PFE Options History — August 2018

In August 2018, PFE traded between $37.71 and $40.27. ATM implied volatility averaged 14.0%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 2.6% (HV 20d: 16.6%). Max pain ranged from $35.10 to $37.48. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.59.

Notable Days

2018-08-01: Highest Volume — 244,065 contracts
2018-08-16: Largest IV drop — 8.1% change
2018-08-24: Highest IV Rank — 32.6%
2018-08-24: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.24	$37.71	$40.27	$38.22	$39.37
Max Pain	$36.42	$35.10	$37.48	$35.10	$37.00
ATM IV	14.0%	12.8%	16.1%	12.8%	14.1%
Expected Move	4.0%	3.7%	4.6%	4.0%	3.9%
HV 20d	16.6%	13.6%	19.3%	13.8%	13.6%
HV 60d	12.3%	10.6%	13.1%	10.6%	13.0%
IV Rank	19.0%	11.4%	32.6%	11.4%	20.0%
IV Percentile	41.1%	23.8%	75.0%	25.0%	39.7%
Term Structure	0.0%	-0.7%	0.5%	0.0%	0.0%
VWIV	14.7%	13.2%	23.7%	23.7%	13.8%
Skew 25d	1.9%	1.0%	2.5%	2.5%	1.9%
Skew 10d	4.0%	1.8%	5.6%	5.6%	5.0%
Call IV 25d	13.5%	12.5%	15.4%	12.5%	13.6%
Put IV 25d	15.4%	13.9%	17.8%	15.0%	15.5%
Bid-Ask Spread %	19.67	5.00	38.42	35.79	30.01
Gamma HHI	0.16	0.12	0.37	0.20	0.37
Net GEX	37.0M	-29.3M	48.9M	43.2M	-29.3M
Net DEX	-880.7M	-1.05B	-612.6M	-1.03B	-792.6M
Net VEX	-4.0M	-4.4M	-3.6M	-3.9M	-4.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.12	1.43	0.12	1.28
Total Volume	60,180.609	20,321	244,065	244,065	32,559
Total OI	778,488.478	684,094	884,677	758,204	884,677

Daily Data (23 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
2018-08-01	$38.22	$35.10	12.8%	4.0%	13.8%	11.4%	23.7%	2.5%	0.0%	43.2M	-1.03B	-3.9M	0.12	35.79	218,030	26,035	428,934	329,270
2018-08-02	$37.71	$37.48	13.8%	4.1%	14.7%	17.6%	14.7%	2.0%	-0.3%	32.9M	-612.6M	-3.9M	0.32	25.12	63,614	20,151	343,446	340,648
2018-08-03	$38.45	$37.48	13.5%	4.0%	15.7%	16.0%	14.5%	1.9%	-0.1%	38.8M	-782.5M	-4.0M	0.31	38.42	68,840	21,356	362,796	350,541
2018-08-06	$38.95	$36.05	13.1%	3.8%	15.9%	13.4%	13.9%	1.8%	0.2%	42.9M	-869.0M	-3.8M	0.40	8.30	40,895	16,468	369,646	340,078
2018-08-07	$38.78	$36.05	12.9%	3.8%	16.2%	12.1%	13.5%	1.0%	0.0%	44.7M	-835.2M	-3.9M	0.73	5.00	27,829	20,283	376,361	346,654
2018-08-08	$39.42	$36.05	12.9%	3.7%	16.4%	11.9%	13.2%	1.4%	0.3%	40.1M	-946.3M	-3.7M	0.36	6.14	45,857	16,395	377,596	350,668
2018-08-09	$38.98	$36.05	13.1%	3.8%	17.4%	13.4%	13.5%	1.1%	0.2%	43.4M	-841.2M	-4.0M	0.44	11.68	29,099	12,754	387,992	356,913
2018-08-10	$38.80	$36.05	13.6%	3.9%	17.7%	16.5%	14.6%	1.9%	0.4%	45.1M	-804.7M	-4.1M	0.49	5.91	29,486	14,421	394,141	360,433
2018-08-13	$38.83	$36.05	13.8%	4.0%	17.5%	17.6%	14.3%	1.8%	0.4%	39.4M	-795.4M	-4.0M	0.65	16.87	18,577	12,096	386,792	355,335
2018-08-14	$38.69	$36.05	13.5%	3.8%	17.6%	15.9%	14.0%	2.1%	-0.1%	34.3M	-749.3M	-4.0M	0.50	8.82	18,699	9,370	389,271	359,916
2018-08-15	$39.05	$36.05	14.6%	4.2%	17.5%	23.0%	15.0%	2.1%	-0.1%	37.7M	-836.0M	-4.0M	0.70	18.67	26,605	18,702	393,434	361,696
2018-08-16	$39.29	$36.05	13.4%	4.0%	17.1%	15.3%	13.9%	1.8%	0.5%	44.6M	-892.5M	-4.0M	0.68	20.08	21,712	14,816	395,649	364,444
2018-08-17	$39.89	$36.05	13.5%	3.9%	17.1%	15.6%	13.9%	1.9%	0.1%	46.6M	-1.03B	-3.8M	0.36	18.56	46,044	16,385	399,177	370,869
2018-08-20	$40.27	$36.05	14.2%	4.1%	16.9%	20.4%	14.4%	1.9%	-0.2%	35.9M	-1.05B	-3.6M	0.31	30.67	61,106	19,199	394,181	337,355
2018-08-21	$40.03	$36.05	14.3%	4.1%	17.4%	20.7%	14.1%	1.6%	0.2%	40.8M	-1.02B	-3.9M	0.44	20.87	42,803	18,713	417,924	346,726
2018-08-22	$39.97	$36.05	14.6%	4.2%	17.5%	23.0%	14.3%	1.9%	0.1%	48.9M	-1.02B	-4.0M	0.73	32.15	24,089	17,490	433,706	351,686
2018-08-23	$40.08	$37.00	15.3%	4.4%	17.5%	27.5%	15.4%	2.1%	-0.7%	46.0M	-1.03B	-4.2M	1.43	25.34	23,999	34,222	439,777	361,025
2018-08-24	$40.14	$37.00	16.1%	4.6%	17.6%	32.6%	16.0%	2.4%	-0.5%	44.0M	-1.03B	-4.3M	0.37	18.01	62,491	23,069	457,618	385,512
2018-08-27	$39.43	$37.00	15.2%	4.3%	19.3%	26.9%	14.7%	1.9%	0.0%	37.8M	-825.9M	-4.4M	0.62	26.75	49,226	30,298	482,760	391,856
2018-08-28	$39.37	$37.00	14.7%	4.1%	16.4%	23.7%	14.3%	1.8%	0.1%	36.3M	-819.9M	-4.3M	0.93	16.19	13,111	12,179	483,860	388,394
2018-08-29	$39.44	$37.00	14.2%	4.0%	16.0%	20.6%	14.1%	1.9%	0.1%	32.8M	-834.7M	-4.3M	0.58	12.83	12,881	7,440	487,559	389,802
2018-08-30	$39.37	$37.00	14.3%	4.0%	15.1%	21.2%	13.8%	2.2%	-0.1%	23.8M	-805.6M	-4.3M	0.77	20.16	14,006	10,754	487,798	390,319
2018-08-31	$39.37	$37.00	14.1%	3.9%	13.6%	20.0%	13.8%	1.9%	0.0%	-29.3M	-792.6M	-4.3M	1.28	30.01	14,273	18,286	491,245	393,432