PFE Options History — December 2015

In December 2015, PFE traded between $30.36 and $31.90. ATM implied volatility averaged 19.2%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 3.6% (HV 20d: 22.8%). Max pain ranged from $30.36 to $31.31. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.90.

Notable Days

  • 2015-12-18: Highest Volume — 346,987 contracts
  • 2015-12-16: Largest IV drop — 15.2% change
  • 2015-12-11: Highest IV Rank — 49.1%
  • 2015-12-11: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.86$30.36$31.90$31.90$30.73
Max Pain$30.45$30.36$31.31$31.31$30.36
ATM IV19.2%15.9%23.0%18.6%16.6%
Expected Move5.6%4.4%6.7%6.0%4.4%
HV 20d22.8%13.1%26.6%25.6%13.1%
HV 60d25.9%22.4%27.9%27.9%22.4%
IV Rank33.2%19.3%49.1%30.5%22.4%
IV Percentile60.7%32.5%82.1%63.1%42.5%
Term Structure0.8%-1.2%3.1%1.4%3.1%
VWIV19.9%15.3%24.7%20.8%16.0%
Skew 25d2.8%-0.1%4.2%-0.1%3.4%
Skew 10d6.2%-3.0%11.0%11.0%5.9%
Call IV 25d18.5%14.9%21.7%21.6%14.9%
Put IV 25d21.2%17.8%25.3%21.5%18.3%
Bid-Ask Spread %13.266.5331.0912.4711.58
Gamma HHI0.140.110.190.120.15
Net GEX-5.4M-43.2M45.0M45.0M-15.9M
Net DEX339.1M-474.7M749.9M-474.7M512.2M
Net VEX-7.9M-8.9M-6.9M-7.8M-8.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.900.576.510.691.38
Total Volume88,510.72716,946346,98766,74440,347
Total OI2,022,379.8641,880,4202,184,2082,002,9101,950,126

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$31.90$31.3118.6%6.0%25.6%30.5%20.8%-0.1%1.4%45.0M-474.7M-7.8M0.6912.4739,47727,2671,020,351982,559
2015-12-02$31.20$31.3121.0%6.4%26.6%40.7%22.7%2.3%0.7%19.2M-14.1M-7.9M1.0714.4540,30243,0201,031,432997,309
2015-12-03$30.80$30.3622.4%6.5%25.8%46.4%23.3%1.9%-1.2%4.8M255.1M-7.9M1.0513.3131,23232,7911,032,0411,015,855
2015-12-04$31.14$30.3620.3%6.0%26.2%37.9%21.7%2.4%0.2%9.3M93.9M-7.8M1.029.1525,39025,9921,038,5541,029,220
2015-12-07$30.99$30.3620.5%6.0%26.1%38.6%21.2%1.8%0.5%4.2M205.0M-7.7M0.688.9110,0866,8601,001,8341,018,592
2015-12-08$30.88$30.3620.3%5.9%26.0%38.0%21.1%2.1%0.2%1.2M258.1M-7.5M0.599.5737,35722,0551,003,1631,018,737
2015-12-09$30.65$30.3620.7%6.2%26.0%39.4%22.4%2.4%1.2%-4.2M381.1M-7.5M0.8411.8347,49240,1141,017,4781,024,422
2015-12-10$30.70$30.3620.8%6.1%25.8%39.7%20.9%2.3%0.9%-4.3M393.0M-7.3M0.5713.4445,87426,2591,017,2921,037,668
2015-12-11$30.42$30.3623.0%6.7%25.1%49.1%24.7%2.8%0.9%-14.6M535.9M-7.4M1.136.5339,56844,6701,033,3231,047,287
2015-12-14$30.42$30.3622.6%6.5%25.1%47.4%23.1%4.1%0.2%-13.5M578.0M-7.2M1.269.8334,68343,7581,022,8501,057,924
2015-12-15$30.59$30.3621.6%6.2%25.3%43.2%21.9%4.2%-0.6%-11.2M511.1M-7.2M1.2511.2243,31854,1321,025,5741,069,319
2015-12-16$30.93$30.3618.3%5.3%25.6%29.5%20.1%3.5%0.3%4.7M300.2M-7.0M2.4126.5626,55664,0091,039,2531,078,442
2015-12-17$30.79$30.3619.0%5.4%25.3%32.2%20.1%3.0%-0.1%63.2K392.6M-6.9M2.659.6419,64152,1261,049,2251,110,160
2015-12-18$30.36$30.3619.3%5.6%23.1%33.7%19.0%3.6%-0.2%-43.2M749.9M-7.0M6.5116.4446,218300,7691,051,6051,132,603
2015-12-21$30.73$30.3618.4%5.3%23.4%29.7%19.3%3.0%1.4%-22.8M494.1M-8.9M3.018.3929,54388,855729,2561,151,164
2015-12-22$30.83$30.3617.3%4.8%21.2%25.4%16.2%2.8%0.3%-19.7M461.8M-8.9M3.3731.0931,072104,556745,4501,165,958
2015-12-23$30.93$30.3616.2%4.8%20.1%20.8%16.2%3.0%0.4%-20.2M414.2M-8.9M2.2317.7137,28383,216754,5121,179,977
2015-12-24$30.95$30.3616.3%4.9%17.0%21.0%16.9%3.4%0.3%-15.7M344.6M-8.8M4.5610.1111,52252,490779,8471,183,626
2015-12-28$30.76$30.3617.1%5.1%17.0%24.3%18.4%3.2%2.6%-16.2M470.9M-8.8M2.248.9825,58557,306771,2671,170,934
2015-12-29$31.13$30.3615.9%4.4%17.6%19.3%15.8%2.9%2.8%320.7K267.1M-8.8M1.5517.1122,47534,918781,1611,168,410
2015-12-30$31.03$30.3616.4%4.5%14.8%21.6%15.3%3.0%2.9%-6.9M331.2M-8.7M1.7913.4820,45436,598783,8441,172,753
2015-12-31$30.73$30.3616.6%4.4%13.1%22.4%16.0%3.4%3.1%-15.9M512.2M-8.5M1.3811.5816,92523,422781,8591,168,267