PFE Options History — February 2018

In February 2018, PFE traded between $32.07 and $35.18. ATM implied volatility averaged 19.5%, placing in the 56.8% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 11.0% (HV 20d: 30.4%). Max pain ranged from $34.16 to $35.10. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.58.

Notable Days

  • 2018-02-09: Highest Volume — 124,569 contracts
  • 2018-02-05: Largest IV spike — 43.8% change
  • 2018-02-08: Highest IV Rank — 100.0%
  • 2018-02-08: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.83$32.07$35.18$34.85$34.55
Max Pain$34.36$34.16$35.10$35.10$34.16
ATM IV19.5%16.1%26.4%16.4%17.6%
Expected Move5.5%4.6%7.2%4.6%5.2%
HV 20d30.4%23.3%33.6%23.3%28.4%
HV 60d19.9%15.6%21.7%15.7%21.7%
IV Rank56.8%32.7%100.0%38.6%42.6%
IV Percentile95.9%87.7%100.0%95.6%94.0%
Term Structure-0.2%-2.0%1.7%0.1%-0.1%
VWIV19.9%16.1%25.6%16.2%18.1%
Skew 25d3.1%-0.1%6.2%0.9%3.3%
Skew 10d6.0%-2.8%14.7%-0.0%7.0%
Call IV 25d18.6%14.8%24.6%16.3%16.9%
Put IV 25d21.7%17.2%30.7%17.2%20.2%
Bid-Ask Spread %15.396.2530.5913.7611.79
Gamma HHI0.140.100.180.170.17
Net GEX23.3M3.4M53.3M41.1M40.6M
Net DEX-136.2M-514.1M180.2M-231.4M-340.8M
Net VEX-4.4M-4.7M-4.0M-4.2M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.240.850.410.51
Total Volume50,531.15823,656124,56958,99334,753
Total OI825,101.316770,844920,787794,165806,527

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-02-01$34.85$35.1016.4%4.6%23.3%38.6%16.2%0.9%0.1%41.1M-231.4M-4.2M0.4113.7641,81917,174496,740297,425
2018-02-02$34.68$35.1017.0%4.8%23.3%43.0%17.3%1.1%-0.2%32.0M-192.1M-4.2M0.6725.9431,06920,855510,114300,920
2018-02-05$33.11$35.1024.4%6.6%28.4%97.4%23.5%-0.1%-1.7%11.0M49.8M-4.0M0.5630.5943,08624,164483,340287,504
2018-02-06$33.45$35.1022.7%6.6%28.5%84.8%23.7%3.5%0.5%13.5M1.7M-4.2M0.4815.0551,76824,867494,071300,098
2018-02-07$33.27$34.1621.6%5.9%28.5%76.7%21.0%3.0%-0.9%10.2M40.6M-4.1M0.747.0026,56519,596508,931307,894
2018-02-08$32.07$34.1625.9%7.2%31.0%100.0%24.6%6.0%-0.8%3.4M180.2M-4.1M0.846.2526,47422,259516,712313,027
2018-02-09$32.48$34.1626.4%7.0%31.6%100.0%25.6%6.2%-2.0%4.2M149.3M-4.2M0.4617.9585,49139,078524,208323,316
2018-02-12$32.88$34.1620.7%5.8%32.0%62.7%21.5%4.3%1.1%6.6M63.2M-4.4M0.8516.5231,28726,595525,226338,508
2018-02-13$33.20$34.1620.1%5.7%32.3%58.7%22.1%4.7%0.1%8.6M17.3M-4.6M0.7620.5714,60111,083534,441357,155
2018-02-14$33.41$34.1618.7%5.4%31.8%49.5%18.2%2.4%0.7%11.2M-33.3M-4.5M0.2419.6735,0808,455538,200358,513
2018-02-15$33.88$34.1617.4%4.9%32.3%41.4%17.7%3.7%1.7%14.4M-111.8M-4.6M0.419.7523,4119,582554,175360,050
2018-02-16$34.51$34.1617.7%5.1%33.1%43.1%19.2%2.7%-0.7%30.7M-286.2M-4.7M0.5011.9744,57522,346560,243360,544
2018-02-20$34.13$34.1618.6%5.4%33.3%49.1%19.4%2.7%-0.4%28.9M-249.6M-4.7M0.627.6823,83714,740451,543323,904
2018-02-21$33.95$34.1617.8%5.1%33.3%43.7%18.0%2.5%-0.2%25.3M-209.5M-4.6M0.4221.8816,6816,975453,472326,827
2018-02-22$33.91$34.1618.0%5.2%33.3%45.1%20.6%3.5%-0.5%23.9M-182.1M-4.6M0.7920.2915,52112,292460,814328,025
2018-02-23$34.38$34.1616.1%4.6%33.6%32.7%17.1%3.5%-0.2%34.9M-294.1M-4.6M0.7617.3420,03815,302466,987326,204
2018-02-26$35.18$34.1616.2%4.6%30.3%33.1%16.1%2.3%-0.3%53.3M-514.1M-4.6M0.4111.0740,23016,314461,950324,403
2018-02-27$34.91$34.1616.8%4.8%30.3%37.1%17.3%2.5%-0.4%49.5M-444.8M-4.7M0.637.4025,76816,361469,329325,585
2018-02-28$34.55$34.1617.6%5.2%28.4%42.6%18.1%3.3%-0.1%40.6M-340.8M-4.7M0.5111.7922,99511,758476,374330,153