PFE Options History — January 2017

In January 2017, PFE traded between $29.60 and $31.88. ATM implied volatility averaged 18.6%, placing in the 45.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 4.3% (HV 20d: 14.3%). Max pain ranged from $30.36 to $30.36. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.67.

Notable Days

  • 2017-01-31: Highest Volume — 108,473 contracts
  • 2017-01-31: Largest IV drop — 18.4% change
  • 2017-01-11: Highest IV Rank — 59.6%
  • 2017-01-17: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.62$29.60$31.88$31.30$30.07
Max Pain$30.36$30.36$30.36$30.36$30.36
ATM IV18.6%14.1%20.6%19.9%14.1%
Expected Move5.3%4.2%5.7%4.8%4.2%
HV 20d14.3%12.8%16.5%16.3%14.8%
HV 60d24.1%23.7%24.4%23.9%23.8%
IV Rank45.3%13.2%59.6%54.5%13.2%
IV Percentile65.1%9.9%83.3%77.4%9.9%
Term Structure-0.4%-1.5%0.5%-0.3%0.3%
VWIV18.7%13.4%21.6%17.8%13.4%
Skew 25d3.4%1.3%4.8%4.0%1.3%
Skew 10d6.5%2.1%11.2%8.1%2.2%
Call IV 25d17.4%14.0%19.5%18.6%14.0%
Put IV 25d20.8%15.3%23.1%22.6%15.3%
Bid-Ask Spread %27.6414.8782.0539.1332.22
Gamma HHI0.180.120.350.130.33
Net GEX21.5M-6.9M46.5M30.8M40.3M
Net DEX-46.8M-601.9M390.6M-329.5M70.5M
Net VEX-5.6M-6.0M-5.2M-6.0M-5.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.261.330.570.26
Total Volume64,655.0536,085108,47347,514108,473
Total OI1,571,411884,3051,945,4871,824,0071,039,677

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$31.30$30.3619.9%4.8%16.3%54.5%17.8%4.0%-0.3%30.8M-329.5M-6.0M0.5739.1330,32317,191849,914974,093
2017-01-04$31.59$30.3619.9%4.5%16.5%54.6%16.2%3.2%-0.7%37.9M-485.6M-5.8M0.8922.5925,84023,079862,463982,212
2017-01-05$31.88$30.3619.8%5.4%16.5%53.5%19.6%3.5%-0.5%41.1M-601.9M-6.0M0.4819.9731,13914,821868,355993,024
2017-01-06$31.79$30.3619.4%5.3%15.4%51.3%19.8%2.7%-0.7%46.5M-573.0M-6.0M0.3919.4735,88814,149878,606997,312
2017-01-09$31.83$30.3619.7%5.4%15.1%52.9%20.0%3.2%-1.2%41.1M-527.5M-6.0M0.4216.7927,42411,422888,053997,253
2017-01-10$31.75$30.3619.3%5.6%13.2%50.2%19.2%3.0%0.5%43.0M-535.7M-6.0M0.5521.9523,28412,801894,5381,001,469
2017-01-11$31.17$30.3620.6%5.7%12.9%59.6%20.8%3.5%-0.8%31.2M-268.1M-5.7M0.7021.4847,82233,380898,3911,004,027
2017-01-12$30.87$30.3620.5%5.6%12.8%59.0%21.6%4.2%-1.1%16.7M-68.3M-5.9M1.3320.2026,36335,123908,7511,011,684
2017-01-13$30.85$30.3619.4%5.3%12.8%51.3%19.6%3.9%-1.5%31.8M-99.7M-5.8M1.2126.6927,47433,143915,0411,025,819
2017-01-17$30.38$30.3620.1%5.7%13.8%56.3%20.1%4.2%-0.3%20.1M170.3M-5.5M1.3328.7138,31050,964901,4881,024,645
2017-01-18$30.42$30.3618.6%5.3%13.9%45.5%18.4%4.8%-0.1%35.8M141.7M-5.4M0.3928.6662,03123,908905,7991,031,606
2017-01-19$30.04$30.3618.9%5.4%14.3%47.4%19.5%4.0%0.3%20.1M376.7M-5.4M0.6316.3438,38724,279917,6891,027,798
2017-01-20$30.10$30.3618.3%5.3%14.3%43.2%18.6%4.3%0.5%22.3M390.6M-5.4M0.6122.6145,51227,847913,6701,029,819
2017-01-23$29.88$30.3618.0%5.3%13.7%41.0%19.1%3.7%-0.3%-2.3M193.0M-5.3M0.6414.8741,30926,314455,790428,515
2017-01-24$29.60$30.3618.1%5.4%13.9%41.7%19.0%3.2%-0.3%-5.7M259.0M-5.2M0.6827.6151,40334,938469,247442,796
2017-01-25$29.73$30.3617.0%5.2%14.0%33.8%18.2%2.7%-0.1%-4.5M234.4M-5.4M0.5624.4827,26615,301488,775463,386
2017-01-26$29.69$30.3616.7%5.2%13.9%31.5%18.4%2.7%-0.4%-6.9M249.1M-5.4M0.8622.5328,71224,657494,306474,504
2017-01-27$29.82$30.3616.4%5.0%14.0%29.7%16.2%2.7%-0.2%-6.0M223.1M-5.5M0.6082.0532,58719,446505,934480,539
2017-01-30$29.70$30.3617.3%5.5%13.9%36.0%19.3%3.0%-0.3%-3.1M245.6M-5.5M0.3744.4773,71727,074496,273484,959
2017-01-31$30.07$30.3614.1%4.2%14.8%13.2%13.4%1.3%0.3%40.3M70.5M-5.6M0.2632.2286,22022,253535,556504,121