PFE Options History — November 2015

In November 2015, PFE traded between $29.72 and $33.22. ATM implied volatility averaged 24.4%, placing in the 54.8% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 1.6% (HV 20d: 25.9%). Max pain ranged from $31.31 to $32.26. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.88.

Notable Days

  • 2015-11-20: Highest Volume — 258,677 contracts
  • 2015-11-23: Largest IV drop — 16.7% change
  • 2015-11-16: Highest IV Rank — 75.8%
  • 2015-11-16: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.62$29.72$33.22$33.21$31.09
Max Pain$31.97$31.31$32.26$31.31$31.31
ATM IV24.4%21.3%29.4%24.5%21.3%
Expected Move7.0%6.1%8.5%7.6%6.1%
HV 20d25.9%24.1%27.8%26.5%26.2%
HV 60d28.4%27.2%29.4%28.8%27.6%
IV Rank54.8%42.1%75.8%55.4%42.1%
IV Percentile86.8%74.6%97.6%89.7%74.6%
Term Structure-0.1%-1.4%1.6%-0.5%-0.2%
VWIV24.8%21.4%29.5%27.2%21.4%
Skew 25d3.3%0.9%5.1%3.6%3.1%
Skew 10d7.6%1.2%12.1%12.1%8.6%
Call IV 25d23.3%20.9%28.4%23.9%20.9%
Put IV 25d26.7%23.0%32.4%27.5%24.1%
Bid-Ask Spread %17.516.2650.6114.5715.65
Gamma HHI0.130.090.180.170.11
Net GEX31.2M-17.5M86.0M72.0M13.9M
Net DEX-184.1M-1.08B681.0M-1.03B27.5M
Net VEX-7.0M-7.4M-6.2M-7.1M-7.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.302.190.570.75
Total Volume104,130.6534,891258,677104,58356,340
Total OI1,834,445.31,676,0311,998,9351,676,0311,960,548

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$33.21$31.3124.5%7.6%26.5%55.4%27.2%3.6%-0.5%72.0M-1.03B-7.1M0.5714.5766,44238,141942,645733,386
2015-11-03$33.22$31.3122.4%6.4%25.1%46.7%22.4%1.9%-0.1%86.0M-1.08B-7.0M0.3911.95112,74843,461973,490757,791
2015-11-04$32.47$32.2622.9%6.3%26.5%48.7%22.1%3.5%0.4%59.0M-613.6M-7.2M0.9413.5143,52640,820946,983774,890
2015-11-05$32.49$32.2622.9%6.7%26.4%48.7%25.4%3.5%0.5%59.7M-596.3M-7.3M1.076.2624,28225,941967,888805,971
2015-11-06$32.19$32.2622.8%6.8%26.6%48.3%23.4%3.4%0.2%39.4M-428.5M-7.2M0.6613.4521,42314,147966,102802,027
2015-11-09$31.93$32.2623.3%6.7%26.8%50.5%23.4%3.9%-0.1%43.3M-312.3M-6.8M1.3815.3919,83227,440949,116792,781
2015-11-10$32.09$32.2622.4%6.4%26.7%46.5%23.4%3.2%-0.1%50.4M-359.1M-6.9M0.706.4722,57615,775958,661813,042
2015-11-11$32.31$32.2622.6%6.5%26.8%47.5%23.9%2.9%0.5%60.7M-492.7M-6.9M0.6215.7621,56813,323959,875811,559
2015-11-12$31.67$32.2624.3%7.2%25.2%54.5%24.5%4.6%1.3%31.2M-126.4M-7.0M0.708.9824,20216,833976,816836,821
2015-11-13$31.56$32.2625.9%7.7%24.9%61.2%27.7%5.1%1.6%26.5M-71.9M-6.9M1.0211.1447,94149,123978,975838,618
2015-11-16$31.46$32.2629.4%8.5%24.8%75.8%29.5%4.7%-1.2%17.1M-62.5M-6.9M0.3010.9654,20316,022973,726847,268
2015-11-17$31.34$32.2628.6%8.2%24.1%72.6%28.9%4.8%-1.2%15.3M-43.0M-6.9M0.559.2838,96321,6041,005,872849,701
2015-11-18$31.70$32.2627.3%7.8%24.1%67.0%27.1%4.6%-1.4%28.8M-191.9M-6.9M2.1912.0252,954115,7231,014,971859,116
2015-11-19$30.70$32.2628.1%8.1%26.6%70.4%27.3%5.0%-0.5%-12.6M386.4M-7.0M0.9328.0996,22289,8101,045,296942,087
2015-11-20$30.51$32.2627.7%7.9%24.8%68.8%28.5%1.2%0.8%6.5M413.6M-6.8M1.1329.79121,391137,2861,031,219953,538
2015-11-23$29.72$32.2623.1%6.3%26.0%49.4%22.7%1.9%-0.5%-17.5M681.0M-6.2M0.5350.61128,15268,472917,618881,930
2015-11-24$30.33$31.3122.4%6.2%25.8%46.8%22.4%0.9%-0.9%-4.4M431.7M-6.8M0.728.3382,70059,869963,029925,749
2015-11-25$31.25$31.3122.9%6.3%27.8%48.5%23.2%1.9%-1.0%32.1M-154.9M-7.4M0.8618.1479,31868,171992,493938,373
2015-11-27$31.11$31.3122.4%6.2%27.0%46.4%21.8%2.8%-0.6%17.1M-59.2M-7.4M1.5449.9141,61164,2581,026,125972,810
2015-11-30$31.09$31.3121.3%6.1%26.2%42.1%21.4%3.1%-0.2%13.9M27.5M-7.4M0.7515.6532,24224,098995,188965,360