PFE Options History — March 2019

In March 2019, PFE traded between $38.80 and $41.21. ATM implied volatility averaged 16.7%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 0.7% (HV 20d: 17.4%). Max pain ranged from $39.85 to $39.85. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2019-03-06: Highest Volume — 57,284 contracts
  • 2019-03-11: Largest IV drop — 10.7% change
  • 2019-03-08: Highest IV Rank — 32.7%
  • 2019-03-22: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.92$38.80$41.21$41.21$40.31
Max Pain$39.85$39.85$39.85$39.85$39.85
ATM IV16.7%15.2%19.3%15.7%16.8%
Expected Move5.3%4.3%5.7%4.3%5.4%
HV 20d17.4%15.8%18.8%16.1%16.7%
HV 60d22.4%20.3%23.3%22.8%20.3%
IV Rank21.3%14.5%32.7%16.5%21.5%
IV Percentile51.4%38.1%69.4%41.3%53.2%
Term Structure0.6%-1.0%2.7%0.3%2.7%
VWIV18.1%16.0%20.3%16.4%17.1%
Skew 25d3.7%2.9%4.8%3.5%3.6%
Skew 10d7.7%5.7%10.8%10.8%7.0%
Call IV 25d15.1%13.9%17.4%14.3%14.2%
Put IV 25d18.8%17.0%22.2%17.7%17.8%
Bid-Ask Spread %5.082.6715.202.673.81
Gamma HHI0.190.140.280.240.22
Net GEX34.9M8.5M70.1M70.1M44.7M
Net DEX-205.6M-549.1M110.8M-549.1M-331.4M
Net VEX-4.4M-4.7M-4.0M-4.4M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.191.610.390.89
Total Volume33,296.2389,93557,28421,85825,373
Total OI717,398.048651,793798,104698,423744,695

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-03-01$41.21$39.8515.7%4.3%16.1%16.5%16.4%3.5%0.3%70.1M-549.1M-4.4M0.392.6715,7366,122404,428293,995
2019-03-04$40.80$39.8517.1%5.0%16.4%23.1%17.0%3.8%-0.1%48.9M-426.1M-4.3M1.093.1410,22511,193398,137287,593
2019-03-05$40.73$39.8516.3%4.6%15.8%19.4%16.8%4.3%0.1%48.5M-392.8M-4.3M0.353.5712,0014,258400,867293,355
2019-03-06$39.78$39.8517.9%5.3%17.9%26.6%18.8%4.4%0.1%29.5M-126.0M-4.2M0.704.0033,61423,670404,034294,220
2019-03-07$39.27$39.8518.7%5.7%18.4%30.2%19.4%4.8%0.2%19.9M7.7M-4.2M0.7211.8712,5879,010416,870306,207
2019-03-08$38.80$39.8519.3%5.7%17.6%32.7%20.1%4.8%-0.1%8.5M110.8M-4.0M0.9515.2023,28022,086418,755307,490
2019-03-11$39.35$39.8517.2%5.5%17.5%23.5%18.1%4.0%0.5%16.0M-3.1M-4.1M0.453.6518,8718,571414,684311,558
2019-03-12$39.64$39.8516.5%5.2%17.4%20.3%17.6%4.0%-0.4%25.3M-88.8M-4.1M0.224.0746,36510,338420,285313,938
2019-03-13$39.85$39.8515.3%5.1%17.5%14.9%17.5%3.3%0.0%29.7M-150.1M-4.2M0.413.5218,9317,695442,896318,944
2019-03-14$39.09$39.8516.4%5.3%18.8%19.7%17.7%2.9%-0.2%13.8M52.1M-4.1M0.793.0930,43024,083451,663321,888
2019-03-15$39.44$39.8515.2%4.9%18.8%14.7%17.8%3.4%-1.0%33.4M-45.0M-4.2M0.734.3629,57021,678467,017331,087
2019-03-18$39.68$39.8515.2%5.0%18.6%14.5%16.0%2.9%0.1%27.3M-161.5M-4.3M0.213.0335,6917,428368,585283,208
2019-03-19$40.06$39.8515.5%5.0%18.8%16.0%17.0%3.0%-0.0%40.1M-288.9M-4.4M0.194.4629,9105,678390,477287,354
2019-03-20$40.17$39.8515.3%5.1%18.1%15.1%19.0%3.2%-0.1%44.1M-331.8M-4.5M0.715.189,8467,027399,061290,191
2019-03-21$40.28$39.8516.4%5.3%18.1%19.7%18.0%3.2%-0.3%47.1M-369.7M-4.5M0.643.8023,38914,970401,453293,532
2019-03-22$39.82$39.8517.9%5.7%16.6%26.8%20.3%3.8%0.3%36.4M-224.8M-4.5M0.7510.3819,92014,879411,656305,229
2019-03-25$39.82$39.8517.6%5.6%16.4%25.3%20.1%3.8%2.2%32.5M-201.9M-4.6M0.734.635,7524,183406,276297,261
2019-03-26$40.17$39.8516.7%5.7%16.8%21.2%18.9%3.4%2.2%40.4M-311.0M-4.6M0.574.6924,48413,873409,335299,392
2019-03-27$39.95$39.8516.9%5.6%16.9%21.9%18.7%3.4%2.6%36.7M-230.7M-4.6M1.513.809,97515,045415,967308,100
2019-03-28$40.07$39.8517.1%5.5%16.5%22.9%18.2%3.7%2.7%39.8M-254.7M-4.6M1.613.8112,06919,415419,495314,181
2019-03-29$40.31$39.8516.8%5.4%16.7%21.5%17.1%3.6%2.7%44.7M-331.4M-4.7M0.893.8113,42811,945425,829318,866