PFE Options History — May 2019

In May 2019, PFE traded between $38.37 and $39.91. ATM implied volatility averaged 17.5%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 0.3% (HV 20d: 17.9%). Max pain ranged from $37.95 to $38.90. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.84.

Notable Days

  • 2019-05-08: Highest Volume — 69,727 contracts
  • 2019-05-07: Largest IV spike — 19.6% change
  • 2019-05-13: Highest IV Rank — 35.9%
  • 2019-05-13: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.22$38.37$39.91$38.69$39.53
Max Pain$38.77$37.95$38.90$37.95$38.90
ATM IV17.5%15.2%20.0%15.4%18.9%
Expected Move5.0%4.5%6.0%4.7%5.3%
HV 20d17.9%12.5%22.0%20.0%12.7%
HV 60d17.1%15.9%17.6%17.4%15.9%
IV Rank24.9%14.4%35.9%15.6%31.0%
IV Percentile55.8%37.3%74.2%40.9%65.5%
Term Structure0.1%-0.8%0.8%0.1%-0.3%
VWIV18.1%15.8%21.6%18.0%19.2%
Skew 25d3.6%3.1%4.4%3.9%3.4%
Skew 10d7.3%5.8%9.4%7.6%7.0%
Call IV 25d16.1%14.2%18.5%14.5%17.3%
Put IV 25d19.6%17.6%22.5%18.4%20.7%
Bid-Ask Spread %4.092.3311.683.612.93
Gamma HHI0.120.090.210.090.12
Net GEX32.0M14.8M61.4M24.7M29.7M
Net DEX-239.2M-416.8M-20.0M-98.8M-295.9M
Net VEX-5.4M-5.7M-5.1M-5.1M-5.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.262.721.671.04
Total Volume40,589.31819,78469,72769,33334,754
Total OI909,090.273803,740953,930937,088914,624

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-05-01$38.69$37.9515.4%4.7%20.0%15.6%18.0%3.9%0.1%24.7M-98.8M-5.1M1.673.6125,96843,365522,443414,645
2019-05-02$38.76$37.9515.8%4.8%20.0%17.0%17.0%3.7%0.3%27.7M-134.9M-5.2M0.413.0726,90111,067528,998396,152
2019-05-03$39.21$37.9515.2%4.5%20.7%14.4%16.8%3.5%0.4%32.8M-264.9M-5.3M0.492.9537,78718,636535,419399,862
2019-05-06$39.51$38.9016.6%4.7%20.7%20.6%17.3%3.4%0.0%36.0M-304.3M-5.4M0.322.6938,30012,289510,175390,484
2019-05-07$38.65$38.9019.8%5.6%21.8%35.2%21.4%3.7%-0.2%21.8M-63.6M-5.4M0.573.5826,86515,334523,449396,466
2019-05-08$38.83$38.9018.7%5.3%22.0%30.3%21.2%3.9%-0.1%25.6M-102.6M-5.4M0.357.8251,67618,051529,683404,916
2019-05-09$38.64$38.9019.9%5.5%22.0%35.6%19.6%3.9%0.1%22.6M-74.9M-5.4M0.647.1835,97122,936521,000411,532
2019-05-10$38.58$38.9018.2%5.1%21.8%27.9%17.5%3.7%0.1%18.1M-46.7M-5.2M0.2611.6825,6166,737526,293418,632
2019-05-13$38.37$38.9020.0%6.0%21.5%35.9%20.3%4.4%0.8%14.8M-20.0M-5.2M0.936.0613,41412,506507,874401,123
2019-05-14$38.62$38.9018.7%5.2%21.4%30.2%19.3%3.8%-0.8%20.8M-98.3M-5.3M1.023.0018,39418,693527,527405,929
2019-05-15$39.13$38.9017.5%5.1%19.6%24.8%16.9%3.7%0.1%31.9M-239.8M-5.4M0.633.8414,8909,374531,802409,286
2019-05-16$39.42$38.9016.6%4.6%17.0%20.6%17.8%3.3%-0.6%44.1M-355.2M-5.4M0.692.8822,29515,367537,145408,307
2019-05-17$39.42$38.9016.7%4.7%16.0%21.1%16.6%3.5%-0.7%61.4M-340.3M-5.5M0.612.3323,73914,458538,530415,400
2019-05-20$39.47$38.9017.6%5.1%15.3%25.4%17.8%3.6%0.5%28.0M-294.3M-5.5M0.813.2328,16722,746437,580366,160
2019-05-21$39.51$38.9016.4%4.7%14.8%20.0%15.8%3.4%0.6%30.0M-303.0M-5.5M0.862.7711,0929,591458,045384,572
2019-05-22$39.91$38.9015.8%4.5%15.1%17.2%16.3%3.1%0.6%38.7M-416.8M-5.6M1.223.1526,57332,372463,721391,313
2019-05-23$39.70$38.9016.7%4.8%15.3%21.3%16.5%3.2%0.8%35.1M-356.3M-5.7M0.733.0621,77815,957477,973406,558
2019-05-24$39.82$38.9016.2%4.6%15.3%19.0%16.7%3.1%0.8%50.4M-390.5M-5.7M1.082.8115,03316,251487,264409,616
2019-05-28$39.85$38.9017.8%5.0%15.1%26.1%17.2%3.5%-0.3%38.5M-384.6M-5.6M0.683.6911,7628,022482,275405,354
2019-05-29$39.60$38.9019.1%5.3%12.5%31.7%17.7%3.2%-0.6%33.3M-320.1M-5.6M0.754.8614,76511,084486,285408,406
2019-05-30$39.72$38.9017.9%4.9%12.5%26.8%21.6%3.4%-0.3%37.6M-356.4M-5.6M2.722.868,70523,684492,963414,205
2019-05-31$39.53$38.9018.9%5.3%12.7%31.0%19.2%3.4%-0.3%29.7M-295.9M-5.6M1.042.9317,03917,715496,966417,658