PFE Options History — September 2018

In September 2018, PFE traded between $39.27 and $41.90. ATM implied volatility averaged 14.0%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.6% (HV 20d: 11.4%). Max pain ranged from $37.00 to $38.90. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.63.

Notable Days

  • 2018-09-20: Highest Volume — 65,600 contracts
  • 2018-09-24: Largest IV spike — 6.9% change
  • 2018-09-10: Highest IV Rank — 23.3%
  • 2018-09-07: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.82$39.27$41.90$39.27$41.83
Max Pain$38.30$37.00$38.90$37.00$38.90
ATM IV14.0%13.1%14.9%14.4%13.9%
Expected Move4.1%3.8%4.4%4.2%4.0%
HV 20d11.4%10.0%13.4%13.0%10.1%
HV 60d13.2%12.8%13.5%13.0%13.3%
IV Rank17.2%11.1%23.3%21.9%16.6%
IV Percentile35.7%18.3%54.8%46.0%32.9%
Term Structure0.6%-0.2%2.5%-0.1%2.5%
VWIV14.4%13.5%15.5%15.5%13.9%
Skew 25d2.2%1.8%2.6%2.0%2.2%
Skew 10d4.9%2.7%6.5%4.7%5.1%
Call IV 25d13.4%12.4%14.2%14.0%12.6%
Put IV 25d15.6%14.5%16.5%16.0%14.9%
Bid-Ask Spread %19.795.3840.3232.5624.64
Gamma HHI0.180.120.280.130.15
Net GEX48.7M34.6M64.8M41.3M43.9M
Net DEX-1.09B-1.45B-809.4M-809.4M-1.05B
Net VEX-3.9M-4.2M-3.6M-4.2M-4.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.261.091.090.75
Total Volume32,622.89518,11665,60018,11628,202
Total OI807,309.263701,129877,640818,010749,817

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-09-04$39.27$37.0014.4%4.2%13.0%21.9%15.5%2.0%-0.1%41.3M-809.4M-4.2M1.0932.568,6499,467449,050368,960
2018-09-05$39.71$37.0014.6%4.1%13.4%21.2%14.5%1.8%-0.1%46.0M-918.8M-4.2M0.325.3820,3536,433449,979371,426
2018-09-06$39.72$37.9514.6%4.3%12.1%21.6%15.3%2.3%0.2%47.5M-932.0M-4.1M0.8010.5116,08712,927452,834371,956
2018-09-07$40.09$37.9514.4%4.4%11.7%19.8%15.4%2.6%0.0%53.0M-1.03B-4.1M0.9215.9313,67212,556454,318377,169
2018-09-10$40.01$37.9514.9%4.3%11.6%23.3%15.0%2.2%0.2%51.4M-987.0M-4.1M0.5913.4117,63410,453449,192372,943
2018-09-11$40.22$37.9514.3%4.3%11.6%19.4%14.8%2.4%0.7%54.0M-1.02B-4.1M0.4015.1625,99710,508446,996373,721
2018-09-12$40.37$37.9514.3%4.1%11.5%19.1%14.5%2.3%0.0%63.6M-1.08B-4.0M0.7117.4217,96312,832458,882378,687
2018-09-13$40.62$37.9513.6%4.0%11.2%14.5%14.2%1.8%0.3%58.1M-1.15B-3.8M0.7625.9716,02012,107449,397382,538
2018-09-14$40.74$37.9513.3%3.9%11.2%12.6%13.8%2.1%0.4%64.8M-1.16B-3.8M0.526.1323,41012,206452,762386,959
2018-09-17$40.76$37.9514.1%4.1%10.0%17.6%14.3%2.5%-0.2%59.6M-1.16B-3.8M0.6120.1916,65710,115451,135383,259
2018-09-18$41.35$38.9013.5%3.9%10.7%13.4%14.2%2.3%0.1%52.9M-1.31B-3.7M0.5921.1821,22412,564452,490385,394
2018-09-19$40.96$38.9014.1%4.0%11.0%17.9%13.9%2.0%-0.1%58.0M-1.20B-3.8M0.9112.6218,73917,066455,300391,314
2018-09-20$41.56$38.9013.3%3.8%12.0%12.6%14.3%2.3%-0.2%44.6M-1.34B-3.7M0.2623.5352,14713,453456,930398,565
2018-09-21$41.90$38.9013.1%3.8%12.2%11.1%13.5%2.0%-0.1%43.1M-1.45B-3.6M0.3925.9735,83214,016472,974404,666
2018-09-24$41.70$38.9014.0%4.0%12.4%17.1%14.5%2.2%1.7%34.6M-1.03B-3.7M0.8916.1016,46614,685383,286317,843
2018-09-25$41.62$38.9013.7%4.0%10.1%15.3%13.7%2.1%1.7%34.7M-1.00B-3.9M0.6211.7620,61912,798390,139326,006
2018-09-26$41.61$38.9013.8%4.0%10.1%15.4%13.7%2.2%1.8%35.8M-1.00B-3.9M0.3637.1924,7978,821398,121330,624
2018-09-27$41.57$38.9014.0%4.0%10.1%17.1%14.3%2.0%1.9%39.1M-993.6M-4.0M0.4540.3215,3786,982409,954333,290
2018-09-28$41.83$38.9013.9%4.0%10.1%16.6%13.9%2.2%2.5%43.9M-1.05B-4.0M0.7524.6416,10912,093415,100334,717