PFE Options History — March 2018

In March 2018, PFE traded between $32.78 and $34.96. ATM implied volatility averaged 17.5%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 3.3% (HV 20d: 20.8%). Max pain ranged from $34.16 to $35.10. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.67.

Notable Days

2018-03-29: Highest Volume — 60,301 contracts
2018-03-22: Largest IV spike — 18.8% change
2018-03-23: Highest IV Rank — 64.5%
2018-03-01: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.17	$32.78	$34.96	$33.81	$33.74
Max Pain	$34.52	$34.16	$35.10	$34.16	$34.16
ATM IV	17.5%	13.8%	21.0%	19.7%	19.1%
Expected Move	5.1%	4.0%	6.3%	6.3%	5.4%
HV 20d	20.8%	17.2%	28.8%	28.6%	18.7%
HV 60d	22.4%	21.9%	23.5%	22.2%	23.5%
IV Rank	41.6%	17.7%	64.5%	55.8%	52.5%
IV Percentile	86.0%	52.0%	97.6%	96.8%	94.4%
Term Structure	0.4%	-0.9%	1.6%	1.2%	1.6%
VWIV	17.6%	13.8%	21.6%	21.6%	17.8%
Skew 25d	3.3%	2.5%	4.5%	3.0%	3.5%
Skew 10d	7.6%	5.6%	9.8%	7.2%	8.2%
Call IV 25d	16.3%	13.0%	19.5%	19.2%	17.6%
Put IV 25d	19.7%	15.6%	24.0%	22.1%	21.1%
Bid-Ask Spread %	22.46	6.60	42.92	24.43	42.92
Gamma HHI	0.19	0.13	0.33	0.13	0.15
Net GEX	30.7M	8.8M	54.4M	23.4M	18.2M
Net DEX	-234.6M	-435.7M	35.3M	-164.2M	-142.9M
Net VEX	-4.5M	-4.7M	-4.4M	-4.6M	-4.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.25	1.06	0.52	0.39
Total Volume	31,698.714	16,943	60,301	52,783	60,301
Total OI	775,071.857	647,530	857,548	816,857	729,531

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
2018-03-01	$33.81	$34.16	19.7%	6.3%	28.6%	55.8%	21.6%	3.0%	1.2%	23.4M	-164.2M	-4.6M	0.52	24.43	34,724	18,059	484,787	332,070
2018-03-02	$34.15	$34.16	20.2%	5.9%	28.7%	59.3%	20.4%	3.9%	-0.5%	37.8M	-252.7M	-4.7M	0.53	7.54	18,597	9,830	499,814	338,372
2018-03-05	$34.34	$34.16	18.3%	5.3%	28.8%	47.2%	17.5%	3.6%	0.3%	34.2M	-279.7M	-4.6M	0.25	18.71	25,915	6,591	483,100	335,110
2018-03-06	$33.99	$34.16	17.8%	5.1%	23.5%	43.8%	18.2%	3.6%	0.1%	29.5M	-200.4M	-4.6M	0.52	22.65	11,307	5,855	493,113	336,488
2018-03-07	$34.16	$34.16	17.6%	5.1%	23.3%	42.8%	18.0%	3.2%	-0.0%	33.9M	-235.9M	-4.6M	1.00	16.91	11,535	11,524	494,289	337,224
2018-03-08	$34.56	$34.16	16.4%	5.0%	23.5%	34.8%	17.0%	2.5%	0.2%	44.8M	-331.9M	-4.5M	0.45	28.86	19,007	8,501	494,796	338,438
2018-03-09	$34.86	$34.16	15.7%	4.4%	18.6%	30.1%	16.0%	3.2%	0.2%	52.4M	-435.7M	-4.5M	0.40	24.43	26,686	10,646	498,777	341,476
2018-03-12	$34.75	$34.16	15.8%	4.4%	18.4%	31.1%	16.1%	2.5%	-0.3%	50.8M	-361.6M	-4.4M	0.93	29.46	8,797	8,146	490,905	337,183
2018-03-13	$34.88	$34.16	15.8%	4.6%	18.1%	30.8%	16.8%	2.8%	0.1%	54.4M	-414.1M	-4.5M	0.98	24.38	10,757	10,594	492,728	339,787
2018-03-14	$34.49	$34.16	15.2%	4.7%	18.6%	27.1%	16.2%	2.6%	1.5%	39.0M	-298.3M	-4.5M	0.63	16.82	17,539	10,988	497,265	341,700
2018-03-15	$34.72	$34.16	15.1%	4.3%	18.6%	26.3%	14.6%	2.7%	0.1%	52.4M	-361.8M	-4.4M	1.06	21.30	15,457	16,441	501,314	344,633
2018-03-16	$34.96	$35.10	13.8%	4.0%	18.2%	17.7%	13.8%	2.5%	0.3%	29.7M	-382.5M	-4.4M	0.88	29.73	20,766	18,328	505,694	351,854
2018-03-19	$34.49	$35.10	16.2%	4.7%	17.8%	33.5%	15.8%	3.2%	0.2%	23.6M	-255.6M	-4.4M	0.58	19.37	30,273	17,585	362,694	284,836
2018-03-20	$34.53	$35.10	15.6%	4.5%	17.3%	29.3%	15.5%	3.3%	0.4%	26.7M	-260.7M	-4.5M	0.94	32.00	18,595	17,530	379,551	293,241
2018-03-21	$34.44	$35.10	15.6%	4.5%	17.2%	29.1%	15.6%	3.2%	-0.3%	27.2M	-254.3M	-4.5M	0.97	34.52	11,064	10,696	390,846	298,024
2018-03-22	$33.80	$35.10	18.5%	5.3%	18.6%	48.2%	17.8%	3.5%	-0.9%	17.5M	-127.1M	-4.6M	0.52	26.39	12,774	6,661	394,428	302,521
2018-03-23	$32.78	$35.10	21.0%	6.0%	20.7%	64.5%	20.4%	4.5%	-0.0%	8.8M	35.3M	-4.4M	0.92	16.33	21,075	19,317	398,729	303,036
2018-03-26	$33.35	$35.10	19.2%	5.5%	19.9%	53.1%	19.6%	4.0%	1.5%	12.5M	-54.1M	-4.5M	0.51	13.40	20,650	10,539	392,363	306,328
2018-03-27	$33.23	$34.63	20.4%	5.8%	19.8%	60.6%	20.7%	4.2%	1.3%	12.5M	-40.1M	-4.5M	0.71	6.60	11,286	7,976	400,741	311,126
2018-03-28	$33.56	$34.63	19.8%	5.8%	20.0%	56.7%	20.2%	4.3%	1.2%	16.0M	-108.8M	-4.6M	0.48	14.93	22,148	10,613	404,288	313,309
2018-03-29	$33.74	$34.16	19.1%	5.4%	18.7%	52.5%	17.8%	3.5%	1.6%	18.2M	-142.9M	-4.6M	0.39	42.92	43,409	16,892	411,802	317,729