PFE Options History — June 2018

In June 2018, PFE traded between $34.27 and $34.74. ATM implied volatility averaged 12.9%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 4.8% (HV 20d: 8.2%). Max pain ranged from $34.16 to $34.16. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2018-06-01: Highest Volume — 107,424 contracts
  • 2018-06-25: Largest IV spike — 15.7% change
  • 2018-06-28: Highest IV Rank — 23.0%
  • 2018-06-28: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.48$34.27$34.74$34.30$34.53
Max Pain$34.16$34.16$34.16$34.16$34.16
ATM IV12.9%12.0%14.6%13.0%14.5%
Expected Move3.8%3.5%4.1%3.6%3.8%
HV 20d8.2%7.1%9.1%8.5%7.1%
HV 60d16.2%13.8%17.7%17.7%13.8%
IV Rank12.1%5.8%23.0%12.5%22.1%
IV Percentile27.3%11.1%52.4%29.0%50.4%
Term Structure0.8%-0.3%3.0%-0.2%3.0%
VWIV13.4%12.1%17.2%12.6%14.4%
Skew 25d2.2%1.6%3.2%2.3%2.5%
Skew 10d5.6%1.9%11.1%9.4%7.4%
Call IV 25d12.2%11.4%13.5%12.2%12.7%
Put IV 25d14.4%13.1%16.7%14.5%15.2%
Bid-Ask Spread %22.2210.4247.6721.0325.47
Gamma HHI0.170.140.220.160.18
Net GEX36.5M22.8M51.6M34.0M34.6M
Net DEX-331.8M-503.9M-205.4M-286.7M-295.6M
Net VEX-4.4M-4.7M-4.2M-4.3M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.381.410.880.39
Total Volume31,938.14314,013107,424107,42419,773
Total OI809,045621,387946,166833,351757,083

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$34.30$34.1613.0%3.6%8.5%12.5%12.6%2.3%-0.2%34.0M-286.7M-4.3M0.8821.0357,06750,357447,867385,484
2018-06-04$34.55$34.1612.5%3.8%8.7%9.1%13.4%1.6%0.3%37.0M-391.0M-4.5M0.7328.6911,1398,120485,116426,015
2018-06-05$34.61$34.1612.6%3.9%8.7%9.9%13.4%1.9%0.1%43.6M-422.5M-4.5M0.7422.579,4986,983490,672427,791
2018-06-06$34.45$34.1612.5%3.8%9.0%9.5%12.9%1.8%0.1%40.4M-366.1M-4.5M1.2522.058,75310,976493,676429,122
2018-06-07$34.62$34.1612.3%3.8%9.1%8.3%13.0%1.8%0.1%46.7M-438.8M-4.5M0.9725.289,0538,751495,289432,642
2018-06-08$34.74$34.1612.4%3.5%8.9%8.9%12.8%2.0%0.4%51.6M-503.9M-4.4M0.5313.0315,8418,407498,893434,484
2018-06-11$34.52$34.1612.4%3.8%8.2%8.9%12.5%1.9%0.8%46.1M-405.8M-4.3M0.4116.4114,1305,836496,621430,145
2018-06-12$34.40$34.1612.4%3.8%7.9%8.4%12.8%1.6%0.8%47.4M-378.5M-4.3M0.7213.458,1575,856502,108431,601
2018-06-13$34.42$34.1612.0%3.7%7.5%5.8%12.1%2.1%1.0%40.6M-362.8M-4.2M0.5428.2512,2406,614502,443435,222
2018-06-14$34.34$34.1612.3%3.6%7.6%7.6%12.2%1.8%0.4%40.1M-333.7M-4.2M1.0719.178,7249,361506,801436,676
2018-06-15$34.43$34.1612.0%3.6%7.6%5.9%12.3%1.8%0.8%37.2M-393.7M-4.2M0.8221.3951,56542,273507,812438,354
2018-06-18$34.27$34.1612.8%3.7%7.9%11.1%13.4%2.1%0.0%22.8M-205.4M-4.2M1.2217.2220,41224,931342,772278,615
2018-06-19$34.36$34.1613.2%3.8%7.9%13.7%13.0%2.2%0.1%24.2M-237.9M-4.3M0.4042.8418,9377,566356,013291,211
2018-06-20$34.60$34.1612.8%3.7%8.2%10.9%12.8%2.1%-0.2%29.6M-301.7M-4.3M0.3817.9020,8737,832368,269295,671
2018-06-21$34.36$34.1613.3%3.8%8.6%14.3%13.1%2.3%-0.3%27.5M-244.6M-4.4M0.3913.1515,9416,152375,232297,126
2018-06-22$34.62$34.1612.4%3.6%8.9%8.9%12.3%2.2%0.1%48.1M-319.8M-4.4M0.5917.6814,2128,357381,722297,771
2018-06-25$34.51$34.1614.4%4.0%8.6%21.7%17.2%3.2%2.4%28.5M-260.1M-4.6M1.1322.878,1519,201379,562295,953
2018-06-26$34.51$34.1613.4%3.9%8.6%15.3%13.9%2.9%2.3%29.5M-278.1M-4.5M1.4110.4215,76422,190381,571300,549
2018-06-27$34.45$34.1614.0%4.1%7.2%19.3%14.9%2.9%2.5%27.9M-260.9M-4.5M1.1019.9930,38833,454390,666311,460
2018-06-28$34.49$34.1614.6%4.1%7.2%23.0%16.2%3.0%2.8%29.2M-280.4M-4.7M1.1247.677,9718,895415,810338,055
2018-06-29$34.53$34.1614.5%3.8%7.1%22.1%14.4%2.5%3.0%34.6M-295.6M-4.7M0.3925.4714,2435,530417,206339,877