PFE Options History — November 2016

In November 2016, PFE traded between $28.35 and $31.73. ATM implied volatility averaged 19.5%, placing in the 44.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 10.1% (HV 20d: 29.6%). Max pain ranged from $30.36 to $31.31. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2016-11-10: Highest Volume — 186,556 contracts
  • 2016-11-10: Largest IV spike — 8.2% change
  • 2016-11-10: Highest IV Rank — 63.8%
  • 2016-11-01: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.90$28.35$31.73$29.44$30.54
Max Pain$30.99$30.36$31.31$31.31$30.36
ATM IV19.5%15.8%23.2%22.8%16.9%
Expected Move5.6%4.5%7.3%7.3%5.1%
HV 20d29.6%12.1%36.2%12.4%35.0%
HV 60d20.3%12.9%23.4%12.9%23.4%
IV Rank44.2%22.8%63.8%61.5%32.9%
IV Percentile63.8%28.2%92.1%88.5%42.9%
Term Structure-0.2%-1.6%0.7%-0.4%0.0%
VWIV20.0%15.7%25.7%25.7%19.4%
Skew 25d2.5%1.4%3.6%3.6%1.9%
Skew 10d4.7%1.3%7.9%6.4%7.9%
Call IV 25d19.0%15.3%23.5%21.3%16.6%
Put IV 25d21.5%17.2%25.7%24.9%18.6%
Bid-Ask Spread %22.788.3841.8430.9329.27
Gamma HHI0.150.110.220.140.14
Net GEX390.8K-37.3M47.0M-14.7M20.1M
Net DEX306.9M-748.5M1.10B677.0M-36.4M
Net VEX-7.3M-8.6M-6.4M-6.8M-7.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.342.831.231.26
Total Volume83,148.90542,468186,556174,98258,198
Total OI1,996,448.811,835,7962,092,7011,835,7961,945,991

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$29.44$31.3122.8%7.3%12.4%61.5%25.7%3.6%-0.4%-14.7M677.0M-6.8M1.2330.9378,37096,612911,465924,331
2016-11-02$29.17$31.3121.9%7.3%12.1%56.5%25.1%3.1%-0.5%-23.1M822.2M-7.0M0.7727.3839,34330,345956,345988,980
2016-11-03$28.35$31.3121.7%6.0%14.8%55.1%21.1%2.6%-0.4%-32.7M1.10B-6.4M0.8626.1446,97340,261957,943996,421
2016-11-04$28.46$31.3122.2%6.1%15.0%57.9%21.7%3.4%-0.4%-37.3M1.08B-6.6M0.4815.3188,57342,721983,8341,012,704
2016-11-07$28.73$31.3120.8%5.9%15.8%49.7%20.9%3.4%0.2%-25.5M951.7M-6.9M0.3730.7260,42222,214977,7341,017,283
2016-11-08$28.56$31.3121.0%5.9%15.5%50.9%20.1%3.3%-0.3%-18.3M869.1M-7.1M0.5415.7536,76719,6981,006,1541,025,206
2016-11-09$30.90$31.3121.4%5.9%33.5%53.6%21.1%2.6%-0.7%32.2M-301.3M-8.0M0.3441.84134,18846,1951,018,0351,031,266
2016-11-10$31.73$31.3123.2%6.7%34.6%63.8%22.8%2.2%-0.1%47.0M-748.5M-8.6M0.5820.71118,07468,4821,034,3961,043,266
2016-11-11$30.86$31.3122.5%6.1%36.1%59.6%21.9%1.4%-1.6%26.5M-194.0M-8.3M0.6317.4443,48127,3641,022,2281,068,370
2016-11-14$30.59$31.3120.9%6.0%36.2%50.7%21.3%2.3%-0.4%19.1M-41.9M-8.0M1.1117.2731,41734,7761,012,6351,044,017
2016-11-15$30.48$31.3120.2%5.8%36.1%46.4%20.5%1.8%0.1%14.7M3.5M-7.8M0.7521.6328,01320,9691,014,8771,049,201
2016-11-16$30.34$31.3119.1%5.5%36.1%41.8%19.3%2.2%-0.2%8.8M89.0M-7.6M0.8616.0630,88026,4721,019,4561,040,359
2016-11-17$30.12$31.3117.7%5.0%36.2%34.3%18.1%2.1%0.7%-3.6M223.4M-7.4M0.3926.0355,10221,2331,027,3621,047,611
2016-11-18$29.91$31.3117.1%4.9%36.1%30.4%17.7%2.1%0.3%760.4K331.0M-7.2M1.0222.4931,52132,1281,041,2901,051,411
2016-11-21$29.91$30.3615.8%4.5%36.1%22.8%15.7%1.8%-0.0%-3.0M314.7M-6.9M0.9520.6031,80030,308928,402984,880
2016-11-22$29.71$30.3616.1%4.7%36.0%27.4%16.2%2.9%-0.3%-7.8M382.4M-7.0M0.6424.8032,90221,052939,714986,555
2016-11-23$29.80$30.3616.5%4.7%36.0%30.1%16.9%2.2%0.3%-4.4M327.6M-7.2M1.1328.0425,98029,407950,616992,531
2016-11-25$30.07$30.3616.9%4.8%36.2%32.9%17.1%2.3%-0.1%2.9M215.8M-7.4M1.4414.5117,41825,050959,2311,001,636
2016-11-28$29.93$30.3617.7%5.2%35.7%38.8%20.4%2.5%0.1%-399.7K249.9M-7.0M2.8323.0720,55758,269951,979999,535
2016-11-29$30.28$30.3616.7%4.9%35.8%31.3%17.7%2.3%0.1%7.0M125.9M-7.2M0.508.3828,43614,156954,9221,005,253
2016-11-30$30.54$30.3616.9%5.1%35.0%32.9%19.4%1.9%0.0%20.1M-36.4M-7.1M1.2629.2725,72232,476957,437988,554