PFE Options History — August 2017

In August 2017, PFE traded between $31.03 and $32.23. ATM implied volatility averaged 12.1%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 0.9% (HV 20d: 11.2%). Max pain ranged from $31.31 to $31.31. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.74.

Notable Days

2017-08-01: Highest Volume — 82,003 contracts
2017-08-18: Largest IV drop — 11.3% change
2017-08-11: Highest IV Rank — 23.0%
2017-08-10: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.58	$31.03	$32.23	$31.41	$32.23
Max Pain	$31.31	$31.31	$31.31	$31.31	$31.31
ATM IV	12.1%	11.2%	14.1%	11.2%	11.6%
Expected Move	3.5%	3.0%	4.1%	3.2%	3.3%
HV 20d	11.2%	10.2%	11.9%	10.3%	10.2%
HV 60d	11.8%	11.5%	12.3%	11.5%	12.0%
IV Rank	6.9%	0.0%	23.0%	0.0%	3.1%
IV Percentile	9.4%	0.0%	43.3%	0.0%	4.0%
Term Structure	0.2%	-1.1%	1.4%	0.2%	0.2%
VWIV	12.4%	10.2%	14.7%	12.4%	11.9%
Skew 25d	2.3%	1.5%	3.3%	1.9%	2.2%
Skew 10d	5.2%	2.6%	8.4%	4.4%	4.2%
Call IV 25d	11.4%	10.4%	12.8%	10.7%	10.9%
Put IV 25d	13.7%	12.6%	16.1%	12.6%	13.0%
Bid-Ask Spread %	13.62	4.66	27.62	27.62	19.90
Gamma HHI	0.20	0.12	0.29	0.16	0.29
Net GEX	30.3M	868.1K	62.4M	14.9M	55.0M
Net DEX	-181.5M	-448.2M	71.6M	-59.8M	-448.2M
Net VEX	-5.1M	-5.4M	-5.0M	-5.1M	-5.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.33	1.64	0.36	0.46
Total Volume	31,896.217	19,790	82,003	82,003	45,775
Total OI	1,054,238.739	1,004,942	1,085,984	1,048,608	1,065,684

Daily Data (23 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
2017-08-01	$31.41	$31.31	11.2%	3.2%	10.3%	0.0%	12.4%	1.9%	0.2%	14.9M	-59.8M	-5.1M	0.36	27.62	60,364	21,639	526,952	521,656
2017-08-02	$31.14	$31.31	11.5%	3.3%	10.5%	2.6%	11.9%	1.9%	-0.4%	4.6M	-1.2M	-5.1M	0.37	5.14	23,623	8,786	519,044	527,746
2017-08-03	$31.74	$31.31	11.7%	3.5%	11.7%	3.5%	11.4%	1.5%	0.1%	36.4M	-253.6M	-5.2M	0.46	20.38	45,521	20,907	525,205	528,434
2017-08-04	$31.83	$31.31	11.5%	3.1%	11.6%	2.2%	11.2%	1.5%	-0.4%	62.4M	-308.4M	-5.2M	0.33	14.01	36,163	11,835	539,577	533,772
2017-08-07	$31.57	$31.31	11.6%	3.5%	11.9%	3.2%	11.7%	1.6%	0.5%	29.5M	-203.3M	-5.3M	0.70	13.71	12,667	8,844	535,427	523,347
2017-08-08	$31.61	$31.31	12.1%	3.7%	11.5%	7.4%	13.3%	1.5%	0.6%	29.7M	-210.9M	-5.2M	1.28	18.60	10,169	12,969	536,294	524,701
2017-08-09	$31.74	$31.31	12.0%	3.8%	11.5%	6.7%	13.7%	2.3%	1.2%	34.2M	-238.3M	-5.4M	0.98	10.34	11,888	11,632	538,022	524,136
2017-08-10	$31.66	$31.31	13.2%	4.1%	11.5%	15.8%	14.7%	2.8%	1.4%	31.3M	-221.8M	-5.2M	1.45	16.87	12,576	18,271	539,533	525,886
2017-08-11	$31.55	$31.31	14.1%	4.1%	11.2%	23.0%	13.8%	2.9%	0.3%	24.2M	-164.5M	-5.3M	1.06	9.84	11,613	12,342	541,989	535,162
2017-08-14	$31.62	$31.31	13.0%	3.8%	10.8%	14.0%	13.3%	3.2%	-0.7%	26.3M	-189.9M	-5.1M	1.21	10.11	10,966	13,281	536,089	531,288
2017-08-15	$31.71	$31.31	13.1%	3.8%	10.7%	14.8%	14.4%	3.1%	-0.9%	28.9M	-229.9M	-5.1M	1.64	5.62	8,607	14,154	539,389	531,514
2017-08-16	$31.59	$31.31	12.6%	3.6%	10.5%	11.0%	12.1%	2.7%	-1.1%	26.5M	-183.8M	-5.1M	0.95	6.98	11,394	10,795	541,856	536,989
2017-08-17	$31.32	$31.31	13.5%	3.8%	10.9%	18.4%	14.7%	3.3%	0.2%	13.1M	-57.6M	-5.3M	1.20	13.08	10,832	13,015	544,463	537,736
2017-08-18	$31.03	$31.31	12.0%	3.4%	11.2%	6.3%	11.9%	2.6%	0.7%	868.1K	71.6M	-5.0M	0.63	27.05	20,354	12,803	545,594	540,390
2017-08-21	$31.09	$31.31	11.7%	3.3%	11.2%	3.5%	11.9%	1.9%	0.5%	11.1M	-3.4M	-5.0M	0.37	4.66	21,989	8,197	497,262	507,680
2017-08-22	$31.47	$31.31	12.0%	3.4%	11.5%	6.3%	13.0%	2.5%	0.0%	26.3M	-133.6M	-5.1M	0.80	10.24	15,851	12,705	507,720	508,517
2017-08-23	$31.60	$31.31	11.4%	3.1%	11.5%	1.2%	11.0%	2.5%	0.4%	34.4M	-190.8M	-5.1M	0.35	16.70	21,220	7,418	510,718	510,754
2017-08-24	$31.54	$31.31	12.2%	3.5%	11.5%	7.5%	11.8%	2.0%	-0.1%	33.0M	-164.9M	-5.1M	0.60	11.29	14,339	8,544	521,969	512,153
2017-08-25	$31.74	$31.31	11.3%	3.0%	11.5%	0.8%	10.2%	2.2%	0.4%	52.7M	-250.5M	-5.2M	0.35	10.62	19,931	6,972	525,619	514,898
2017-08-28	$31.77	$31.31	11.5%	3.2%	11.4%	2.1%	11.9%	2.5%	0.3%	39.9M	-258.4M	-5.1M	0.55	10.30	12,767	7,023	521,237	515,362
2017-08-29	$31.77	$31.31	11.4%	3.1%	11.2%	1.6%	10.7%	2.2%	0.5%	41.1M	-250.2M	-5.0M	0.58	12.13	13,872	8,083	525,715	518,044
2017-08-30	$31.69	$31.31	11.8%	3.3%	10.7%	4.5%	11.6%	2.4%	-0.1%	40.4M	-224.3M	-5.1M	0.39	18.16	22,189	8,728	530,090	521,878
2017-08-31	$32.23	$31.31	11.6%	3.3%	10.2%	3.1%	11.9%	2.2%	0.2%	55.0M	-448.2M	-5.1M	0.46	19.90	31,326	14,449	541,630	524,054