PFE Options History — April 2017

In April 2017, PFE traded between $31.86 and $32.54. ATM implied volatility averaged 15.4%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 8.9% (HV 20d: 6.4%). Max pain ranged from $32.26 to $32.26. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.10.

Notable Days

  • 2017-04-21: Highest Volume — 45,208 contracts
  • 2017-04-24: Largest IV drop — 9.8% change
  • 2017-04-11: Highest IV Rank — 40.3%
  • 2017-04-17: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.20$31.86$32.54$32.45$32.16
Max Pain$32.26$32.26$32.26$32.26$32.26
ATM IV15.4%13.9%17.0%14.7%14.2%
Expected Move4.3%3.4%4.7%3.4%4.3%
HV 20d6.4%5.5%8.7%8.7%5.5%
HV 60d10.5%9.5%11.7%11.7%9.5%
IV Rank26.6%14.2%40.3%21.1%17.0%
IV Percentile40.4%16.3%62.7%31.0%23.8%
Term Structure-0.3%-1.0%1.2%-0.0%-0.5%
VWIV15.2%12.2%17.7%12.2%15.5%
Skew 25d2.9%1.9%3.8%1.9%2.5%
Skew 10d5.6%-1.9%8.3%3.5%8.3%
Call IV 25d14.2%12.7%15.3%14.1%13.2%
Put IV 25d17.1%15.1%19.1%16.0%15.8%
Bid-Ask Spread %21.357.0649.2325.1630.04
Gamma HHI0.170.130.230.220.15
Net GEX20.2M3.2M39.2M35.5M23.4M
Net DEX-257.4M-466.5M-75.8M-451.6M-227.8M
Net VEX-6.0M-6.7M-5.5M-6.4M-5.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.461.980.890.80
Total Volume29,492.42117,23145,20825,80125,485
Total OI1,251,919.526979,3031,362,2671,316,8331,031,200

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-04-03$32.45$32.2614.7%3.4%8.7%21.1%12.2%1.9%-0.0%35.5M-451.6M-6.4M0.8925.1613,63512,166659,454657,379
2017-04-04$32.54$32.2614.4%3.4%7.5%18.6%12.8%2.3%0.4%39.2M-466.5M-6.7M1.7315.9310,87118,813663,504660,125
2017-04-05$32.49$32.2615.0%3.6%7.4%23.4%12.9%1.9%1.2%36.6M-437.9M-6.4M0.6235.9819,90812,295666,344667,116
2017-04-06$32.39$32.2615.3%4.4%7.2%25.9%15.4%2.6%0.5%28.3M-382.4M-6.3M1.0310.9413,09313,456661,872667,786
2017-04-07$32.39$32.2615.9%4.5%7.1%30.9%16.7%2.0%-0.0%27.6M-362.2M-6.4M1.3611.578,74111,927665,257671,571
2017-04-10$32.31$32.2616.2%4.5%7.2%34.0%15.5%3.5%-0.8%24.0M-322.6M-6.3M0.797.0614,41711,449657,291668,534
2017-04-11$32.15$32.2617.0%4.6%7.3%40.3%15.8%3.8%-1.0%16.8M-233.4M-6.2M1.6223.0312,91920,990662,888670,739
2017-04-12$32.13$32.2616.9%4.6%5.9%39.8%17.5%3.8%-0.3%15.4M-207.9M-6.2M1.7113.088,84515,126665,210678,288
2017-04-13$32.20$32.2616.5%4.6%5.5%36.3%16.6%3.3%-0.5%24.0M-276.9M-6.0M0.9613.0412,92812,415665,856682,191
2017-04-17$32.13$32.2616.6%4.7%5.6%37.4%17.7%3.8%-0.6%14.1M-230.1M-5.9M1.4911.246,90810,323662,587683,140
2017-04-18$32.10$32.2616.3%4.7%5.5%34.4%16.4%3.8%-0.7%12.6M-181.0M-5.8M1.9812.7611,51822,814663,349681,442
2017-04-19$31.86$32.2615.8%4.5%5.9%30.5%15.7%3.6%-0.2%5.9M-78.3M-5.9M1.0611.1213,33814,082666,127685,240
2017-04-20$32.12$32.2615.1%4.3%6.4%24.4%14.8%3.4%-1.0%13.6M-207.5M-5.5M1.1118.1016,62218,500668,119686,699
2017-04-21$31.94$32.2615.4%4.4%6.3%27.3%15.1%3.7%0.6%3.2M-75.8M-5.6M0.5430.6029,34015,868671,861690,406
2017-04-24$32.04$32.2613.9%4.1%6.1%14.2%14.4%2.5%-0.8%10.6M-137.5M-5.7M0.7431.4323,69917,592476,845502,458
2017-04-25$32.11$32.2614.1%4.2%5.8%15.8%14.7%2.4%-0.3%15.1M-185.5M-5.8M0.7030.5117,36612,129491,417508,227
2017-04-26$32.14$32.2614.2%4.4%5.8%17.0%15.1%2.4%-0.7%19.8M-221.7M-5.7M1.2224.7811,28613,776500,663507,540
2017-04-27$32.13$32.2614.3%4.3%5.5%17.7%14.9%2.3%-0.7%18.6M-204.3M-5.7M0.4649.2324,46111,255504,845512,901
2017-04-28$32.16$32.2614.2%4.3%5.5%17.0%15.5%2.5%-0.5%23.4M-227.8M-5.7M0.8030.0414,15211,333516,734514,466