PFE Options History — May 2018

In May 2018, PFE traded between $32.93 and $34.23. ATM implied volatility averaged 14.4%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 4.0% (HV 20d: 18.4%). Max pain ranged from $34.16 to $34.16. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2018-05-01: Highest Volume — 85,887 contracts
  • 2018-05-29: Largest IV spike — 13.3% change
  • 2018-05-01: Highest IV Rank — 31.5%
  • 2018-05-01: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.65$32.93$34.23$33.41$34.18
Max Pain$34.16$34.16$34.16$34.16$34.16
ATM IV14.4%13.2%15.9%15.9%13.7%
Expected Move4.1%3.6%4.9%4.9%3.8%
HV 20d18.4%8.6%22.1%22.1%8.6%
HV 60d19.5%17.6%23.4%23.4%17.7%
IV Rank21.4%14.0%31.5%31.5%17.0%
IV Percentile51.1%35.3%74.6%74.6%43.7%
Term Structure0.1%-0.8%1.1%0.1%-0.4%
VWIV14.7%12.1%17.5%17.2%14.0%
Skew 25d2.3%1.9%3.0%2.7%2.0%
Skew 10d5.4%3.8%8.6%5.2%4.5%
Call IV 25d13.7%12.4%14.7%14.7%13.0%
Put IV 25d16.1%14.4%17.5%17.4%15.1%
Bid-Ask Spread %17.2610.0432.0510.7314.00
Gamma HHI0.120.110.160.140.15
Net GEX12.3M-6.1M32.2M6.2M30.1M
Net DEX-88.8M-306.6M172.0M38.7M-258.1M
Net VEX-4.4M-4.7M-4.3M-4.3M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.212.751.000.63
Total Volume36,419.90917,91085,88785,88717,910
Total OI847,259.909777,966886,961829,144827,258

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-05-01$33.41$34.1615.9%4.9%22.1%31.5%17.2%2.7%0.1%6.2M38.7M-4.3M1.0010.7342,85943,028465,981363,163
2018-05-02$33.02$34.1615.2%4.6%21.6%26.6%15.8%2.9%0.4%-4.2M148.2M-4.3M0.7128.7923,27116,576473,486376,807
2018-05-03$32.93$34.1615.7%4.4%21.3%29.9%16.2%3.0%-0.0%-6.1M172.0M-4.3M0.3510.9230,26910,534478,494379,281
2018-05-04$33.09$34.1614.5%4.2%20.3%22.3%15.0%2.4%0.3%-4.4M132.7M-4.3M0.7010.3819,53313,637477,502381,273
2018-05-07$33.16$34.1614.7%4.3%19.3%23.8%15.5%2.4%-0.0%-1.6M84.6M-4.3M0.8512.3614,17712,110460,848376,259
2018-05-08$33.24$34.1615.1%4.4%19.1%26.1%16.3%2.5%-0.1%-852.8K74.7M-4.4M1.3026.9612,21215,907466,149380,437
2018-05-09$33.34$34.1615.1%4.3%19.1%26.0%17.5%2.2%-0.3%-108.7K41.6M-4.4M0.6913.2920,96914,377469,834386,333
2018-05-10$33.23$34.1615.2%4.3%17.9%27.0%16.3%2.2%-0.0%-474.9K41.6M-4.5M2.7514.8313,09836,062466,676391,524
2018-05-11$33.69$34.1614.6%4.1%18.8%23.1%14.7%2.0%-0.8%14.3M-103.6M-4.7M1.4128.0220,75129,188470,316409,517
2018-05-14$33.98$34.1614.3%4.1%19.0%21.2%14.3%2.0%0.4%15.5M-187.7M-4.6M0.9714.2514,64714,171468,958402,326
2018-05-15$33.78$34.1614.6%4.2%19.0%23.3%15.3%2.1%0.6%9.8M-115.7M-4.5M0.8827.2412,65611,101472,572405,847
2018-05-16$33.82$34.1614.0%4.0%18.9%19.0%14.6%2.3%1.1%14.6M-145.7M-4.5M0.8510.0415,49613,237477,689407,083
2018-05-17$33.80$34.1613.7%3.9%18.9%16.8%13.9%2.5%0.9%11.6M-114.1M-4.5M1.2914.7911,63214,989475,633407,516
2018-05-18$33.83$34.1613.5%3.8%18.9%16.1%13.8%2.4%0.8%13.2M-131.6M-4.4M1.5914.2911,25417,897478,104408,857
2018-05-21$33.93$34.1613.6%3.8%18.8%16.6%13.4%2.5%0.1%19.0M-174.5M-4.3M0.2513.7962,32315,673413,587364,379
2018-05-22$33.95$34.1613.5%3.8%18.7%15.6%13.4%2.1%0.3%31.0M-264.4M-4.4M0.4911.2822,47811,017450,811372,312
2018-05-23$34.07$34.1613.6%3.7%18.7%16.5%13.5%2.3%0.1%32.2M-306.6M-4.4M0.7722.0415,61512,017456,953374,462
2018-05-24$34.04$34.1613.2%3.6%18.4%14.0%12.7%2.2%0.0%30.8M-293.8M-4.4M0.7717.3414,70811,373459,209375,342
2018-05-25$33.80$34.1613.3%3.6%18.4%14.2%12.1%1.9%0.2%14.7M-210.5M-4.3M0.2132.0539,5128,183457,266378,712
2018-05-29$33.77$34.1615.0%4.3%18.3%25.7%15.3%2.7%-0.6%16.3M-118.2M-4.4M0.8618.9811,5609,947434,069378,192
2018-05-30$34.23$34.1614.0%3.8%9.8%19.1%13.4%1.9%-0.3%29.4M-262.5M-4.4M0.3913.3216,8046,480437,023381,678
2018-05-31$34.18$34.1613.7%3.8%8.6%17.0%14.0%2.0%-0.4%30.1M-258.1M-4.4M0.6314.0010,9706,940443,943383,315