PFE Options History — June 2017

In June 2017, PFE traded between $30.13 and $32.35. ATM implied volatility averaged 12.5%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 0.5% (HV 20d: 13.0%). Max pain ranged from $31.31 to $31.31. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.75.

Notable Days

2017-06-21: Highest Volume — 132,959 contracts
2017-06-21: Largest IV spike — 6.7% change
2017-06-30: Highest IV Rank — 16.4%
2017-06-02: Largest Expected Move — 3.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.37	$30.13	$32.35	$30.99	$31.95
Max Pain	$31.31	$31.31	$31.31	$31.31	$31.31
ATM IV	12.5%	11.3%	13.4%	12.5%	13.4%
Expected Move	3.5%	3.3%	3.8%	3.6%	3.4%
HV 20d	13.0%	10.1%	14.9%	10.1%	13.6%
HV 60d	9.5%	7.9%	10.4%	8.0%	10.4%
IV Rank	8.9%	0.0%	16.4%	8.6%	16.4%
IV Percentile	8.0%	0.0%	23.8%	5.2%	23.8%
Term Structure	0.5%	-0.8%	3.2%	-0.0%	3.2%
VWIV	12.5%	11.1%	15.0%	12.7%	11.2%
Skew 25d	1.8%	1.2%	2.4%	1.5%	2.1%
Skew 10d	4.0%	3.0%	5.6%	3.0%	3.9%
Call IV 25d	11.8%	10.4%	12.5%	12.1%	11.2%
Put IV 25d	13.6%	12.3%	14.8%	13.5%	13.3%
Bid-Ask Spread %	8.70	3.92	28.24	12.31	11.29
Gamma HHI	0.15	0.10	0.24	0.10	0.17
Net GEX	16.6M	-16.4M	54.9M	15.5M	25.0M
Net DEX	-124.0M	-494.5M	313.3M	419.5K	-294.6M
Net VEX	-5.6M	-5.9M	-5.2M	-5.6M	-5.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.14	2.00	1.11	0.32
Total Volume	49,702.682	17,944	132,959	46,542	50,323
Total OI	1,075,617.182	922,276	1,159,703	1,084,666	1,070,087

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2017-06-01	$30.99	$31.31	12.5%	3.6%	10.1%	8.6%	12.7%	1.5%	-0.0%	15.5M	419.5K	-5.6M	1.11	12.31	22,030	24,512	554,530	530,136
2017-06-02	$30.89	$31.31	12.8%	3.8%	10.1%	11.6%	13.3%	1.9%	-0.8%	15.1M	54.5M	-5.8M	2.00	28.24	15,899	31,781	559,794	543,189
2017-06-05	$30.66	$31.31	12.5%	3.8%	10.3%	9.0%	13.2%	1.2%	0.1%	-4.1M	156.3M	-5.5M	1.48	4.67	11,381	16,817	556,594	556,818
2017-06-06	$30.44	$31.31	13.1%	3.8%	10.5%	13.8%	13.2%	1.6%	-0.0%	-11.0M	224.3M	-5.4M	0.92	15.00	13,137	12,061	558,399	561,091
2017-06-07	$30.36	$31.31	12.8%	3.7%	10.5%	11.4%	12.8%	1.8%	0.1%	-14.9M	254.0M	-5.5M	0.64	5.13	27,871	17,790	560,489	559,903
2017-06-08	$30.13	$31.31	12.7%	3.5%	10.4%	10.2%	12.3%	1.4%	-0.1%	-16.4M	313.3M	-5.2M	1.07	9.71	24,709	26,386	565,142	559,398
2017-06-09	$30.99	$31.31	12.9%	3.6%	14.9%	12.5%	12.9%	1.8%	-0.2%	4.6M	2.6M	-5.7M	0.78	13.33	41,025	32,067	572,568	563,593
2017-06-12	$31.00	$31.31	13.3%	3.7%	14.9%	15.1%	13.3%	2.4%	-0.3%	2.2M	2.5M	-5.7M	0.98	5.21	19,263	18,785	572,925	572,267
2017-06-13	$30.86	$31.31	12.8%	3.5%	14.8%	11.2%	12.6%	1.8%	-0.8%	-2.8M	45.7M	-5.6M	1.40	5.57	11,768	16,420	576,205	567,623
2017-06-14	$31.00	$31.31	12.7%	3.4%	13.5%	10.5%	12.7%	2.2%	-0.8%	729.4K	-1.9M	-5.6M	0.94	7.45	9,264	8,680	579,029	568,391
2017-06-15	$31.14	$31.31	12.0%	3.4%	13.3%	5.3%	13.4%	2.0%	-0.1%	11.2M	-67.0M	-5.7M	1.05	4.69	14,397	15,048	581,602	569,836
2017-06-16	$31.21	$31.31	11.8%	3.4%	13.3%	3.2%	11.7%	2.0%	0.0%	27.6M	-86.5M	-5.5M	0.61	4.96	14,053	8,626	586,025	573,678
2017-06-19	$31.47	$31.31	11.3%	3.3%	13.6%	0.0%	11.1%	1.9%	0.5%	25.9M	-199.7M	-5.3M	0.47	4.36	23,820	11,268	460,957	461,319
2017-06-20	$31.87	$31.31	11.5%	3.3%	13.8%	1.8%	11.5%	2.1%	0.3%	33.8M	-323.1M	-5.6M	0.36	3.92	34,661	12,312	473,389	463,757
2017-06-21	$32.20	$31.31	12.3%	3.5%	14.0%	8.0%	11.9%	2.2%	0.3%	38.0M	-445.6M	-5.6M	0.19	5.00	111,976	20,983	489,522	466,071
2017-06-22	$32.35	$31.31	12.6%	3.6%	13.9%	10.6%	12.5%	1.9%	0.6%	41.2M	-494.5M	-5.8M	0.25	7.36	62,164	15,792	535,888	479,678
2017-06-23	$32.29	$31.31	11.8%	3.3%	14.0%	4.0%	12.3%	1.7%	0.5%	54.9M	-460.8M	-5.7M	0.43	6.74	55,428	24,049	543,872	488,679
2017-06-26	$32.33	$31.31	11.7%	3.3%	13.9%	3.2%	11.6%	1.7%	2.6%	37.3M	-456.9M	-5.7M	0.14	4.75	42,489	6,120	541,721	495,308
2017-06-27	$32.12	$31.31	12.1%	3.4%	14.3%	6.3%	13.0%	1.8%	1.7%	31.6M	-370.0M	-5.7M	0.28	6.97	37,453	10,373	543,082	494,781
2017-06-28	$31.98	$31.31	12.5%	3.4%	13.6%	9.6%	11.9%	1.6%	2.3%	25.6M	-301.2M	-5.9M	0.35	6.49	37,857	13,162	546,234	502,962
2017-06-29	$31.93	$31.31	13.0%	3.6%	13.7%	13.7%	15.0%	1.8%	2.6%	24.6M	-280.0M	-5.8M	0.68	18.27	41,413	28,046	547,939	509,107
2017-06-30	$31.95	$31.31	13.4%	3.4%	13.6%	16.4%	11.2%	2.1%	3.2%	25.0M	-294.6M	-5.7M	0.32	11.29	38,177	12,146	552,030	518,057