PFE Options History — January 2018

In January 2018, PFE traded between $34.54 and $37.09. ATM implied volatility averaged 16.1%, placing in the 53.7% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.6% (HV 20d: 12.5%). Max pain ranged from $33.21 to $35.10. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.48.

Notable Days

2018-01-26: Highest Volume — 207,677 contracts
2018-01-30: Largest IV drop — 32.0% change
2018-01-26: Highest IV Rank — 100.0%
2018-01-29: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.15	$34.54	$37.09	$34.54	$35.22
Max Pain	$34.36	$33.21	$35.10	$33.21	$35.10
ATM IV	16.1%	14.7%	24.7%	15.9%	16.3%
Expected Move	4.7%	3.6%	7.8%	3.7%	4.9%
HV 20d	12.5%	8.4%	23.1%	12.6%	23.1%
HV 60d	11.1%	10.0%	15.5%	10.2%	15.5%
IV Rank	53.7%	38.0%	100.0%	50.3%	38.0%
IV Percentile	85.4%	73.0%	100.0%	86.5%	95.2%
Term Structure	-0.3%	-1.6%	0.9%	-0.1%	-0.2%
VWIV	16.5%	13.8%	27.9%	13.8%	18.1%
Skew 25d	2.0%	0.2%	3.2%	2.6%	0.2%
Skew 10d	4.0%	0.4%	5.9%	5.1%	0.4%
Call IV 25d	15.4%	13.4%	24.8%	15.0%	16.9%
Put IV 25d	17.4%	15.5%	26.4%	17.6%	17.0%
Bid-Ask Spread %	22.87	4.62	38.42	8.71	31.65
Gamma HHI	0.27	0.17	0.53	0.20	0.19
Net GEX	55.3M	28.9M	89.4M	49.4M	43.0M
Net DEX	-550.3M	-834.4M	-289.6M	-489.9M	-291.8M
Net VEX	-3.5M	-4.2M	-3.2M	-3.2M	-4.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.16	1.00	0.22	0.28
Total Volume	61,848.381	22,368	207,677	55,035	99,892
Total OI	850,435.857	523,552	1,029,262	930,593	784,755

Daily Data (21 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
2018-01-02	$34.54	$33.21	15.9%	3.7%	12.6%	50.3%	13.8%	2.6%	-0.1%	49.4M	-489.9M	-3.2M	0.22	8.71	45,268	9,767	432,949	497,644
2018-01-03	$34.85	$33.21	16.4%	3.6%	12.7%	56.1%	14.0%	2.4%	-0.4%	60.9M	-639.8M	-3.3M	0.63	23.00	13,711	8,657	453,845	499,829
2018-01-04	$34.90	$34.16	15.6%	4.3%	11.7%	47.6%	15.5%	1.9%	-0.7%	63.9M	-662.0M	-3.3M	0.38	17.65	20,343	7,670	457,162	501,529
2018-01-05	$34.99	$34.16	16.3%	4.3%	11.6%	54.6%	14.8%	2.0%	-1.6%	64.6M	-672.0M	-3.3M	0.45	31.14	34,208	15,280	463,766	500,842
2018-01-08	$34.54	$34.16	16.0%	4.5%	12.6%	51.3%	14.1%	2.8%	0.5%	59.4M	-485.3M	-3.3M	0.25	24.37	54,689	13,598	469,690	505,518
2018-01-09	$34.55	$34.16	15.9%	4.5%	12.4%	50.5%	14.2%	2.5%	0.3%	68.0M	-510.8M	-3.4M	0.57	25.52	20,126	11,438	492,823	508,986
2018-01-10	$34.63	$34.16	15.4%	4.6%	11.5%	45.7%	15.1%	2.5%	0.9%	67.5M	-579.5M	-3.4M	0.92	28.36	13,222	12,191	492,114	514,274
2018-01-11	$34.66	$34.16	15.1%	4.2%	10.9%	42.0%	15.5%	3.2%	-0.5%	70.5M	-587.6M	-3.4M	0.85	38.42	14,027	11,989	494,989	518,453
2018-01-12	$34.64	$34.16	14.8%	4.1%	10.8%	39.9%	15.0%	2.5%	-1.0%	89.4M	-581.8M	-3.3M	0.43	21.49	31,347	13,440	498,863	521,651
2018-01-16	$34.76	$34.16	15.5%	4.4%	10.7%	48.6%	17.0%	2.4%	-0.1%	70.2M	-609.1M	-3.3M	0.52	17.65	22,787	11,879	497,623	523,899
2018-01-17	$35.29	$34.16	15.7%	4.5%	10.2%	50.6%	15.6%	2.3%	-0.8%	81.3M	-834.4M	-3.4M	0.26	9.61	42,802	11,278	504,230	525,032
2018-01-18	$35.12	$34.16	15.5%	4.5%	10.4%	57.0%	17.3%	2.6%	-0.7%	79.2M	-736.1M	-3.3M	0.50	17.89	22,812	11,420	495,004	528,365
2018-01-19	$35.03	$34.16	14.8%	4.3%	10.3%	47.4%	14.9%	2.0%	-0.8%	28.9M	-598.9M	-3.4M	0.33	34.41	44,599	14,925	496,456	529,475
2018-01-22	$35.04	$34.16	14.7%	4.4%	8.8%	48.4%	15.1%	2.1%	-0.2%	33.2M	-289.6M	-3.3M	0.53	5.34	19,234	10,204	296,899	226,653
2018-01-23	$34.97	$34.63	14.8%	4.5%	8.5%	49.7%	15.7%	2.2%	-0.3%	33.8M	-304.7M	-3.4M	0.66	4.62	19,447	12,805	304,999	231,085
2018-01-24	$35.03	$35.10	15.0%	4.6%	8.4%	52.8%	16.4%	1.9%	-0.3%	35.2M	-317.5M	-3.5M	1.00	24.54	17,520	17,480	312,783	235,292
2018-01-25	$35.33	$35.10	15.1%	4.8%	8.8%	54.9%	16.1%	1.8%	-0.4%	37.8M	-368.6M	-3.6M	0.47	13.32	24,463	11,554	321,172	244,697
2018-01-26	$36.95	$35.10	18.8%	6.0%	17.8%	100.0%	21.4%	0.8%	-1.2%	30.2M	-684.7M	-3.5M	0.16	30.66	178,490	29,187	331,253	249,022
2018-01-29	$37.09	$35.10	24.7%	7.8%	17.8%	100.0%	27.9%	1.7%	0.5%	44.2M	-806.0M	-3.8M	0.29	38.16	137,427	39,565	405,029	255,616
2018-01-30	$35.92	$35.10	16.8%	5.5%	21.8%	42.1%	19.4%	0.6%	0.6%	49.9M	-506.0M	-4.1M	0.28	33.72	116,124	31,951	455,688	279,199
2018-01-31	$35.22	$35.10	16.3%	4.9%	23.1%	38.0%	18.1%	0.2%	-0.2%	43.0M	-291.8M	-4.2M	0.28	31.65	78,191	21,701	493,354	291,401