PFE Options History — July 2017

In July 2017, PFE traded between $31.22 and $32.09. ATM implied volatility averaged 14.4%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 3.6% (HV 20d: 10.8%). Max pain ranged from $31.31 to $31.31. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.48.

Notable Days

2017-07-18: Highest Volume — 69,468 contracts
2017-07-05: Largest IV spike — 14.2% change
2017-07-06: Highest IV Rank — 41.5%
2017-07-27: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.61	$31.22	$32.09	$32.09	$31.60
Max Pain	$31.31	$31.31	$31.31	$31.31	$31.31
ATM IV	14.4%	12.7%	16.5%	13.9%	13.2%
Expected Move	4.1%	3.4%	4.4%	3.4%	4.2%
HV 20d	10.8%	9.3%	14.2%	13.2%	10.3%
HV 60d	11.1%	10.4%	11.4%	10.4%	11.4%
IV Rank	24.5%	11.2%	41.5%	20.7%	14.8%
IV Percentile	40.5%	13.9%	66.7%	31.7%	21.8%
Term Structure	-0.3%	-1.6%	0.9%	-0.4%	-0.4%
VWIV	14.9%	13.2%	16.8%	15.1%	14.9%
Skew 25d	2.9%	2.4%	3.6%	2.6%	2.5%
Skew 10d	5.3%	4.0%	6.5%	5.1%	4.3%
Call IV 25d	13.1%	11.7%	15.0%	13.6%	12.1%
Put IV 25d	15.9%	14.3%	17.9%	16.2%	14.5%
Bid-Ask Spread %	10.93	2.50	22.31	15.05	15.80
Gamma HHI	0.16	0.13	0.21	0.19	0.18
Net GEX	19.9M	6.2M	44.6M	28.7M	18.7M
Net DEX	-142.5M	-331.4M	6.1M	-331.4M	-139.5M
Net VEX	-5.4M	-5.7M	-5.1M	-5.6M	-5.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.23	1.16	0.28	1.16
Total Volume	47,006.4	23,636	69,468	49,315	49,199
Total OI	1,069,790.95	986,280	1,127,361	1,055,269	1,026,267

Daily Data (20 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
2017-07-03	$32.09	$31.31	13.9%	3.4%	13.2%	20.7%	15.1%	2.6%	-0.4%	28.7M	-331.4M	-5.6M	0.28	15.05	38,457	10,858	543,159	512,110
2017-07-05	$31.91	$31.31	15.9%	3.6%	13.0%	36.5%	13.7%	3.0%	-0.4%	25.9M	-268.5M	-5.7M	0.24	15.85	32,615	7,901	547,864	516,289
2017-07-06	$31.46	$31.31	16.5%	4.4%	14.2%	41.5%	15.1%	2.9%	-0.7%	14.3M	-95.8M	-5.6M	0.24	12.57	34,049	8,254	553,485	520,002
2017-07-07	$31.63	$31.31	15.5%	4.3%	13.8%	33.7%	13.9%	2.9%	-0.8%	16.9M	-156.2M	-5.6M	0.25	6.16	51,991	13,040	555,433	522,066
2017-07-10	$31.73	$31.31	15.1%	4.4%	10.0%	30.3%	15.4%	2.9%	0.5%	21.4M	-190.5M	-5.5M	0.23	6.42	33,727	7,725	562,863	522,981
2017-07-11	$31.45	$31.31	15.5%	4.4%	10.6%	33.7%	15.2%	3.0%	-0.2%	15.5M	-85.6M	-5.5M	0.40	15.32	37,477	14,948	565,962	523,246
2017-07-12	$31.55	$31.31	15.8%	4.3%	10.4%	36.1%	15.0%	2.8%	-0.8%	18.9M	-121.6M	-5.5M	0.31	12.37	37,448	11,593	569,782	524,111
2017-07-13	$31.53	$31.31	15.3%	4.3%	10.4%	31.5%	14.8%	3.0%	-0.5%	18.6M	-115.4M	-5.5M	0.35	11.92	41,295	14,541	574,468	526,940
2017-07-14	$31.78	$31.31	14.7%	4.2%	10.6%	26.8%	14.1%	2.8%	0.3%	44.6M	-213.8M	-5.5M	0.24	14.21	42,877	10,181	581,669	527,679
2017-07-17	$31.51	$31.31	14.6%	4.1%	11.1%	26.0%	14.2%	3.1%	-0.6%	18.7M	-100.4M	-5.3M	0.29	6.74	35,570	10,226	577,375	527,271
2017-07-18	$31.65	$31.31	14.6%	4.2%	10.9%	26.4%	16.5%	3.4%	-1.6%	22.4M	-145.7M	-5.2M	0.86	5.08	37,286	32,182	580,550	528,810
2017-07-19	$31.86	$31.31	13.3%	3.8%	10.2%	15.6%	16.4%	3.2%	0.8%	30.9M	-236.2M	-5.4M	0.48	4.70	35,936	17,380	583,174	536,856
2017-07-20	$31.88	$31.31	13.2%	3.8%	9.4%	14.7%	16.8%	3.6%	0.9%	27.5M	-243.0M	-5.3M	0.42	2.50	42,661	18,042	582,459	539,960
2017-07-21	$31.71	$31.31	13.8%	4.1%	9.3%	20.0%	13.7%	3.0%	-1.6%	23.8M	-180.3M	-5.1M	0.39	3.00	42,729	16,855	584,777	542,584
2017-07-24	$31.67	$31.31	12.7%	3.7%	9.3%	11.2%	13.2%	2.7%	-0.2%	16.5M	-131.5M	-5.2M	0.50	2.50	15,804	7,832	491,480	494,800
2017-07-25	$31.33	$31.31	13.5%	4.0%	9.9%	17.6%	13.6%	2.4%	-0.3%	8.8M	-20.6M	-5.3M	0.75	5.47	14,795	11,100	498,408	498,274
2017-07-26	$31.22	$31.31	13.1%	3.9%	9.7%	14.4%	14.8%	2.5%	-0.1%	6.2M	6.1M	-5.1M	0.78	21.87	14,756	11,546	503,110	503,785
2017-07-27	$31.24	$31.31	13.8%	4.4%	9.7%	20.2%	15.1%	2.5%	-0.2%	6.8M	-2.0M	-5.2M	0.65	18.78	21,337	13,893	506,548	508,053
2017-07-28	$31.44	$31.31	13.6%	4.4%	10.1%	18.5%	15.6%	2.4%	-0.7%	12.1M	-78.7M	-5.2M	0.74	22.31	24,090	17,932	517,194	513,975
2017-07-31	$31.60	$31.31	13.2%	4.2%	10.3%	14.8%	14.9%	2.5%	-0.4%	18.7M	-139.5M	-5.1M	1.16	15.80	22,766	26,433	512,639	513,628