PFE Options History — May 2017

In May 2017, PFE traded between $30.41 and $32.12. ATM implied volatility averaged 12.8%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 5.6% (HV 20d: 7.2%). Max pain ranged from $31.31 to $32.26. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.85.

Notable Days

  • 2017-05-18: Highest Volume — 127,705 contracts
  • 2017-05-17: Largest IV spike — 24.3% change
  • 2017-05-17: Highest IV Rank — 32.5%
  • 2017-05-01: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.13$30.41$32.12$32.12$30.99
Max Pain$32.00$31.31$32.26$32.26$31.31
ATM IV12.8%11.4%15.4%13.8%12.5%
Expected Move3.8%3.5%4.5%4.5%3.8%
HV 20d7.2%5.5%10.1%5.5%10.1%
HV 60d8.6%7.6%9.5%9.5%8.3%
IV Rank9.6%0.0%32.5%12.8%9.2%
IV Percentile9.0%0.0%49.6%13.9%6.0%
Term Structure0.0%-1.3%0.6%-0.2%-0.1%
VWIV13.4%11.5%17.5%16.2%13.2%
Skew 25d2.1%0.6%3.0%2.2%1.6%
Skew 10d4.2%1.0%6.6%4.2%5.4%
Call IV 25d12.0%11.2%14.2%12.7%11.8%
Put IV 25d14.1%12.3%17.3%14.8%13.4%
Bid-Ask Spread %16.502.8840.5340.2113.41
Gamma HHI0.120.100.150.150.10
Net GEX-283.4K-9.7M18.7M18.7M13.2M
Net DEX83.6M-204.7M283.3M-204.7M7.4M
Net VEX-5.6M-5.8M-5.3M-5.7M-5.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.231.271.270.67
Total Volume48,428.04523,268127,70556,41434,220
Total OI1,074,989.51,027,1791,138,8131,027,1791,075,116

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$32.12$32.2613.8%4.5%5.5%12.8%16.2%2.2%-0.2%18.7M-204.7M-5.7M1.2740.2124,90231,512511,125516,054
2017-05-02$31.88$32.2612.6%3.8%6.0%2.6%13.7%2.0%0.4%6.5M-75.6M-5.6M0.4140.5344,66418,295520,062535,631
2017-05-03$31.77$32.2612.2%3.8%5.9%0.0%13.3%2.6%0.1%8.9M-63.7M-5.6M1.2037.6010,59412,674544,098534,959
2017-05-04$31.70$32.2612.5%3.7%5.9%1.9%12.4%2.6%-0.1%5.2M-25.2M-5.7M0.5314.9516,8228,951543,734535,742
2017-05-05$31.71$32.2611.9%3.6%5.9%0.0%12.6%2.0%0.3%4.5M-31.7M-5.5M0.9921.8017,84217,672548,311536,898
2017-05-08$31.68$32.2611.8%3.5%5.8%0.0%12.5%2.3%0.4%5.8M-29.1M-5.5M0.9014.4621,31319,200539,382532,161
2017-05-09$31.67$32.2611.4%3.5%5.8%0.0%11.5%0.6%0.5%-622.0K-47.3M-5.5M0.2315.6062,26314,527544,256536,372
2017-05-10$31.39$32.2612.0%3.6%6.4%5.2%14.5%1.6%0.6%-997.5K67.9M-5.5M0.5211.1421,86811,450520,489536,485
2017-05-11$31.33$32.2612.2%3.6%6.4%6.7%12.9%1.8%0.1%-3.0M82.0M-5.4M0.7912.7831,67524,982519,499536,350
2017-05-12$31.34$32.2612.1%3.6%6.3%5.7%12.3%1.6%0.6%-5.8M83.6M-5.7M1.238.6515,16418,694526,369542,926
2017-05-15$31.44$32.2612.1%3.5%6.5%5.8%12.5%2.1%-0.1%-917.6K63.5M-5.5M1.2712.8512,83816,310522,627541,459
2017-05-16$30.89$32.2612.4%3.6%8.7%8.3%12.9%1.7%0.3%-8.2M227.1M-5.3M0.5016.0160,86230,318527,738544,926
2017-05-17$30.65$32.2615.4%4.4%8.8%32.5%17.5%3.0%-1.3%-6.1M283.3M-5.6M0.9121.4232,87529,887558,660553,655
2017-05-18$30.69$32.2614.8%4.3%8.1%27.7%15.4%2.5%-0.6%-9.7M270.3M-5.5M0.5410.0483,16644,539562,972558,578
2017-05-19$30.73$32.2614.0%4.1%8.0%20.7%13.8%2.4%-0.5%-5.2M203.5M-5.8M1.269.8536,42545,745584,827553,986
2017-05-22$30.52$32.2613.7%3.9%8.0%18.8%13.7%2.5%0.1%-3.7M161.1M-5.7M0.712.8822,39615,987534,392517,497
2017-05-23$30.48$31.3113.2%3.8%7.8%14.1%13.0%2.1%0.0%-5.7M172.6M-5.6M0.794.3615,75712,439538,005520,652
2017-05-24$30.41$31.3112.9%3.7%7.7%12.2%13.0%2.1%0.1%-6.7M183.1M-5.6M1.086.6916,56517,875542,290520,904
2017-05-25$30.53$31.3112.6%3.6%8.0%9.9%12.6%2.1%0.1%-4.2M166.2M-5.6M0.7924.2023,95819,010546,987528,145
2017-05-26$30.48$31.3112.2%3.5%7.9%6.8%12.3%1.8%0.1%-6.4M171.2M-5.5M1.0911.2612,25813,398551,365533,137
2017-05-30$30.50$31.3112.7%3.7%8.0%10.5%12.7%2.2%-0.3%-1.8M172.8M-5.4M0.9512.3712,05211,473546,657524,291
2017-05-31$30.99$31.3112.5%3.8%10.1%9.2%13.2%1.6%-0.1%13.2M7.4M-5.6M0.6713.4120,43413,786549,276525,840