PFE Options History — November 2017

In November 2017, PFE traded between $33.35 and $34.40. ATM implied volatility averaged 13.2%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 4.2% (HV 20d: 9.0%). Max pain ranged from $32.26 to $33.21. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2017-11-08: Highest Volume — 102,428 contracts
  • 2017-11-29: Largest IV spike — 13.7% change
  • 2017-11-15: Highest IV Rank — 36.2%
  • 2017-11-01: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.67$33.35$34.40$33.49$34.40
Max Pain$33.03$32.26$33.21$33.21$33.21
ATM IV13.2%11.5%14.5%14.3%12.2%
Expected Move3.9%3.4%4.3%4.3%3.8%
HV 20d9.0%6.1%10.7%10.5%7.1%
HV 60d12.9%12.4%13.3%13.2%12.6%
IV Rank19.2%4.1%36.2%26.8%12.3%
IV Percentile31.9%3.2%58.7%51.6%15.9%
Term Structure0.1%-1.2%1.2%0.1%0.3%
VWIV13.8%11.2%16.5%16.1%13.7%
Skew 25d2.1%1.4%2.6%1.8%1.6%
Skew 10d4.6%1.9%6.9%3.9%6.9%
Call IV 25d12.5%10.1%13.8%13.8%11.9%
Put IV 25d14.5%11.9%15.7%15.6%13.5%
Bid-Ask Spread %7.682.2723.0411.6015.45
Gamma HHI0.160.130.200.130.20
Net GEX45.6M26.3M66.2M39.0M63.1M
Net DEX-351.5M-582.3M-136.8M-452.2M-582.3M
Net VEX-3.9M-4.3M-3.6M-4.3M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.181.130.330.29
Total Volume35,067.76219,340102,42843,34044,228
Total OI1,027,860.81939,4521,131,6841,126,823991,921

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$33.49$33.2114.3%4.3%10.5%26.8%16.1%1.8%0.1%39.0M-452.2M-4.3M0.3311.6032,51810,822578,527548,296
2017-11-02$33.63$32.2613.9%4.1%10.6%23.3%14.7%1.9%0.2%49.4M-509.9M-4.3M0.882.8910,2779,063588,811542,873
2017-11-03$33.69$32.2613.4%3.8%10.6%19.4%13.9%2.0%0.8%47.6M-537.0M-4.2M0.562.2716,1279,020589,399541,685
2017-11-06$33.50$32.2613.8%4.0%10.7%22.2%14.3%1.8%0.5%44.4M-460.0M-4.1M0.324.2130,2709,768577,498527,296
2017-11-07$33.55$32.2613.9%4.1%10.3%23.7%14.8%1.8%0.3%39.7M-416.1M-4.3M0.705.7820,48014,367572,868529,931
2017-11-08$33.50$33.2113.4%4.1%10.2%19.4%16.5%2.3%1.2%40.1M-425.4M-4.2M0.182.9386,46615,962576,085536,050
2017-11-09$33.39$33.2114.2%4.2%10.2%26.1%15.3%2.1%0.3%29.9M-162.1M-4.0M0.813.6118,11514,611471,763540,108
2017-11-10$33.35$33.2113.9%4.1%10.2%23.3%14.7%2.0%0.7%26.3M-136.8M-4.1M0.927.2215,88714,637473,834537,662
2017-11-13$33.57$33.2114.1%4.1%10.1%26.7%14.2%2.5%-0.7%34.8M-230.9M-3.9M0.3023.0424,7247,498467,620535,287
2017-11-14$33.59$33.2114.2%4.1%9.7%32.1%13.4%2.6%-0.9%37.7M-244.3M-3.9M0.435.5623,2509,947476,399536,999
2017-11-15$33.58$33.2114.5%4.2%9.1%36.2%14.0%2.5%-1.1%39.4M-252.8M-4.0M0.753.3912,0819,067482,769539,628
2017-11-16$33.75$33.2112.6%3.6%8.2%15.9%12.7%2.3%0.2%54.6M-305.3M-3.7M0.3610.7322,9818,298481,119539,908
2017-11-17$33.56$33.2112.8%3.8%8.2%18.5%12.8%2.2%-1.2%35.4M-202.5M-4.0M0.568.9316,5179,302488,057541,181
2017-11-20$33.52$33.2112.6%3.7%8.2%16.2%13.2%1.9%0.1%39.6M-244.6M-3.7M0.444.6026,07711,507431,702507,750
2017-11-21$33.71$33.2112.1%3.5%8.5%10.8%11.6%2.1%0.1%51.6M-335.7M-3.7M0.642.5019,51212,533446,774511,144
2017-11-22$33.62$33.2111.7%3.4%8.5%6.6%11.2%1.4%0.1%58.1M-317.6M-3.7M1.137.079,45210,723455,642516,749
2017-11-24$33.67$33.2111.5%3.4%7.4%4.1%11.5%1.8%-0.0%66.2M-290.6M-3.8M0.727.7712,9239,344458,509518,322
2017-11-27$33.72$33.2112.1%3.6%7.1%10.8%12.5%2.0%0.6%46.5M-298.3M-3.8M0.933.5910,99510,273451,091517,217
2017-11-28$33.97$33.2111.7%3.6%6.1%6.4%13.1%2.0%0.0%55.6M-428.8M-3.6M0.415.5231,96813,112453,218519,330
2017-11-29$34.38$33.2113.3%4.1%7.2%23.3%14.5%2.6%0.5%59.3M-547.5M-3.8M0.5422.6227,00514,716463,856520,199
2017-11-30$34.40$33.2112.2%3.8%7.1%12.3%13.7%1.6%0.3%63.1M-582.3M-3.7M0.2915.4534,3779,851467,865524,056