PFE Options History — January 2016

In January 2016, PFE traded between $28.67 and $30.50. ATM implied volatility averaged 22.7%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 7.0% (HV 20d: 15.7%). Max pain ranged from $30.36 to $31.31. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 1.07.

Notable Days

  • 2016-01-22: Highest Volume — 110,513 contracts
  • 2016-01-07: Largest IV spike — 10.4% change
  • 2016-01-20: Highest IV Rank — 56.8%
  • 2016-01-20: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.36$28.67$30.50$30.32$28.93
Max Pain$30.71$30.36$31.31$31.31$30.36
ATM IV22.7%20.8%24.9%21.5%21.0%
Expected Move6.3%5.6%7.1%5.8%6.0%
HV 20d15.7%12.6%18.1%13.1%16.4%
HV 60d21.8%19.2%22.9%22.4%19.2%
IV Rank47.8%39.9%56.8%42.9%40.8%
IV Percentile77.2%65.5%87.3%73.8%65.5%
Term Structure-0.6%-1.5%0.4%-0.9%-0.0%
VWIV22.5%19.9%25.7%21.8%24.5%
Skew 25d5.1%4.3%5.9%4.7%4.3%
Skew 10d10.7%7.4%14.0%8.0%7.4%
Call IV 25d20.4%18.9%22.8%19.9%18.9%
Put IV 25d25.6%23.3%28.1%24.7%23.3%
Bid-Ask Spread %12.948.0420.3412.8414.24
Gamma HHI0.220.150.300.150.27
Net GEX-39.7M-72.6M-20.8M-28.9M-38.3M
Net DEX974.8M599.6M1.35B702.8M1.03B
Net VEX-8.1M-8.4M-7.7M-8.4M-8.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.451.781.780.97
Total Volume64,192.26337,296110,51369,53637,296
Total OI1,732,265.7891,352,0452,028,5471,937,6541,569,398

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$30.32$31.3121.5%5.8%13.1%42.9%21.8%4.7%-0.9%-28.9M702.8M-8.4M1.7812.8425,02044,516777,4821,160,172
2016-01-05$30.50$31.3121.2%5.6%12.6%41.5%19.9%4.3%-1.3%-20.8M599.6M-8.4M1.058.0423,48124,632782,2201,161,829
2016-01-06$30.00$31.3122.4%5.8%13.7%46.4%20.1%4.7%-0.8%-39.2M865.6M-8.3M1.3614.3219,79627,017787,0011,168,134
2016-01-07$29.92$31.3124.7%6.1%13.7%56.1%21.6%4.7%-1.0%-39.8M885.3M-8.4M1.679.6625,85743,293793,7931,174,499
2016-01-08$29.37$31.3123.3%6.3%14.9%50.5%21.7%5.9%-0.8%-55.5M1.15B-8.1M1.0211.6424,87025,439801,8091,181,103
2016-01-11$29.50$31.3123.5%6.2%15.0%51.2%21.6%4.9%-1.5%-54.6M1.09B-7.8M1.2811.6632,80342,094801,3221,175,466
2016-01-12$29.47$31.3122.7%6.1%14.7%47.9%21.5%5.2%-1.1%-57.9M1.10B-7.9M1.3012.3926,46834,463808,8941,178,158
2016-01-13$28.86$30.3623.9%6.8%16.2%52.8%23.2%5.7%0.4%-72.6M1.35B-7.7M1.1714.9920,15023,556823,4531,189,305
2016-01-14$29.48$30.3623.1%6.3%18.1%49.3%21.7%5.5%-0.7%-54.0M1.09B-7.8M1.1913.8327,85933,238827,2361,185,111
2016-01-15$29.20$30.3624.2%6.7%17.6%54.2%22.4%5.3%-1.3%-30.8M1.21B-8.0M0.6110.1964,38939,404833,4661,195,081
2016-01-19$29.15$30.3623.2%6.6%17.6%50.0%22.9%4.9%-0.1%-31.7M892.8M-7.9M1.0713.9429,45931,646493,546858,499
2016-01-20$29.16$30.3624.9%7.1%17.1%56.8%25.7%5.7%-0.5%-28.9M859.7M-8.0M1.3712.2235,79748,940510,447875,000
2016-01-21$29.11$30.3622.8%6.5%16.3%48.2%22.6%5.1%0.3%-32.1M908.6M-8.0M0.5011.8345,13022,695521,457895,957
2016-01-22$29.24$30.3620.8%6.0%16.3%39.9%21.0%5.4%-0.4%-31.2M878.8M-8.0M0.538.3472,45738,056533,867900,384
2016-01-25$28.92$30.3621.8%6.5%16.4%44.0%21.9%5.1%-0.4%-33.1M957.3M-8.0M0.4510.4938,64217,316553,563900,636
2016-01-26$29.05$30.3621.8%6.4%16.6%44.2%24.9%5.2%-0.4%-33.4M932.6M-8.1M0.9316.6522,32020,847569,653913,071
2016-01-27$28.92$30.3622.1%6.3%16.6%45.2%23.3%5.3%-0.4%-34.2M968.2M-8.1M1.0220.3420,03820,508582,456917,944
2016-01-28$28.67$30.3622.1%6.6%15.7%45.5%24.6%5.0%-0.2%-38.0M1.06B-8.1M0.9718.1745,65544,506588,437923,201
2016-01-29$28.93$30.3621.0%6.0%16.4%40.8%24.5%4.3%-0.0%-38.3M1.03B-8.3M0.9714.2418,94918,347623,731945,667