PFE Options History — October 2017

In October 2017, PFE traded between $33.30 and $34.57. ATM implied volatility averaged 15.5%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.9% (HV 20d: 12.6%). Max pain ranged from $32.26 to $33.21. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.57.

Notable Days

  • 2017-10-30: Highest Volume — 121,850 contracts
  • 2017-10-31: Largest IV drop — 18.1% change
  • 2017-10-30: Highest IV Rank — 58.0%
  • 2017-10-30: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.18$33.30$34.57$34.22$33.31
Max Pain$32.65$32.26$33.21$32.26$33.21
ATM IV15.5%14.4%18.5%14.4%15.2%
Expected Move4.5%3.6%6.6%3.6%4.5%
HV 20d12.6%9.5%17.7%17.7%10.4%
HV 60d13.3%13.1%13.5%13.4%13.2%
IV Rank35.0%26.0%58.0%26.0%31.9%
IV Percentile65.2%53.2%87.3%53.2%62.7%
Term Structure-0.0%-1.6%1.1%0.8%0.5%
VWIV15.7%12.9%22.3%12.9%15.8%
Skew 25d2.3%1.6%4.7%1.9%2.4%
Skew 10d4.6%2.1%9.8%4.5%8.3%
Call IV 25d14.5%13.4%15.4%14.2%14.1%
Put IV 25d16.8%15.6%20.0%16.1%16.5%
Bid-Ask Spread %8.802.3642.527.539.91
Gamma HHI0.190.120.230.190.12
Net GEX59.1M29.1M79.3M60.2M30.5M
Net DEX-890.7M-1.17B-375.7M-977.8M-375.7M
Net VEX-4.6M-5.1M-4.2M-5.1M-4.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.171.080.170.76
Total Volume42,642.18218,870121,85066,07762,234
Total OI1,124,169.7731,037,5821,162,6621,120,5381,121,462

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$34.22$32.2614.4%3.6%17.7%26.0%12.9%1.9%0.8%60.2M-977.8M-5.1M0.177.5356,5299,548611,919508,619
2017-10-03$34.30$32.2615.0%3.7%17.4%30.7%13.0%1.9%0.8%67.5M-1.06B-5.1M0.556.3019,24910,542637,458509,959
2017-10-04$34.08$32.2614.8%3.6%17.7%29.5%13.2%1.7%1.1%71.3M-997.8M-5.0M1.084.619,0519,819642,949512,685
2017-10-05$34.13$32.2615.1%4.3%17.7%31.4%15.1%1.7%1.1%72.1M-1.01B-5.1M0.862.8410,6199,185644,483513,988
2017-10-06$34.21$32.2615.3%4.3%17.7%32.8%15.2%1.7%0.9%76.9M-1.05B-5.0M0.722.3616,20811,607645,852513,811
2017-10-09$34.26$32.2615.6%4.3%17.7%35.7%15.1%2.4%-0.8%70.6M-1.06B-5.0M0.423.0016,6757,052641,479514,385
2017-10-10$34.52$32.2615.3%4.4%14.0%33.1%15.0%1.8%0.2%70.2M-1.17B-4.7M0.183.6049,0188,702644,600516,636
2017-10-11$34.57$32.2615.5%4.4%13.1%34.8%14.2%1.6%-0.2%67.2M-1.15B-4.7M0.5814.5717,32210,016629,744519,135
2017-10-12$34.47$32.2615.4%4.4%11.1%33.9%14.8%2.3%0.1%65.2M-1.09B-4.6M0.307.4927,5918,347628,198522,768
2017-10-13$34.48$32.2615.3%4.4%10.0%33.0%14.9%1.9%0.2%67.1M-1.09B-4.5M0.764.8724,57818,698629,208524,126
2017-10-16$34.13$32.2615.8%4.5%10.6%37.2%15.6%3.1%-0.7%68.4M-911.3M-4.6M0.528.6736,64719,124619,438528,234
2017-10-17$34.35$32.2615.9%4.5%10.8%37.7%15.8%2.5%-0.5%68.7M-1.00B-4.6M0.824.1614,51311,832623,577527,767
2017-10-18$33.99$32.2615.7%4.5%10.1%36.4%15.6%3.0%-0.9%68.2M-847.9M-4.6M0.185.0436,2876,712622,862530,583
2017-10-19$34.38$33.2114.6%4.2%10.9%27.4%14.9%2.2%-0.7%79.3M-1.04B-4.4M0.255.4660,54515,294630,718531,944
2017-10-20$34.51$33.2115.2%4.5%11.0%32.5%14.9%2.1%-1.6%45.1M-1.04B-4.2M0.353.6447,90716,558609,276538,933
2017-10-23$34.54$33.2115.1%4.6%9.8%31.7%15.8%2.3%-0.3%47.0M-809.2M-4.2M0.665.8721,17614,022525,824511,758
2017-10-24$34.38$33.2115.9%5.0%9.5%37.6%17.0%2.3%0.0%46.3M-752.1M-4.3M0.387.7422,8088,736533,282517,325
2017-10-25$34.32$33.2116.1%5.0%9.5%39.6%17.6%2.0%-0.7%46.6M-728.7M-4.3M0.8522.3512,46810,580541,020519,117
2017-10-26$33.91$33.2116.5%5.2%10.3%42.7%18.8%2.1%-0.5%41.7M-562.9M-4.4M0.7014.4013,5899,470541,401520,468
2017-10-27$33.70$33.2115.7%4.9%10.6%36.0%17.4%2.2%-0.1%41.0M-499.0M-4.3M0.806.6414,08911,331542,229522,766
2017-10-30$33.30$33.2118.5%6.6%10.5%58.0%22.3%4.7%0.6%29.1M-379.8M-4.4M0.5942.5276,86544,985538,644521,105
2017-10-31$33.31$33.2115.2%4.5%10.4%31.9%15.8%2.4%0.5%30.5M-375.7M-4.3M0.769.9135,45026,784572,345549,117