PFE Options History — April 2019

In April 2019, PFE traded between $36.94 and $40.93. ATM implied volatility averaged 20.0%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 5.0% (HV 20d: 15.0%). Max pain ranged from $37.95 to $39.85. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2019-04-23: Highest Volume — 148,807 contracts
  • 2019-04-30: Largest IV drop — 17.4% change
  • 2019-04-18: Highest IV Rank — 57.3%
  • 2019-04-18: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.19$36.94$40.93$40.70$38.68
Max Pain$38.90$37.95$39.85$39.85$37.95
ATM IV20.0%15.6%24.8%17.7%15.6%
Expected Move5.8%4.6%7.2%5.1%4.6%
HV 20d15.0%10.2%20.0%16.7%20.0%
HV 60d18.8%16.7%20.2%19.8%17.6%
IV Rank35.9%16.3%57.3%25.6%16.3%
IV Percentile74.1%41.3%93.3%59.9%41.3%
Term Structure-0.7%-2.5%0.7%0.7%0.2%
VWIV20.8%17.0%24.7%18.6%17.0%
Skew 25d4.1%3.4%4.9%4.4%4.0%
Skew 10d8.0%6.6%10.0%8.9%6.7%
Call IV 25d18.1%14.3%22.4%16.6%14.3%
Put IV 25d22.2%18.3%27.2%20.9%18.3%
Bid-Ask Spread %3.832.796.643.723.25
Gamma HHI0.170.080.300.240.09
Net GEX29.9M-7.9M78.0M56.7M23.1M
Net DEX-94.1M-561.5M463.4M-442.2M-95.4M
Net VEX-4.5M-4.9M-3.9M-4.6M-4.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.341.280.670.34
Total Volume53,591.33315,323148,80730,61599,074
Total OI810,757.619729,404904,684729,404904,684

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-04-01$40.70$39.8517.7%5.1%16.7%25.6%18.6%4.4%0.7%56.7M-442.2M-4.6M0.673.7218,34412,271417,032312,372
2019-04-02$40.77$39.8518.4%5.2%16.7%29.0%22.4%3.8%0.2%57.0M-471.0M-4.6M0.403.6627,87311,010422,448320,600
2019-04-03$40.64$38.9018.5%5.2%14.3%29.1%21.0%3.9%0.6%57.6M-449.3M-4.6M0.653.5011,3667,410438,574326,055
2019-04-04$40.56$38.9019.0%5.2%13.4%31.4%19.6%3.5%0.6%55.8M-433.5M-4.7M0.554.0114,6788,098441,942328,491
2019-04-05$40.80$38.9018.3%5.1%12.4%28.2%17.3%3.4%0.2%78.0M-525.4M-4.7M0.453.8128,39812,834447,448331,965
2019-04-08$40.93$38.9018.7%5.1%11.7%30.1%18.5%4.1%-0.5%67.8M-561.5M-4.6M1.283.9110,10412,928447,586332,941
2019-04-09$40.71$38.9019.2%5.2%11.8%32.3%19.5%4.1%-0.7%62.1M-467.5M-4.6M0.483.4212,5045,984450,606338,210
2019-04-10$40.49$38.9019.4%5.1%11.9%33.5%19.0%3.5%-1.9%56.5M-393.2M-4.5M1.043.097,5297,794456,081341,758
2019-04-11$40.09$39.8519.8%5.4%10.2%35.3%19.8%3.6%-1.1%35.9M-203.0M-4.5M0.363.8326,9229,762457,690346,841
2019-04-12$39.60$39.8519.8%5.3%10.8%35.0%18.9%3.4%-2.5%22.1M-26.5M-4.3M0.492.7921,58010,680462,880351,464
2019-04-15$39.91$39.8519.3%5.5%11.0%32.8%19.0%4.1%-1.0%27.8M-138.8M-4.3M0.535.4813,2137,033459,448352,762
2019-04-16$38.81$39.8520.6%5.9%14.3%38.9%19.6%4.0%-1.1%3.1M234.0M-4.0M0.833.3437,78531,221463,566357,108
2019-04-17$37.80$38.9023.9%6.8%16.7%53.3%23.1%4.6%-1.1%-3.6M405.0M-3.9M0.745.3461,48645,212477,601366,153
2019-04-18$37.31$38.9024.8%7.2%16.9%57.3%24.7%4.9%-2.1%-7.9M463.4M-3.9M1.093.3766,76972,603507,654380,288
2019-04-22$36.94$38.9024.0%7.2%16.9%54.1%24.7%4.8%-1.0%-2.3M305.3M-3.9M0.843.7636,95331,051395,889335,404
2019-04-23$37.46$37.9521.7%6.5%17.9%43.7%24.5%4.3%-1.2%1.2M231.1M-4.2M0.523.3597,67451,133409,540351,974
2019-04-24$37.48$37.9521.2%6.5%17.5%41.3%23.5%4.8%-0.9%5.5M186.7M-4.7M0.903.1715,42113,920480,814383,602
2019-04-25$37.70$37.9521.1%6.5%17.8%40.7%23.2%4.2%-1.0%9.8M133.0M-4.8M0.673.4527,61918,587483,820388,941
2019-04-26$37.85$37.9519.8%6.1%17.8%34.9%22.7%4.0%-0.8%15.5M112.3M-4.8M0.693.5924,68716,924490,645395,548
2019-04-29$37.67$37.9518.9%6.1%17.5%31.0%20.8%4.0%-0.5%6.6M160.7M-4.6M0.546.6451,15527,829478,472389,013
2019-04-30$38.68$37.9515.6%4.6%20.0%16.3%17.0%4.0%0.2%23.1M-95.4M-4.9M0.343.2574,16524,909498,517406,167