PFE Options History — October 2018

In October 2018, PFE traded between $40.40 and $43.27. ATM implied volatility averaged 21.0%, placing in the 64.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 3.6% (HV 20d: 17.4%). Max pain ranged from $38.90 to $41.75. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.73.

Notable Days

2018-10-15: Highest Volume — 67,898 contracts
2018-10-30: Largest IV drop — 19.8% change
2018-10-11: Highest IV Rank — 95.9%
2018-10-29: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.74	$40.40	$43.27	$41.94	$40.93
Max Pain	$41.46	$38.90	$41.75	$38.90	$41.75
ATM IV	21.0%	15.2%	25.8%	15.2%	19.7%
Expected Move	6.2%	4.0%	8.7%	4.1%	6.5%
HV 20d	17.4%	9.6%	23.6%	10.0%	23.3%
HV 60d	15.6%	13.3%	17.2%	13.3%	16.6%
IV Rank	64.0%	24.8%	95.9%	24.8%	55.4%
IV Percentile	89.2%	60.3%	99.2%	60.3%	85.7%
Term Structure	-0.5%	-2.2%	1.0%	1.0%	-0.2%
VWIV	21.6%	13.5%	29.1%	13.5%	21.6%
Skew 25d	3.4%	1.9%	4.9%	1.9%	4.9%
Skew 10d	6.8%	3.2%	9.4%	3.2%	9.4%
Call IV 25d	19.7%	14.9%	24.7%	14.9%	18.0%
Put IV 25d	23.1%	16.8%	28.2%	16.8%	22.9%
Bid-Ask Spread %	16.07	5.00	32.48	15.15	9.64
Gamma HHI	0.14	0.08	0.27	0.12	0.18
Net GEX	35.3M	19.4M	63.4M	38.5M	38.1M
Net DEX	-907.9M	-1.28B	-511.2M	-1.07B	-652.6M
Net VEX	-4.6M	-5.2M	-3.8M	-3.9M	-4.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.21	1.58	0.46	0.54
Total Volume	42,573.739	16,241	67,898	30,854	35,174
Total OI	823,479.696	748,531	889,713	748,531	881,322

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
2018-10-01	$41.94	$38.90	15.2%	4.1%	10.0%	24.8%	13.5%	1.9%	1.0%	38.5M	-1.07B	-3.9M	0.46	15.15	21,140	9,714	412,746	335,785
2018-10-02	$41.96	$39.85	15.4%	4.0%	9.9%	26.6%	14.1%	2.0%	0.6%	39.6M	-1.08B	-3.9M	0.62	15.51	10,011	6,230	420,026	340,091
2018-10-03	$42.42	$39.85	15.9%	4.1%	9.8%	29.7%	14.6%	1.9%	0.9%	40.9M	-1.17B	-3.8M	0.52	32.48	24,555	12,818	422,529	341,951
2018-10-04	$42.38	$41.75	17.1%	5.0%	9.9%	37.7%	17.4%	2.3%	0.9%	37.1M	-1.14B	-3.9M	0.72	13.63	17,492	12,631	422,542	348,013
2018-10-05	$42.56	$41.75	17.3%	5.0%	9.6%	38.8%	17.5%	2.5%	0.7%	41.8M	-1.16B	-4.1M	1.04	10.56	18,800	19,538	427,605	351,422
2018-10-08	$42.98	$41.75	17.8%	5.1%	9.7%	42.2%	18.2%	3.1%	0.0%	37.3M	-1.23B	-4.0M	1.58	5.00	13,991	22,160	427,956	356,390
2018-10-09	$43.27	$41.75	18.6%	5.1%	9.8%	48.0%	18.9%	3.3%	-1.2%	34.1M	-1.28B	-4.1M	0.73	9.33	19,067	13,834	432,576	371,864
2018-10-10	$42.37	$41.75	22.3%	6.1%	13.1%	72.3%	21.2%	3.6%	-1.2%	32.9M	-1.07B	-4.3M	0.34	14.01	48,666	16,481	437,052	378,358
2018-10-11	$40.90	$41.75	25.8%	7.2%	18.6%	95.9%	25.7%	3.5%	-0.6%	26.2M	-671.6M	-5.0M	0.94	19.73	32,953	30,943	445,219	384,617
2018-10-12	$41.57	$41.75	24.4%	6.7%	19.5%	86.3%	24.5%	3.7%	-1.2%	27.6M	-830.7M	-4.9M	0.86	15.45	24,537	21,123	450,273	395,785
2018-10-15	$41.05	$41.75	23.5%	6.7%	20.0%	80.8%	21.7%	3.6%	-2.2%	28.0M	-746.1M	-4.7M	0.21	19.36	55,913	11,985	449,454	392,145
2018-10-16	$41.63	$41.75	21.6%	6.2%	20.0%	68.1%	21.5%	3.5%	-1.3%	39.6M	-923.2M	-4.6M	0.46	20.47	23,775	11,027	474,766	393,178
2018-10-17	$42.24	$41.75	21.1%	6.1%	20.3%	64.7%	21.9%	3.4%	-0.8%	46.5M	-1.10B	-4.5M	0.85	21.94	20,748	17,625	480,004	395,387
2018-10-18	$41.77	$41.75	22.5%	6.5%	20.1%	73.7%	22.8%	3.6%	-1.4%	42.2M	-945.3M	-4.8M	1.09	25.44	16,072	17,450	481,359	400,939
2018-10-19	$42.29	$41.75	21.2%	6.2%	20.4%	64.8%	21.8%	3.6%	-0.9%	63.4M	-1.11B	-4.7M	0.57	7.34	34,867	19,908	483,413	406,300
2018-10-22	$42.01	$41.75	21.1%	6.4%	20.4%	64.6%	22.7%	3.7%	-0.5%	30.6M	-863.1M	-4.7M	0.97	13.78	14,718	14,236	425,609	365,507
2018-10-23	$41.94	$41.75	22.0%	6.8%	20.4%	70.5%	23.0%	3.5%	-0.7%	30.7M	-841.6M	-4.7M	0.67	9.68	19,885	13,240	430,995	370,858
2018-10-24	$40.96	$41.75	24.5%	7.6%	22.1%	87.1%	26.4%	4.1%	-1.2%	25.6M	-630.5M	-4.9M	0.84	15.98	13,113	10,968	432,667	373,570
2018-10-25	$41.29	$41.75	24.7%	7.9%	22.4%	88.6%	26.4%	4.1%	-1.1%	26.4M	-701.1M	-4.9M	0.65	9.80	38,581	24,982	438,277	379,028
2018-10-26	$40.40	$41.75	25.5%	8.3%	23.5%	94.0%	29.1%	3.7%	-0.9%	19.4M	-511.2M	-5.1M	0.81	15.95	32,722	26,505	466,965	387,212
2018-10-29	$40.51	$41.75	25.8%	8.7%	23.5%	95.6%	28.6%	3.4%	-0.5%	29.2M	-572.5M	-5.2M	0.52	22.50	41,131	21,344	472,575	378,470
2018-10-30	$40.69	$41.75	20.7%	7.0%	23.6%	61.5%	23.6%	4.9%	-0.2%	35.2M	-581.2M	-5.1M	0.85	26.89	25,133	21,410	493,720	383,513
2018-10-31	$40.93	$41.75	19.7%	6.5%	23.3%	55.4%	21.6%	4.9%	-0.2%	38.1M	-652.6M	-4.9M	0.54	9.64	22,864	12,310	494,529	386,793