PFE Options History — February 2019

In February 2019, PFE traded between $39.38 and $41.20. ATM implied volatility averaged 16.8%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 7.2% (HV 20d: 23.9%). Max pain ranged from $39.85 to $39.85. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.53.

Notable Days

  • 2019-02-20: Highest Volume — 51,634 contracts
  • 2019-02-07: Largest IV spike — 11.6% change
  • 2019-02-07: Highest IV Rank — 28.0%
  • 2019-02-08: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.24$39.38$41.20$40.65$41.20
Max Pain$39.85$39.85$39.85$39.85$39.85
ATM IV16.8%15.7%18.2%16.9%16.0%
Expected Move4.7%4.4%5.1%4.8%4.5%
HV 20d23.9%17.7%25.9%25.9%17.7%
HV 60d23.4%22.8%24.7%24.7%22.8%
IV Rank21.4%16.9%28.0%22.0%18.2%
IV Percentile50.3%42.9%58.7%49.6%46.4%
Term Structure0.2%-0.8%1.0%0.8%0.7%
VWIV16.4%15.1%18.2%17.5%16.4%
Skew 25d3.5%2.9%4.2%3.4%3.3%
Skew 10d8.4%5.8%12.0%7.6%8.0%
Call IV 25d15.4%14.8%17.0%15.8%15.0%
Put IV 25d18.9%17.8%20.5%19.1%18.3%
Bid-Ask Spread %4.082.937.476.263.05
Gamma HHI0.210.160.340.230.24
Net GEX35.0M16.2M63.6M41.5M59.5M
Net DEX-284.6M-574.3M-102.8M-435.1M-574.3M
Net VEX-4.0M-4.4M-3.7M-4.1M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.260.870.480.71
Total Volume28,232.36811,50451,63448,23935,288
Total OI623,124.211569,426684,953637,851684,953

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-02-01$40.65$39.8516.9%4.8%25.9%22.0%17.5%3.4%0.8%41.5M-435.1M-4.1M0.486.2632,49015,749362,524275,327
2019-02-04$40.16$39.8517.1%5.0%25.2%22.8%16.4%3.5%0.6%34.0M-268.1M-4.0M0.417.4713,7165,692342,064252,176
2019-02-05$40.04$39.8517.9%4.9%25.0%26.6%16.4%3.7%-0.8%32.5M-239.8M-4.0M0.725.2113,3139,582346,258254,452
2019-02-06$40.17$39.8516.3%4.8%25.1%19.5%18.2%3.3%0.7%36.0M-265.1M-4.0M0.726.8410,3717,455352,040259,476
2019-02-07$39.38$39.8518.2%5.0%25.9%28.0%17.3%3.4%-0.7%17.6M-102.8M-3.9M0.463.2015,5047,108355,424261,091
2019-02-08$39.96$39.8517.9%5.1%25.1%26.8%16.7%4.2%-0.3%30.4M-226.9M-4.0M0.533.7717,5549,389357,856261,176
2019-02-11$39.61$39.8517.3%4.9%24.9%23.9%17.8%4.0%0.5%20.3M-135.6M-3.8M0.264.3612,8513,313352,237258,563
2019-02-12$39.67$39.8516.5%4.7%24.7%20.2%16.8%3.5%0.0%20.6M-137.9M-3.8M0.563.1410,4655,913357,641259,946
2019-02-13$39.56$39.8516.0%4.6%24.6%17.9%16.2%4.0%1.0%16.2M-117.2M-3.7M0.554.4018,18410,068361,398261,203
2019-02-14$39.95$39.8516.5%4.7%24.5%20.4%16.3%3.5%0.8%25.0M-197.8M-3.9M0.443.0317,3987,575368,439259,535
2019-02-15$40.31$39.8516.8%4.8%24.6%21.4%15.7%3.7%0.2%42.1M-300.1M-3.9M0.472.9734,56416,411375,216260,948
2019-02-19$40.58$39.8515.7%4.4%24.8%16.9%15.7%3.5%-0.3%36.8M-325.5M-3.8M0.533.3219,02210,126321,868247,558
2019-02-20$40.00$39.8516.5%4.7%25.1%20.5%15.8%3.8%0.3%28.3M-193.5M-3.8M0.873.2127,57824,056331,889253,490
2019-02-21$39.86$39.8517.4%4.8%25.1%24.2%16.4%3.3%0.1%26.1M-172.7M-4.1M0.413.5115,4116,310356,997275,791
2019-02-22$40.75$39.8516.3%4.5%23.3%19.3%15.9%2.9%0.2%63.6M-412.2M-4.1M0.283.4336,25110,173358,569278,436
2019-02-25$40.96$39.8516.6%4.7%23.1%20.6%15.8%3.6%0.2%44.1M-458.6M-4.2M0.673.3916,47710,977360,205274,310
2019-02-26$40.90$39.8516.3%4.5%20.7%19.3%15.9%3.4%0.1%45.6M-437.5M-4.2M0.634.087,0434,461366,696280,898
2019-02-27$40.80$39.8516.1%4.5%18.8%18.7%15.1%2.9%0.0%44.4M-406.6M-4.2M0.352.9313,7814,796369,673283,037
2019-02-28$41.20$39.8516.0%4.5%17.7%18.2%16.4%3.3%0.7%59.5M-574.3M-4.4M0.713.0520,66214,626399,445285,508