PFE Options History — June 2019

In June 2019, PFE traded between $39.85 and $41.73. ATM implied volatility averaged 17.0%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 5.7% (HV 20d: 11.3%). Max pain ranged from $38.90 to $40.80. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2019-06-26: Highest Volume — 88,831 contracts
  • 2019-06-26: Largest IV spike — 18.2% change
  • 2019-06-03: Highest IV Rank — 32.1%
  • 2019-06-26: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.87$39.85$41.73$39.85$41.03
Max Pain$39.90$38.90$40.80$38.90$40.80
ATM IV17.0%15.2%19.3%19.1%19.1%
Expected Move4.9%4.3%5.6%5.5%5.2%
HV 20d11.3%8.8%13.5%12.4%13.5%
HV 60d15.4%14.9%15.8%15.8%15.8%
IV Rank21.5%12.6%32.1%32.1%29.2%
IV Percentile46.2%25.8%69.8%67.5%66.3%
Term Structure0.8%-0.4%2.8%0.0%2.6%
VWIV17.1%14.9%20.1%20.1%17.5%
Skew 25d3.1%2.7%3.7%3.6%3.0%
Skew 10d6.6%5.3%8.6%8.1%6.7%
Call IV 25d15.7%14.1%17.9%17.5%16.7%
Put IV 25d18.8%17.1%21.6%21.2%19.8%
Bid-Ask Spread %3.872.0710.284.585.76
Gamma HHI0.210.130.730.130.18
Net GEX67.6M28.0M240.5M37.6M28.0M
Net DEX-656.1M-1.08B-386.0M-386.0M-500.8M
Net VEX-5.4M-5.6M-5.1M-5.6M-5.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.201.271.191.27
Total Volume38,142.918,79688,83125,29644,881
Total OI925,810.4752,0101,024,341912,171851,548

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-06-03$39.85$38.9019.1%5.5%12.4%32.1%20.1%3.6%0.0%37.6M-386.0M-5.6M1.194.5811,53513,761493,428418,743
2019-06-04$40.03$38.9018.3%5.2%12.2%28.2%19.1%3.4%0.2%45.5M-439.8M-5.6M1.022.6217,88118,303499,587425,619
2019-06-05$40.43$38.9017.5%4.9%9.3%24.9%18.7%3.4%0.2%52.9M-578.2M-5.6M0.974.1719,55818,995503,327435,081
2019-06-06$40.65$39.8516.7%4.9%9.3%21.4%16.1%2.9%0.4%60.9M-671.6M-5.6M0.962.6916,78016,084510,571439,866
2019-06-07$40.80$39.8516.4%4.8%8.9%20.0%16.4%3.1%0.2%69.3M-719.6M-5.6M0.742.7017,79813,162515,850444,935
2019-06-10$40.88$39.8516.9%4.9%8.8%22.1%16.6%3.1%0.2%65.4M-728.6M-5.3M0.422.6013,2605,536511,074440,205
2019-06-11$40.41$39.8517.4%4.9%9.8%24.5%17.3%2.7%-0.4%56.9M-558.0M-5.4M0.722.0714,69410,526514,690442,671
2019-06-12$40.89$39.8516.5%4.8%10.2%20.3%16.9%3.0%0.3%69.4M-736.9M-5.4M0.672.1011,4707,709518,490445,425
2019-06-13$40.24$39.8517.0%5.0%11.6%22.4%17.7%3.0%0.7%58.3M-485.6M-5.3M0.812.5322,46718,269521,626444,058
2019-06-14$40.58$39.8516.1%4.7%11.6%18.6%16.2%3.2%0.3%63.3M-631.6M-5.4M0.202.6823,9494,800533,258453,005
2019-06-17$40.66$39.8516.4%4.7%11.6%19.9%16.4%3.3%0.3%73.1M-643.6M-5.2M0.4910.2813,3436,515524,330447,131
2019-06-18$40.98$39.8516.4%4.7%11.8%18.1%15.7%2.9%0.4%81.1M-761.0M-5.2M0.356.3533,77211,675526,033449,837
2019-06-19$41.34$39.8515.2%4.4%12.1%12.6%15.7%2.9%0.8%93.0M-899.0M-5.2M0.522.2925,14713,121531,047452,702
2019-06-20$41.42$39.8515.5%4.4%11.7%13.8%17.5%3.0%0.4%105.0M-926.7M-5.1M0.773.3936,27327,802541,169458,898
2019-06-21$41.73$39.8515.2%4.3%11.5%12.6%14.9%3.0%0.2%240.5M-1.08B-5.1M0.343.6735,00311,906553,442470,899
2019-06-24$41.57$39.8515.7%4.5%11.7%14.8%15.4%2.9%2.7%41.6M-656.2M-5.2M0.993.4827,92927,637415,351336,659
2019-06-25$41.66$40.8016.3%4.7%11.7%16.3%17.0%3.0%2.7%41.4M-673.9M-5.3M0.523.1620,52910,690435,599354,931
2019-06-26$40.95$40.8019.3%5.6%13.3%30.2%19.3%3.7%1.7%30.6M-460.8M-5.4M0.776.4150,08738,744448,784361,006
2019-06-27$41.27$40.8018.9%5.2%13.5%28.1%18.3%3.2%2.8%38.2M-579.3M-5.5M0.633.9219,22412,043468,855376,478
2019-06-28$41.03$40.8019.1%5.2%13.5%29.2%17.5%3.0%2.6%28.0M-500.8M-5.4M1.275.7619,74225,139475,766375,782