PFE Options History — December 2017

In December 2017, PFE traded between $33.66 and $35.24. ATM implied volatility averaged 12.5%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 1.5% (HV 20d: 10.9%). Max pain ranged from $33.21 to $33.21. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.62.

Notable Days

  • 2017-12-15: Highest Volume — 69,065 contracts
  • 2017-12-26: Largest IV spike — 12.6% change
  • 2017-12-04: Highest IV Rank — 26.3%
  • 2017-12-04: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.45$33.66$35.24$34.46$34.46
Max Pain$33.21$33.21$33.21$33.21$33.21
ATM IV12.5%11.5%13.6%12.7%13.1%
Expected Move3.5%3.2%3.9%3.8%3.2%
HV 20d10.9%7.0%13.5%7.0%12.6%
HV 60d10.8%9.9%12.9%12.6%10.2%
IV Rank14.6%3.9%26.3%17.5%21.5%
IV Percentile22.4%3.2%43.7%27.0%40.5%
Term Structure0.8%-0.7%3.3%-0.2%3.1%
VWIV12.4%11.2%13.8%13.4%12.0%
Skew 25d1.6%1.1%2.5%1.2%1.4%
Skew 10d3.7%2.0%8.0%7.3%3.3%
Call IV 25d11.9%11.1%12.7%12.1%11.6%
Put IV 25d13.5%12.3%14.9%13.3%13.0%
Bid-Ask Spread %11.472.6825.9925.994.32
Gamma HHI0.210.180.300.200.21
Net GEX54.8M47.7M74.9M55.6M50.2M
Net DEX-532.7M-978.8M-259.3M-593.2M-472.7M
Net VEX-3.5M-4.0M-3.2M-3.8M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.281.190.350.75
Total Volume30,177.413,81169,06537,34417,971
Total OI970,111.8897,0111,025,7821,003,148937,711

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$34.46$33.2112.7%3.8%7.0%17.5%13.4%1.2%-0.2%55.6M-593.2M-3.8M0.3525.9927,5909,754476,527526,621
2017-12-04$34.24$33.2113.6%3.9%7.5%26.3%13.4%2.3%-0.1%53.4M-496.7M-4.0M0.764.1316,67412,709466,244519,975
2017-12-05$33.81$33.2113.1%3.7%8.6%21.1%13.8%2.4%0.4%49.8M-315.4M-3.9M0.474.4117,9788,485470,842524,478
2017-12-06$33.76$33.2113.0%3.7%8.6%20.2%13.8%2.1%0.4%54.3M-342.5M-3.7M0.932.887,1586,653471,327525,742
2017-12-07$33.66$33.2112.7%3.8%8.7%17.4%12.9%1.9%0.3%52.6M-259.3M-3.7M0.4922.5611,6335,683471,898526,044
2017-12-08$33.91$33.2112.6%3.5%8.9%15.6%12.7%2.5%-0.4%49.2M-368.1M-3.7M0.364.3326,9569,760472,105525,364
2017-12-11$34.38$33.2112.2%3.5%10.0%11.9%12.3%2.0%-0.0%65.9M-537.5M-3.6M0.402.6819,3627,812471,609525,818
2017-12-12$34.74$33.2112.8%3.5%10.4%17.7%12.5%1.5%-0.7%73.2M-742.3M-3.5M0.306.5638,19311,433479,711526,103
2017-12-13$34.81$33.2112.2%3.3%10.4%11.8%13.1%1.7%-0.6%74.9M-721.9M-3.6M0.8723.1718,34916,010484,923527,281
2017-12-14$34.62$33.2112.5%3.6%10.7%14.9%12.0%1.1%0.1%65.9M-641.7M-3.6M0.4411.6727,50512,223487,342532,324
2017-12-15$35.24$33.2111.9%3.3%12.1%8.5%11.8%1.3%-0.7%48.3M-978.8M-3.3M0.289.7954,11714,948492,845532,937
2017-12-18$35.19$33.2111.6%3.3%11.8%5.9%11.6%1.1%1.4%49.7M-731.9M-3.2M0.3921.6726,06910,243415,039481,972
2017-12-19$35.09$33.2111.9%3.4%11.9%8.5%12.0%1.2%1.7%52.7M-696.7M-3.3M0.6018.8031,95419,332424,910485,298
2017-12-20$34.57$33.2111.5%3.3%13.2%3.9%11.7%1.3%0.9%50.3M-519.7M-3.4M0.6010.0915,3089,248435,267497,063
2017-12-21$34.37$33.2111.7%3.3%13.4%6.6%11.7%1.4%0.4%49.0M-451.8M-3.4M0.7518.6214,41610,763440,457498,386
2017-12-22$34.30$33.2111.8%3.3%13.5%7.5%11.5%1.2%1.1%47.7M-433.1M-3.4M1.0219.268,8989,071445,308501,242
2017-12-26$34.35$33.2113.3%3.6%13.5%23.1%12.8%1.6%3.2%48.5M-443.7M-3.3M1.194.597,1248,470432,396498,723
2017-12-27$34.45$33.2112.7%3.5%13.3%16.7%12.4%1.4%3.3%50.4M-473.7M-3.3M0.589.4712,0297,008433,547500,725
2017-12-28$34.49$33.2112.6%3.2%12.6%15.5%11.2%1.4%3.1%53.6M-433.5M-3.2M0.904.527,7066,953435,016501,116
2017-12-29$34.46$33.2113.1%3.2%12.6%21.5%12.0%1.4%3.1%50.2M-472.7M-3.2M0.754.3210,2647,707435,481502,230