PFE Options History — July 2016

In July 2016, PFE traded between $33.80 and $35.05. ATM implied volatility averaged 15.6%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.1% (HV 20d: 13.5%). Max pain ranged from $31.78 to $33.68. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2016-07-08: Highest Volume — 95,702 contracts
  • 2016-07-08: Largest IV drop — 8.8% change
  • 2016-07-07: Highest IV Rank — 20.7%
  • 2016-07-07: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.58$33.80$35.05$33.80$35.05
Max Pain$33.18$31.78$33.68$31.78$33.68
ATM IV15.6%13.9%18.3%15.3%15.3%
Expected Move4.4%3.6%4.8%3.6%4.6%
HV 20d13.5%9.1%15.5%15.4%9.3%
HV 60d12.8%11.6%13.6%13.6%11.6%
IV Rank7.8%0.0%20.7%6.4%6.3%
IV Percentile13.8%0.4%42.9%9.5%9.5%
Term Structure-0.2%-2.0%2.3%2.3%-0.3%
VWIV16.4%13.1%18.2%13.1%18.2%
Skew 25d4.2%3.0%5.2%3.0%4.8%
Skew 10d9.3%5.4%11.9%11.2%10.4%
Call IV 25d13.7%12.6%15.5%12.7%13.2%
Put IV 25d17.9%15.8%20.4%15.8%18.0%
Bid-Ask Spread %10.235.7231.6414.3231.64
Gamma HHI0.160.140.180.180.18
Net GEX57.5M47.6M66.3M56.8M59.5M
Net DEX-1.51B-1.85B-1.30B-1.30B-1.42B
Net VEX-8.7M-9.6M-8.0M-9.6M-8.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.211.531.000.61
Total Volume47,421.8528,60695,70238,87071,192
Total OI1,762,556.31,697,5701,838,3091,749,1951,809,602

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$33.80$31.7815.3%3.6%15.4%6.4%13.1%3.0%2.3%56.8M-1.30B-9.6M1.0014.3219,44119,429874,625874,570
2016-07-05$33.99$33.2116.4%4.7%15.4%11.6%17.3%4.3%-0.4%58.0M-1.37B-9.4M1.1212.4415,24117,048876,634872,374
2016-07-06$34.06$33.2117.3%4.8%15.4%15.9%17.5%4.7%-0.4%57.4M-1.39B-9.5M0.978.8815,35614,932880,995879,097
2016-07-07$33.94$33.2118.3%4.8%15.2%20.7%18.1%4.9%-0.6%59.9M-1.36B-9.5M0.706.1019,23313,394885,926881,889
2016-07-08$34.27$33.2116.7%4.6%15.5%13.1%15.8%4.9%-0.7%66.3M-1.58B-8.6M0.215.9179,30816,394890,937884,424
2016-07-11$34.32$33.2116.6%4.5%15.5%12.9%16.5%4.2%-0.8%64.5M-1.58B-8.5M0.515.7223,84912,243902,158888,144
2016-07-12$34.38$33.2116.2%4.4%14.2%10.7%15.8%4.5%-0.8%66.0M-1.61B-8.5M1.029.9819,79120,265907,724890,749
2016-07-13$34.41$33.2115.2%4.4%14.1%6.2%15.3%4.2%0.7%60.7M-1.58B-9.0M0.736.2117,65112,800911,367899,305
2016-07-14$35.03$33.2114.7%4.1%14.8%3.7%17.1%5.2%-0.5%57.8M-1.85B-8.3M0.347.8347,37216,117913,562904,357
2016-07-15$34.84$33.2115.4%4.1%15.0%7.0%14.8%3.7%-2.0%58.0M-1.78B-8.4M0.5016.5738,68319,464928,866909,443
2016-07-18$34.76$33.2115.4%4.4%13.8%6.9%15.8%4.0%-0.4%58.4M-1.49B-8.4M1.2712.5317,19621,879855,170842,400
2016-07-19$34.75$33.2115.5%4.4%13.8%7.3%16.5%4.0%-0.4%57.4M-1.48B-8.3M1.536.9814,75322,547859,150852,319
2016-07-20$34.83$33.2115.1%4.3%13.7%5.4%16.7%4.0%-0.3%52.2M-1.44B-9.0M1.195.8716,11419,174862,772859,900
2016-07-21$34.81$33.2115.1%4.3%13.3%5.5%16.9%3.8%-0.3%56.1M-1.49B-8.4M0.8414.6515,55513,051866,936863,322
2016-07-22$34.82$33.2114.5%4.2%13.3%2.9%15.8%3.8%-0.2%50.2M-1.46B-8.7M0.567.2834,52619,181870,203866,208
2016-07-25$34.86$33.2114.9%4.4%11.9%4.6%16.0%4.1%-0.1%53.9M-1.49B-8.0M0.856.9021,22818,130857,339868,988
2016-07-26$34.91$33.2113.9%4.1%11.2%0.0%16.1%3.9%0.3%54.4M-1.51B-8.1M0.946.2124,20422,670861,162874,828
2016-07-27$34.98$33.2114.5%4.3%10.0%2.9%17.5%3.8%-0.1%54.0M-1.53B-8.3M0.859.3625,72421,875868,979886,392
2016-07-28$34.79$33.6815.3%4.7%9.1%6.6%17.7%4.2%-0.2%47.6M-1.41B-8.4M0.589.1857,71333,714871,305897,005
2016-07-29$35.05$33.6815.3%4.6%9.3%6.3%18.2%4.8%-0.3%59.5M-1.42B-8.6M0.6131.6444,11427,078891,143918,459