PFE Options History — December 2018

In December 2018, PFE traded between $38.49 and $43.62. ATM implied volatility averaged 24.3%, placing in the 73.9% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 3.6% (HV 20d: 20.7%). Max pain ranged from $37.95 to $38.90. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.62.

Notable Days

  • 2018-12-18: Highest Volume — 37,061 contracts
  • 2018-12-24: Largest IV spike — 18.8% change
  • 2018-12-20: Highest IV Rank — 100.0%
  • 2018-12-24: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.26$38.49$43.62$43.62$41.27
Max Pain$38.09$37.95$38.90$38.90$37.95
ATM IV24.3%17.3%34.3%17.3%26.5%
Expected Move7.0%5.1%9.5%5.1%7.2%
HV 20d20.7%17.1%25.9%23.0%24.3%
HV 60d21.3%20.0%23.8%20.0%23.8%
IV Rank73.9%39.4%100.0%39.4%65.1%
IV Percentile92.1%67.9%100.0%67.9%97.6%
Term Structure0.7%-0.8%3.1%0.3%-0.1%
VWIV25.1%19.3%37.5%19.3%27.2%
Skew 25d4.9%3.4%6.9%3.4%5.8%
Skew 10d11.1%6.8%17.8%6.8%17.8%
Call IV 25d22.3%16.0%31.5%16.0%24.4%
Put IV 25d27.2%19.4%38.4%19.4%30.2%
Bid-Ask Spread %9.124.1119.024.376.08
Gamma HHI0.200.080.340.250.13
Net GEX42.5M5.7M78.5M64.9M24.1M
Net DEX-602.5M-1.33B6.1M-1.33B-442.3M
Net VEX-4.4M-4.7M-4.0M-4.4M-4.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.251.800.400.49
Total Volume26,372.313,42437,06128,98013,424
Total OI867,277.15721,205936,080891,654721,205

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-12-03$43.62$38.9017.3%5.1%23.0%39.4%19.3%3.4%0.3%64.9M-1.33B-4.4M0.404.3720,6598,321493,800397,854
2018-12-04$42.97$38.9019.1%5.9%23.6%51.2%20.3%3.8%0.2%64.9M-1.11B-4.7M0.414.6422,5299,150497,003401,664
2018-12-05$42.87$38.9019.8%6.3%22.8%55.9%21.3%4.0%0.3%65.1M-1.08B-4.6M0.4116.0123,3169,461497,003401,664
2018-12-06$42.59$37.9521.0%6.1%18.9%64.0%21.3%4.6%0.6%64.3M-988.1M-4.7M0.6710.3819,45513,071504,546403,879
2018-12-07$41.90$37.9522.1%6.5%18.8%70.9%23.1%4.7%0.2%57.4M-776.7M-4.7M0.319.9313,3694,195505,287405,723
2018-12-10$42.13$37.9522.6%6.8%18.3%74.6%23.0%5.4%1.0%62.3M-849.0M-4.7M0.258.1720,7365,094496,628401,375
2018-12-11$41.89$37.9521.4%6.3%18.3%66.7%21.8%4.3%0.5%64.0M-783.4M-4.5M0.464.9022,26210,285496,333403,138
2018-12-12$42.06$37.9520.4%6.1%17.5%59.7%20.6%3.7%1.0%70.5M-837.0M-4.6M0.614.918,6655,321504,410407,510
2018-12-13$42.28$37.9520.2%5.8%17.1%58.2%20.3%3.9%-0.0%78.5M-909.3M-4.5M0.804.1110,2398,183505,802409,637
2018-12-14$41.37$37.9522.4%6.3%19.0%73.1%23.9%4.5%-0.6%52.7M-610.3M-4.5M0.599.2219,06111,161509,653413,053
2018-12-17$40.86$37.9524.6%7.1%19.1%87.8%24.3%5.3%-0.8%43.9M-485.0M-4.4M0.9111.298,2067,495503,538408,295
2018-12-18$40.33$37.9525.0%7.2%19.0%90.5%26.0%5.3%0.6%33.3M-343.9M-4.3M0.568.8323,80513,256505,103411,583
2018-12-19$39.84$37.9525.5%7.3%19.0%94.0%24.8%5.5%1.2%21.8M-217.4M-4.3M0.6519.0218,62012,028516,205413,671
2018-12-20$39.70$37.9527.7%7.9%18.8%100.0%28.2%6.0%-0.1%19.4M-206.3M-4.3M0.797.6916,08612,714518,778413,739
2018-12-21$39.93$37.9528.9%8.2%19.0%100.0%27.9%6.1%0.8%11.9M-271.2M-4.3M0.7815.5719,10414,912522,516413,564
2018-12-24$38.49$37.9534.3%9.5%22.5%100.0%37.5%6.9%1.2%5.7M6.1M-4.1M1.8010.298,76015,796358,723370,678
2018-12-26$39.85$37.9529.3%8.6%25.9%77.5%30.1%4.1%3.1%12.0M-194.6M-4.2M0.428.4615,8746,658359,566372,780
2018-12-27$40.40$37.9529.0%8.7%25.3%76.4%32.6%6.0%2.5%16.0M-283.7M-4.2M0.417.1114,1495,795362,487374,201
2018-12-28$40.75$37.9528.2%7.8%24.1%72.7%28.5%5.2%2.2%18.1M-347.0M-4.2M0.6311.4822,26313,968367,572375,377
2018-12-31$41.27$37.9526.5%7.2%24.3%65.1%27.2%5.8%-0.1%24.1M-442.3M-4.0M0.496.088,9914,433358,590362,615