PFE Options History — November 2018

In November 2018, PFE traded between $40.66 and $43.81. ATM implied volatility averaged 19.2%, placing in the 51.6% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 4.7% (HV 20d: 23.9%). Max pain ranged from $37.00 to $41.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.82.

Notable Days

2018-11-07: Highest Volume — 98,129 contracts
2018-11-07: Largest IV drop — 19.0% change
2018-11-20: Highest IV Rank — 65.8%
2018-11-23: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.62	$40.66	$43.81	$41.38	$43.81
Max Pain	$38.72	$37.00	$41.75	$41.75	$38.90
ATM IV	19.2%	17.0%	21.3%	18.4%	18.4%
Expected Move	5.6%	4.9%	6.2%	5.8%	5.6%
HV 20d	23.9%	21.5%	27.4%	23.7%	23.7%
HV 60d	18.7%	16.4%	20.1%	16.4%	20.1%
IV Rank	51.6%	36.8%	65.8%	46.5%	46.1%
IV Percentile	80.8%	67.1%	90.1%	80.2%	75.0%
Term Structure	-0.2%	-0.9%	0.4%	-0.0%	-0.2%
VWIV	20.4%	17.2%	27.4%	22.0%	20.4%
Skew 25d	4.2%	3.2%	5.0%	4.5%	4.1%
Skew 10d	9.4%	6.7%	11.5%	8.2%	6.7%
Call IV 25d	17.6%	15.8%	19.7%	17.0%	16.8%
Put IV 25d	21.9%	19.3%	24.3%	21.5%	20.9%
Bid-Ask Spread %	9.89	3.06	22.83	22.83	6.71
Gamma HHI	0.22	0.15	0.29	0.20	0.26
Net GEX	49.0M	25.2M	69.9M	47.8M	57.6M
Net DEX	-765.1M	-1.37B	-489.6M	-768.8M	-1.37B
Net VEX	-4.8M	-5.0M	-4.4M	-4.9M	-4.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.16	1.68	1.13	0.16
Total Volume	41,967.333	24,346	98,129	31,132	96,200
Total OI	878,325.048	831,591	912,074	892,746	888,040

Daily Data (21 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
2018-11-01	$41.38	$41.75	18.4%	5.8%	23.7%	46.5%	22.0%	4.5%	-0.0%	47.8M	-768.8M	-4.9M	1.13	22.83	14,591	16,541	503,452	389,294
2018-11-02	$40.80	$41.75	19.0%	6.0%	24.0%	50.4%	21.3%	3.9%	-0.2%	35.5M	-586.4M	-5.0M	0.62	20.72	21,848	13,483	507,607	395,977
2018-11-05	$41.29	$37.00	19.3%	5.4%	24.2%	52.3%	21.4%	4.5%	-0.0%	45.6M	-749.3M	-4.9M	1.68	7.40	12,734	21,369	496,320	382,395
2018-11-06	$40.66	$37.00	20.9%	5.6%	24.4%	63.5%	22.4%	4.7%	-0.2%	34.2M	-579.7M	-4.9M	1.33	10.55	17,544	23,271	499,526	393,470
2018-11-07	$42.22	$37.00	17.0%	5.0%	27.4%	36.8%	27.4%	3.9%	-0.0%	62.5M	-1.01B	-4.8M	0.26	10.46	78,112	20,017	504,998	407,076
2018-11-08	$41.49	$37.95	18.1%	4.9%	25.0%	44.1%	18.1%	3.7%	-0.5%	44.9M	-671.1M	-4.7M	0.60	14.29	16,989	10,165	461,194	415,209
2018-11-09	$42.04	$37.95	18.0%	5.4%	24.7%	43.6%	18.7%	4.2%	-0.1%	61.9M	-830.9M	-4.8M	0.70	15.64	31,978	22,288	465,618	416,637
2018-11-12	$41.89	$37.95	19.5%	5.6%	24.3%	53.8%	19.6%	4.4%	0.4%	54.2M	-801.9M	-4.8M	0.61	11.58	19,632	11,904	466,160	412,921
2018-11-13	$41.28	$37.95	20.1%	5.6%	24.4%	57.5%	20.2%	4.3%	-0.4%	40.0M	-611.5M	-4.8M	1.08	14.76	15,189	16,354	470,825	415,992
2018-11-14	$40.84	$38.90	20.8%	5.9%	24.0%	62.7%	20.4%	4.3%	-0.2%	29.3M	-489.6M	-4.8M	0.68	9.85	23,736	16,235	474,213	415,428
2018-11-15	$40.93	$38.90	20.5%	5.9%	23.8%	60.5%	19.9%	4.1%	-0.1%	25.2M	-500.4M	-4.9M	0.88	7.15	22,043	19,401	483,818	417,400
2018-11-16	$41.38	$38.90	18.3%	5.1%	23.7%	46.0%	17.2%	4.0%	-0.7%	44.3M	-629.1M	-4.8M	0.40	15.57	39,961	16,162	487,117	417,962
2018-11-19	$41.86	$38.90	19.5%	5.6%	24.0%	53.9%	20.4%	4.7%	-0.3%	53.7M	-817.9M	-5.0M	1.04	7.75	16,134	16,786	454,172	377,419
2018-11-20	$41.38	$38.90	21.3%	6.1%	24.3%	65.8%	20.9%	5.0%	-0.9%	49.3M	-691.8M	-5.0M	1.58	4.01	13,513	21,316	459,422	381,117
2018-11-21	$40.98	$38.90	20.7%	5.9%	23.1%	61.7%	19.7%	4.8%	-0.6%	46.8M	-588.1M	-4.9M	0.60	4.36	18,547	11,114	465,308	386,632
2018-11-23	$40.93	$38.90	21.3%	6.2%	22.9%	65.7%	20.6%	4.9%	-0.6%	46.6M	-591.1M	-4.9M	0.64	9.71	15,945	10,271	475,801	388,976
2018-11-26	$41.22	$38.90	19.3%	5.7%	21.5%	52.4%	19.7%	4.2%	0.0%	52.4M	-658.1M	-4.8M	0.81	3.09	13,443	10,903	471,839	385,885
2018-11-27	$41.68	$38.90	18.3%	5.5%	21.8%	45.6%	19.6%	4.0%	-0.0%	61.3M	-796.6M	-4.7M	0.96	3.06	14,638	14,108	474,428	388,961
2018-11-28	$42.50	$38.90	17.1%	5.0%	22.7%	37.4%	18.9%	3.9%	-0.0%	69.9M	-1.04B	-4.6M	0.85	4.56	21,886	18,576	476,490	393,324
2018-11-29	$43.42	$38.90	17.1%	5.0%	23.7%	37.8%	18.8%	3.2%	0.1%	66.3M	-1.29B	-4.4M	0.57	3.62	29,566	16,821	480,040	396,363
2018-11-30	$43.81	$38.90	18.4%	5.6%	23.7%	46.1%	20.4%	4.1%	-0.2%	57.6M	-1.37B	-4.4M	0.16	6.71	82,960	13,240	483,894	404,146