%2.0%7.2M121.3M-5.5M0.2711.8068,26918,526762,956607,124
2015-09-22$30.36$32.2623.4%6.7%29.3%54.0%23.2%5.3%1.6%6.3M181.4M-5.7M0.3312.6048,14916,012798,572613,758
2015-09-23$30.98$32.2622.3%6.7%28.9%49.1%22.4%4.8%2.0%16.4M-33.2M-6.1M0.399.0745,48617,770822,452625,630
2015-09-24$31.04$32.2629.0%8.4%27.9%78.7%29.4%4.9%0.7%21.2M-128.0M-6.5M0.4327.4672,23930,858838,971635,439
2015-09-25$30.29$32.2628.0%8.3%27.5%74.5%28.0%4.3%-0.2%16.2M110.4M-6.2M0.4632.7959,28127,226880,258650,815
2015-09-28$29.28$32.2635.1%10.5%29.2%100.0%37.3%5.7%-0.9%7.6M348.9M-5.8M0.7118.7341,01029,148897,193652,627
2015-09-29$29.38$31.7832.0%9.2%29.1%87.0%31.9%7.6%0.0%6.2M364.9M-5.7M0.4022.6068,40927,447903,096663,149
2015-09-30$29.80$31.3129.2%7.9%27.9%75.0%27.7%6.4%0.5%9.2M282.9M-5.9M0.6111.4946,51328,385942,200672,877