PFE Options History — December 2016

In December 2016, PFE traded between $29.36 and $31.19. ATM implied volatility averaged 17.8%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 4.1% (HV 20d: 21.9%). Max pain ranged from $30.36 to $30.36. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2016-12-13: Highest Volume — 94,246 contracts
  • 2016-12-07: Largest IV spike — 9.3% change
  • 2016-12-12: Highest IV Rank — 54.9%
  • 2016-12-12: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.55$29.36$31.19$29.86$30.76
Max Pain$30.36$30.36$30.36$30.36$30.36
ATM IV17.8%16.0%19.9%18.4%18.3%
Expected Move5.0%4.6%5.8%5.6%4.8%
HV 20d21.9%15.4%35.9%35.9%15.4%
HV 60d23.9%23.3%24.4%23.8%23.6%
IV Rank39.3%26.5%54.9%43.7%43.2%
IV Percentile55.5%30.6%77.0%65.1%65.9%
Term Structure0.7%-0.8%3.1%-0.0%3.1%
VWIV18.8%16.6%23.6%19.3%19.4%
Skew 25d2.6%2.2%3.1%2.9%2.9%
Skew 10d5.3%3.3%7.8%3.3%5.8%
Call IV 25d17.1%15.5%19.4%17.7%16.5%
Put IV 25d19.7%18.1%21.6%20.6%19.4%
Bid-Ask Spread %19.118.9030.7628.9316.01
Gamma HHI0.140.130.180.140.13
Net GEX15.0M-13.6M44.0M-4.5M21.6M
Net DEX-4.1M-375.4M562.8M309.7M-92.5M
Net VEX-6.7M-7.2M-6.3M-7.0M-6.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.241.020.690.43
Total Volume51,279.61927,36194,24648,46127,361
Total OI1,912,126.811,772,5732,023,2201,960,1061,830,807

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$29.86$30.3618.4%5.6%35.9%43.7%19.3%2.9%-0.0%-4.5M309.7M-7.0M0.6928.9328,72419,737958,9951,001,111
2016-12-02$30.04$30.3618.0%5.4%34.1%41.1%19.1%2.4%0.1%-929.2K227.9M-7.0M0.7025.3625,11517,466959,5331,004,788
2016-12-05$30.00$30.3617.4%4.9%34.1%36.6%17.7%2.3%0.6%1.9M240.2M-6.8M0.5519.0327,78415,414954,974998,606
2016-12-06$29.91$30.3617.0%4.9%34.1%34.0%17.4%2.5%0.5%-2.7M324.8M-6.9M0.9417.4016,45715,409964,7471,004,508
2016-12-07$29.50$30.3618.6%5.3%34.5%45.4%18.8%2.3%0.2%-13.3M510.2M-6.8M0.7620.6848,22936,533967,2011,006,409
2016-12-08$29.36$30.3619.0%5.4%18.8%48.0%23.6%2.4%0.1%-13.6M562.8M-6.7M1.028.9033,37934,084982,2811,014,768
2016-12-09$30.09$30.3619.3%5.4%18.5%50.4%19.7%2.5%0.1%4.0M197.6M-7.2M0.4523.3348,37621,655990,4501,024,075
2016-12-12$30.80$30.3619.9%5.8%18.1%54.9%20.5%2.2%0.4%28.8M-183.7M-7.0M0.6030.7646,70027,808981,8271,022,795
2016-12-13$31.12$30.3619.2%5.4%18.2%49.7%22.9%2.9%-0.4%43.3M-375.4M-7.2M0.6518.7256,96037,286995,5571,027,663
2016-12-14$31.16$30.3619.2%5.4%18.1%49.4%19.7%2.3%-0.4%44.0M-346.1M-6.9M0.4421.1543,23119,058973,0321,014,640
2016-12-15$31.06$30.3618.1%5.0%18.1%42.0%18.7%2.4%-0.8%35.1M-256.3M-6.8M0.4717.9324,05411,327968,1711,035,247
2016-12-16$31.00$30.3617.2%4.9%17.8%35.2%17.6%2.6%-0.4%28.1M-219.1M-6.6M0.4912.3331,38415,348969,6051,031,776
2016-12-19$31.13$30.3616.1%4.6%17.6%27.0%17.5%2.5%0.3%21.1M-243.1M-6.4M0.5620.3732,51118,361818,131954,442
2016-12-20$31.19$30.3616.0%4.6%17.6%26.5%16.8%2.6%0.5%22.6M-259.6M-6.4M0.4628.6134,15515,544826,857963,351
2016-12-21$30.73$30.3616.2%4.6%18.3%27.9%16.6%2.9%0.7%14.3M-67.5M-6.3M0.4722.8840,85719,375835,209968,084
2016-12-22$30.68$30.3616.7%4.8%18.3%31.9%18.9%2.7%0.4%12.7M-40.2M-6.6M0.559.8922,89012,610848,658979,001
2016-12-23$30.76$30.3616.5%4.7%18.1%30.1%17.5%2.8%0.3%15.9M-79.4M-6.5M0.3111.2833,16510,361850,652979,428
2016-12-27$30.88$30.3617.4%4.8%18.0%36.6%17.6%2.6%2.7%18.8M-137.7M-6.3M0.249.0729,6877,076834,166972,610
2016-12-28$30.70$30.3617.1%4.8%17.8%34.1%17.6%3.1%3.0%16.9M-62.5M-6.3M0.3020.7626,2277,955847,269971,971
2016-12-29$30.80$30.3617.5%4.7%17.6%37.3%17.3%2.5%3.0%20.3M-96.3M-6.3M0.4317.9825,95311,266848,023973,245
2016-12-30$30.76$30.3618.3%4.8%15.4%43.2%19.4%2.9%3.1%21.6M-92.5M-6.3M0.4316.0119,1158,246854,763976,044