PFE Options History — July 2018

In July 2018, PFE traded between $34.41 and $37.79. ATM implied volatility averaged 14.8%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 6.0% (HV 20d: 8.8%). 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 3 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2018-07-31: Highest Volume — 113,187 contracts
  • 2018-07-31: Largest IV drop — 11.9% change
  • 2018-07-03: Highest IV Rank — 35.3%
  • 2018-07-30: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.64$34.41$37.79$34.41$37.79
Max Pain$34.36$34.16$35.10$34.16$35.10
ATM IV14.8%13.0%16.5%15.8%13.0%
Expected Move4.2%3.8%4.8%3.8%3.8%
HV 20d8.8%6.7%13.6%6.7%13.6%
HV 60d12.1%8.5%13.2%13.2%10.4%
IV Rank24.5%12.4%35.3%30.7%12.4%
IV Percentile55.5%26.2%79.0%70.6%26.2%
Term Structure-0.5%-1.6%0.4%-0.8%-0.2%
VWIV15.2%13.5%17.2%14.9%15.4%
Skew 25d2.7%2.1%3.3%3.3%2.2%
Skew 10d5.8%3.9%7.4%7.4%4.6%
Call IV 25d13.8%12.6%15.2%15.2%12.6%
Put IV 25d16.5%14.9%18.4%18.4%14.9%
Bid-Ask Spread %18.193.4736.1515.3020.44
Gamma HHI0.190.170.260.190.18
Net GEX45.3M27.1M70.0M27.1M44.9M
Net DEX-571.8M-960.8M-253.9M-253.9M-960.8M
Net VEX-4.3M-4.6M-4.0M-4.5M-4.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.261.960.300.32
Total Volume30,768.90512,676113,18720,875113,187
Total OI763,148.286680,215820,028753,057738,539

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-07-02$34.41$34.1615.8%3.8%6.7%30.7%14.9%3.3%-0.8%27.1M-253.9M-4.5M0.3015.3016,1174,758415,475337,582
2018-07-03$34.49$34.1616.5%3.8%6.7%35.3%13.5%3.0%-0.7%32.3M-299.2M-4.5M0.4924.278,4914,185422,038338,629
2018-07-05$35.01$34.1616.0%4.4%8.4%32.0%15.9%3.1%-0.4%40.7M-438.8M-4.5M0.4628.6416,3567,467425,149339,328
2018-07-06$35.20$34.1615.7%4.2%8.4%29.8%14.5%2.8%-0.6%47.1M-507.6M-4.6M0.2618.1327,4407,222432,163341,436
2018-07-09$35.25$34.1615.7%4.3%8.4%30.3%15.4%2.7%-0.6%45.3M-540.6M-4.4M1.9632.1916,66332,675431,920340,921
2018-07-10$35.55$34.1615.8%4.4%8.3%30.4%15.7%2.6%-0.4%40.7M-617.8M-4.4M0.895.9012,95911,476436,403358,528
2018-07-11$35.39$34.1614.8%4.3%8.4%24.2%14.6%2.7%0.4%41.2M-564.5M-4.5M0.5816.3518,18410,515439,882358,580
2018-07-12$35.61$34.1614.6%4.0%8.6%22.9%14.8%2.9%-1.2%47.2M-659.1M-4.3M0.7311.7010,8977,956444,810361,224
2018-07-13$35.64$34.1614.5%4.0%8.5%22.5%16.0%3.1%-1.1%54.3M-669.0M-4.3M0.4632.5413,9176,420445,395361,659
2018-07-16$35.50$34.1614.9%4.3%8.7%25.1%15.1%2.9%-1.4%45.9M-602.6M-4.3M0.8914.378,0367,135440,829356,503
2018-07-17$35.81$34.1614.4%4.1%8.7%21.6%14.2%3.1%0.4%46.6M-716.5M-4.2M0.3111.6224,1477,551442,440359,579
2018-07-18$35.67$34.1614.4%4.1%8.9%21.6%14.0%2.8%0.4%48.6M-674.3M-4.2M0.6712.2011,4567,642450,867360,708
2018-07-19$35.46$34.1615.0%4.4%9.2%25.8%15.3%2.1%-1.6%50.5M-609.4M-4.2M0.823.4710,3978,508453,033362,654
2018-07-20$35.36$34.1614.2%4.2%8.8%20.5%15.1%3.0%-1.0%49.7M-564.7M-4.2M0.3823.0022,4868,568453,435366,593
2018-07-23$35.30$34.1614.7%4.4%8.5%23.7%14.9%2.3%-0.2%37.1M-358.9M-4.2M0.5514.6111,9306,592386,093294,122
2018-07-24$35.70$34.1614.3%4.3%9.1%21.2%16.0%2.1%-0.1%43.2M-453.3M-4.2M0.5213.8811,0325,702392,481297,528
2018-07-25$36.03$34.6314.0%4.2%9.5%19.2%15.6%2.2%-0.2%45.4M-551.2M-4.2M0.4336.1519,1558,180396,460298,645
2018-07-26$36.20$35.1014.2%4.3%9.4%20.2%15.3%2.5%-0.4%47.9M-603.8M-4.2M0.3022.5027,6158,152404,363301,608
2018-07-27$36.47$35.1014.4%4.3%9.5%22.0%16.3%2.6%-0.3%70.0M-681.6M-4.1M0.3812.2434,13113,076413,278305,490
2018-07-30$36.62$35.1014.7%4.8%9.5%23.9%17.2%2.3%-0.6%46.3M-681.0M-4.2M0.8012.5120,95416,817411,727308,017
2018-07-31$37.79$35.1013.0%3.8%13.6%12.4%15.4%2.2%-0.2%44.9M-960.8M-4.0M0.3220.4485,76627,421422,339316,200