PFE Options History — January 2019

In January 2019, PFE traded between $37.56 and $41.17. ATM implied volatility averaged 22.8%, placing in the 48.7% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 3.0% (HV 20d: 25.9%). Max pain ranged from $37.95 to $39.85. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2019-01-18: Highest Volume — 87,731 contracts
  • 2019-01-29: Largest IV drop — 19.2% change
  • 2019-01-03: Highest IV Rank — 75.6%
  • 2019-01-28: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.01$37.56$41.17$40.96$40.33
Max Pain$39.58$37.95$39.85$37.95$38.90
ATM IV22.8%18.2%28.8%27.1%18.2%
Expected Move6.6%5.1%8.7%7.2%5.1%
HV 20d25.9%21.9%27.6%24.4%27.0%
HV 60d23.5%22.5%24.8%23.8%24.8%
IV Rank48.7%28.1%75.6%67.8%28.1%
IV Percentile84.4%58.3%98.4%97.6%58.3%
Term Structure-0.7%-1.8%0.8%-0.8%0.0%
VWIV22.6%18.7%29.3%24.4%18.7%
Skew 25d5.2%3.8%6.2%6.2%3.8%
Skew 10d11.4%8.6%20.7%11.9%11.7%
Call IV 25d20.6%16.8%25.6%24.2%16.8%
Put IV 25d25.8%20.5%31.8%30.4%20.5%
Bid-Ask Spread %7.703.1127.234.209.63
Gamma HHI0.120.080.170.130.17
Net GEX15.7M2.6M41.5M22.1M41.5M
Net DEX-209.1M-426.0M160.9M-384.0M-347.3M
Net VEX-3.7M-4.1M-3.4M-3.9M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.241.150.670.30
Total Volume36,941.9525,78487,73124,48071,554
Total OI679,149.333484,809769,583726,065623,262

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-01-02$40.96$37.9527.1%7.2%24.4%67.8%24.4%6.2%-0.8%22.1M-384.0M-3.9M0.674.2014,7009,780361,704364,361
2019-01-03$40.04$38.9028.8%7.6%25.0%75.6%25.3%6.1%-1.6%14.0M-218.2M-4.0M0.5610.3017,0369,575368,379370,371
2019-01-04$40.87$38.9025.7%6.9%26.5%61.7%23.8%6.1%-1.0%17.2M-371.3M-4.0M0.6116.2617,09510,458375,391372,504
2019-01-07$41.17$38.9025.1%6.9%26.6%58.8%23.5%6.2%-0.9%22.5M-425.1M-3.9M0.8511.083,1242,660369,630371,983
2019-01-08$41.17$39.8523.5%6.7%26.1%51.7%24.8%5.3%0.1%23.2M-426.0M-3.8M1.038.848,6068,885372,216373,466
2019-01-09$41.09$39.8523.2%6.6%25.9%50.5%23.0%5.5%-0.3%21.9M-403.4M-3.8M0.878.047,6326,606374,535377,437
2019-01-10$40.09$39.8524.2%6.6%27.2%55.0%23.0%5.3%-1.6%11.7M-213.0M-3.7M1.154.0612,93614,830376,497378,082
2019-01-11$40.57$39.8521.5%6.0%27.6%42.8%22.5%5.1%-0.9%14.3M-294.8M-3.7M0.905.6310,0419,019379,546381,116
2019-01-14$40.23$39.8522.2%6.3%27.6%45.7%21.7%5.3%-1.0%11.3M-239.8M-3.5M0.6510.328,5135,502374,074376,885
2019-01-15$40.47$39.8520.3%5.8%26.8%37.3%19.3%4.9%0.8%12.8M-293.0M-3.5M0.245.6819,0344,536376,897378,223
2019-01-16$40.00$39.8520.9%6.0%26.7%39.9%19.7%4.6%-0.9%9.9M-210.0M-3.5M0.684.6711,1527,621381,787379,593
2019-01-17$40.27$39.8520.4%5.9%26.5%37.9%18.9%4.8%-1.4%12.0M-258.9M-3.5M0.395.0616,3966,475382,947382,252
2019-01-18$40.23$39.8521.1%6.2%26.1%40.7%21.0%4.3%-1.8%16.7M-261.9M-3.5M0.403.1862,61025,121385,982383,601
2019-01-22$39.88$39.8522.4%6.7%26.2%46.8%22.6%4.7%-0.7%12.6M-100.2M-3.6M0.375.1632,80811,980270,459214,350
2019-01-23$40.00$39.8521.8%6.6%26.2%43.9%21.8%4.6%-0.2%16.9M-131.0M-3.7M0.574.3025,41414,549293,901218,310
2019-01-24$38.75$39.8523.2%7.1%25.3%50.5%23.9%4.9%-1.0%5.4M45.9M-3.5M0.523.1138,98520,218303,166225,643
2019-01-25$38.51$39.8522.9%7.1%21.9%49.1%23.9%5.7%-0.6%4.1M71.7M-3.5M0.494.9332,14215,633317,268233,142
2019-01-28$37.56$39.8526.3%8.7%22.6%64.4%29.3%5.6%-1.0%2.6M160.9M-3.4M1.1027.2316,55718,272322,602236,559
2019-01-29$38.64$39.8521.3%6.5%24.9%41.7%22.3%5.0%-0.5%10.2M30.1M-3.7M0.555.3347,04325,804347,597264,041
2019-01-30$39.47$39.8519.3%5.8%25.8%32.7%21.9%4.4%0.1%26.1M-122.2M-3.8M0.264.7759,64015,239352,788269,589
2019-01-31$40.33$38.9018.2%5.1%27.0%28.1%18.7%3.8%0.0%41.5M-347.3M-4.1M0.309.6355,17616,378351,732271,530