PFE Options History — September 2017

In September 2017, PFE traded between $32.07 and $34.15. ATM implied volatility averaged 12.9%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 2.0% (HV 20d: 14.9%). Max pain ranged from $31.31 to $32.26. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.67.

Notable Days

  • 2017-09-12: Highest Volume — 171,051 contracts
  • 2017-09-12: Largest IV spike — 19.0% change
  • 2017-09-26: Highest IV Rank — 25.0%
  • 2017-09-12: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.31$32.07$34.15$32.24$33.84
Max Pain$32.12$31.31$32.26$31.31$32.26
ATM IV12.9%11.1%14.3%11.1%13.5%
Expected Move3.7%3.2%4.3%3.2%3.6%
HV 20d14.9%9.9%18.3%10.2%17.4%
HV 60d12.5%10.5%13.7%11.8%13.3%
IV Rank14.3%0.0%25.0%0.0%19.3%
IV Percentile25.1%0.0%50.0%0.0%36.9%
Term Structure0.7%-0.3%1.7%0.6%1.7%
VWIV13.1%11.3%15.6%11.3%12.6%
Skew 25d1.9%1.3%2.6%1.9%2.0%
Skew 10d4.1%2.8%6.8%3.8%3.9%
Call IV 25d12.3%10.5%13.7%10.5%12.1%
Put IV 25d14.2%12.4%15.7%12.4%14.1%
Bid-Ask Spread %8.943.2836.3720.326.44
Gamma HHI0.240.170.400.400.18
Net GEX57.4M44.0M80.0M80.0M58.9M
Net DEX-762.4M-1.15B-367.2M-459.1M-862.0M
Net VEX-5.2M-5.6M-4.8M-5.1M-5.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.151.210.521.04
Total Volume47,702.620,743171,05134,03220,814
Total OI1,111,566.71,048,7151,222,7061,081,0651,135,695

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$32.24$31.3111.1%3.2%10.2%0.0%11.3%1.9%0.6%80.0M-459.1M-5.1M0.5220.3222,37511,657551,835529,230
2017-09-05$32.07$32.2612.4%3.7%9.9%10.5%13.1%2.5%-0.2%51.2M-367.2M-5.2M0.837.4311,3599,384548,483526,514
2017-09-06$32.26$32.2612.3%3.7%10.1%9.9%13.0%2.1%0.1%59.2M-455.0M-5.0M0.443.2815,6396,957549,882530,090
2017-09-07$32.26$32.2613.0%3.8%10.1%15.2%12.9%2.6%-0.1%61.2M-462.4M-5.0M0.386.9724,4649,211555,673532,385
2017-09-08$32.39$32.2613.0%3.8%10.0%14.7%13.1%1.9%0.0%58.3M-523.4M-5.1M0.639.0318,50111,709566,596534,112
2017-09-11$32.55$32.2611.4%3.6%10.0%2.5%12.0%2.0%1.0%61.1M-580.8M-4.9M1.055.0414,76715,508562,535536,059
2017-09-12$33.61$32.2613.6%4.3%14.7%19.5%15.6%2.3%1.1%47.3M-953.4M-4.8M0.1536.37148,49022,561566,650540,151
2017-09-13$33.22$31.3112.5%3.6%15.7%11.3%12.7%1.9%0.2%70.7M-908.9M-5.4M0.4310.6937,88416,250640,707547,857
2017-09-14$33.92$31.3113.7%3.9%16.8%20.2%14.0%1.7%-0.3%54.4M-1.15B-5.2M0.387.3765,69924,780642,963551,961
2017-09-15$33.50$32.2612.7%3.7%17.2%12.8%13.3%1.8%0.6%44.0M-998.0M-5.4M0.474.0049,26023,041658,777563,929
2017-09-18$33.70$32.2612.4%3.6%16.6%10.7%12.6%1.9%0.3%47.0M-793.5M-5.3M0.834.2425,75221,339561,532487,183
2017-09-19$33.63$32.2613.0%3.7%16.7%14.8%13.5%1.6%0.1%48.8M-783.6M-5.3M0.798.8431,45324,696572,063490,897
2017-09-20$34.15$32.2613.5%3.9%16.9%19.1%13.6%1.3%0.4%51.7M-958.0M-5.3M0.594.8541,95024,619585,968495,713
2017-09-21$34.13$32.2612.4%3.5%17.0%10.7%12.3%1.7%1.5%56.9M-967.4M-5.4M1.129.6213,26414,792602,447504,331
2017-09-22$34.14$32.2612.6%3.5%16.9%11.9%12.5%1.9%1.1%70.3M-926.1M-5.6M1.219.4512,03714,598603,824506,276
2017-09-25$33.70$32.2613.5%3.8%17.9%18.6%13.6%2.1%1.3%53.8M-782.2M-5.3M0.775.6617,69313,631592,820503,932
2017-09-26$33.46$32.2614.3%3.7%18.3%25.0%13.3%2.0%1.4%51.2M-697.0M-5.4M0.219.0256,45611,644595,223506,707
2017-09-27$33.64$32.2613.7%3.7%18.3%20.4%13.1%1.8%1.7%59.6M-774.7M-5.4M0.886.0811,99210,522615,281508,115
2017-09-28$33.82$32.2613.4%3.7%18.2%18.3%13.2%1.8%1.5%62.7M-848.2M-5.3M0.634.0016,76710,537617,466509,472
2017-09-29$33.84$32.2613.5%3.6%17.4%19.3%12.6%2.0%1.7%58.9M-862.0M-5.4M1.046.4410,19210,622625,742509,953