PFE Options History — April 2018

In April 2018, PFE traded between $33.27 and $35.16. ATM implied volatility averaged 19.8%, placing in the 57.1% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 0.2% (HV 20d: 20.0%). Max pain ranged from $33.21 to $34.16. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2018-04-30: Highest Volume — 84,385 contracts
  • 2018-04-19: Largest IV spike — 10.6% change
  • 2018-04-06: Highest IV Rank — 80.4%
  • 2018-04-02: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.42$33.27$35.16$33.27$34.94
Max Pain$33.61$33.21$34.16$34.16$34.16
ATM IV19.8%16.3%23.4%23.3%16.3%
Expected Move5.6%4.9%6.8%6.8%5.3%
HV 20d20.0%15.5%22.7%18.9%15.5%
HV 60d23.9%21.6%24.9%23.6%21.6%
IV Rank57.1%34.0%80.4%79.8%34.0%
IV Percentile90.8%77.8%98.4%98.4%77.8%
Term Structure-0.5%-1.9%0.7%-0.1%-0.5%
VWIV20.0%18.0%22.9%22.8%19.1%
Skew 25d3.7%2.2%4.6%4.6%2.2%
Skew 10d8.2%5.2%11.7%10.4%5.2%
Call IV 25d18.3%15.4%21.9%21.9%15.4%
Put IV 25d22.0%17.6%26.6%26.6%17.6%
Bid-Ask Spread %21.824.6236.669.1136.66
Gamma HHI0.190.120.350.130.21
Net GEX35.5M13.4M65.8M15.4M39.9M
Net DEX-289.4M-462.0M-51.2M-51.2M-400.8M
Net VEX-4.6M-4.7M-4.5M-4.6M-4.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.331.310.710.42
Total Volume29,598.04814,49084,38520,41184,385
Total OI778,535.429743,261829,816743,261789,344

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-04-02$33.27$34.1623.3%6.8%18.9%79.8%22.8%4.6%-0.1%15.4M-51.2M-4.6M0.719.1111,9298,482417,866325,395
2018-04-03$33.84$34.1622.2%6.0%19.9%72.4%20.1%4.2%0.2%23.2M-162.1M-4.6M0.6430.1612,4858,006418,234327,421
2018-04-04$34.35$34.1621.6%5.8%20.3%68.2%20.4%4.0%-0.1%30.6M-274.5M-4.7M0.405.9014,7445,926419,748329,618
2018-04-05$33.98$33.2121.4%5.9%20.6%67.0%21.5%3.7%0.1%28.6M-198.3M-4.7M0.614.6215,3369,343427,241330,374
2018-04-06$33.31$33.2123.4%6.5%21.2%80.4%22.8%4.1%0.2%13.4M-69.6M-4.7M1.309.358,74511,402434,145331,037
2018-04-09$33.86$33.2122.9%6.1%21.9%77.4%22.9%4.6%-1.8%20.7M-163.3M-4.6M0.4618.6616,7477,767422,529331,836
2018-04-10$34.14$33.2122.3%6.1%22.1%72.9%20.6%4.2%-1.5%26.9M-233.0M-4.7M0.4219.1818,0007,600429,666332,556
2018-04-11$34.01$33.2122.0%5.9%22.1%71.2%20.9%4.5%-1.3%25.5M-194.3M-4.6M1.0422.947,1137,377432,519334,473
2018-04-12$34.60$33.2120.8%5.8%22.7%63.6%20.2%4.0%-0.5%37.3M-337.9M-4.7M1.3114.3920,56626,871435,216335,142
2018-04-13$34.53$33.2119.6%5.6%22.6%55.2%18.1%3.8%-0.0%39.7M-293.8M-4.6M0.3335.8727,1338,970441,466355,125
2018-04-16$34.67$33.2117.7%4.9%22.5%43.2%18.3%3.6%0.7%41.3M-348.1M-4.6M0.7524.4513,64310,214446,349352,048
2018-04-17$34.49$33.2118.3%5.2%22.0%47.1%18.0%3.2%-1.9%38.7M-288.7M-4.5M0.5526.0115,4258,501452,033355,425
2018-04-18$34.65$33.2117.1%4.9%22.1%39.5%18.9%3.3%0.4%44.0M-342.9M-4.6M0.6923.0712,0488,285453,014358,830
2018-04-19$34.63$33.2118.9%5.5%22.0%51.3%19.4%3.6%-1.5%43.9M-333.8M-4.6M1.1134.7116,23718,101454,430360,638
2018-04-20$34.70$33.2118.4%5.3%20.9%47.9%18.3%3.7%0.4%51.8M-358.3M-4.7M0.4620.2929,72913,667461,437368,379
2018-04-23$34.88$34.1617.8%5.3%17.1%43.7%19.3%3.5%-0.4%36.3M-371.0M-4.6M0.7621.5217,98113,726418,902336,467
2018-04-24$35.01$34.1618.6%5.4%16.3%48.9%19.2%3.2%-0.9%39.5M-413.8M-4.7M0.6635.2619,59613,011428,233340,179
2018-04-25$34.77$34.1619.1%5.8%16.5%52.2%20.5%3.3%-0.7%36.7M-347.0M-4.7M0.7518.2316,47712,304434,215342,467
2018-04-26$35.05$34.1618.2%5.3%16.4%46.3%19.5%3.7%-0.8%45.7M-432.2M-4.7M0.7834.6011,6179,009441,599347,529
2018-04-27$35.16$34.1616.7%5.1%16.3%36.4%18.8%2.8%-0.5%65.8M-462.0M-4.7M0.5813.1614,6038,458445,767350,352
2018-04-30$34.94$34.1616.3%5.3%15.5%34.0%19.1%2.2%-0.5%39.9M-400.8M-4.6M0.4236.6659,58624,799438,897350,447