PFE Options History — July 2019

In July 2019, PFE traded between $36.75 and $41.98. ATM implied volatility averaged 18.9%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.6% (HV 20d: 17.3%). Max pain ranged from $39.85 to $41.75. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.04.

Notable Days

  • 2019-07-30: Highest Volume — 224,517 contracts
  • 2019-07-30: Largest IV spike — 17.8% change
  • 2019-07-30: Highest IV Rank — 39.6%
  • 2019-07-30: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.55$36.75$41.98$41.50$37.09
Max Pain$40.95$39.85$41.75$40.80$39.85
ATM IV18.9%17.5%21.3%17.8%20.4%
Expected Move5.3%4.2%6.5%4.4%6.1%
HV 20d17.3%13.6%30.7%13.8%30.7%
HV 60d15.8%13.6%21.2%15.9%21.2%
IV Rank28.2%21.9%39.6%23.3%35.5%
IV Percentile62.0%44.8%82.9%54.4%75.8%
Term Structure-0.3%-0.9%0.2%-0.3%-0.7%
VWIV18.9%14.2%22.2%16.1%21.6%
Skew 25d3.7%2.9%4.3%3.8%3.5%
Skew 10d7.0%4.1%8.5%6.7%7.1%
Call IV 25d17.4%16.4%20.2%16.5%19.2%
Put IV 25d21.1%19.6%23.1%20.2%22.8%
Bid-Ask Spread %5.812.5222.553.206.04
Gamma HHI0.170.070.440.210.07
Net GEX39.2M-13.8M121.6M54.5M-6.3M
Net DEX-311.8M-829.0M656.0M-630.9M594.7M
Net VEX-5.0M-5.3M-3.9M-5.2M-4.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.321.790.490.55
Total Volume60,043.18219,533224,51744,063122,368
Total OI880,898793,2641,032,352802,3171,032,352

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-07-01$41.50$40.8017.8%4.4%13.8%23.3%16.1%3.8%-0.3%54.5M-630.9M-5.2M0.493.2029,50114,562454,573347,744
2019-07-02$41.85$40.8018.0%4.2%13.9%24.0%14.2%3.4%-0.6%74.6M-775.7M-5.3M0.675.6619,42613,090470,528352,931
2019-07-03$41.98$40.8018.4%4.2%13.6%26.0%14.5%3.3%-0.4%78.3M-829.0M-5.3M0.673.7211,6637,870481,075358,414
2019-07-05$41.70$41.7518.9%5.2%13.9%28.1%18.7%3.3%-0.8%121.6M-723.0M-5.1M1.713.4120,63435,325483,887359,918
2019-07-08$41.11$41.7519.4%5.5%14.9%30.5%18.3%4.0%0.2%49.0M-474.6M-5.1M1.423.0218,21625,777477,164366,324
2019-07-09$41.11$41.7519.3%5.5%14.9%30.0%17.8%3.9%0.1%47.2M-459.6M-5.3M0.872.5214,81012,933480,815376,580
2019-07-10$41.76$41.7518.2%5.1%15.1%25.1%17.8%3.6%-0.2%68.9M-690.6M-5.3M1.073.1619,36420,689486,082379,541
2019-07-11$40.71$41.7519.6%5.5%17.4%31.3%20.1%3.7%-0.5%32.5M-322.3M-5.2M1.792.9724,92544,544494,995386,978
2019-07-12$40.22$41.7520.3%5.8%17.0%34.9%19.7%4.3%-0.1%12.3M-134.0M-5.1M1.524.2831,31947,726502,533404,978
2019-07-15$40.48$40.8019.4%5.5%16.8%30.8%20.1%4.3%0.2%19.1M-234.5M-5.2M1.192.6014,97217,840495,644416,928
2019-07-16$40.71$40.8018.8%5.4%17.0%27.9%19.7%4.3%-0.3%22.4M-293.2M-5.2M1.233.889,61211,852501,263425,205
2019-07-17$40.57$40.8018.9%5.4%16.8%28.2%20.0%3.7%-0.7%19.6M-251.0M-5.2M1.226.4627,35933,458504,436428,898
2019-07-18$40.81$40.8018.7%5.4%16.6%27.2%19.7%3.9%-0.4%24.0M-315.1M-5.1M1.0711.8726,48228,286496,446432,469
2019-07-19$40.72$40.8018.0%5.2%16.5%24.2%18.5%3.9%-0.0%42.6M-319.9M-5.2M0.754.6016,50512,423527,053425,535
2019-07-22$40.70$40.8018.2%5.3%16.3%25.0%18.5%3.6%-0.3%33.8M-327.4M-5.0M0.323.7425,0878,010440,232353,032
2019-07-23$40.90$40.8018.3%5.4%16.4%25.5%17.5%3.7%-0.5%42.9M-401.8M-5.0M0.743.8115,37611,451458,865356,723
2019-07-24$40.65$41.2718.7%5.6%16.4%27.3%19.8%3.9%-0.5%40.0M-315.2M-5.0M1.122.7720,85923,443468,554363,951
2019-07-25$40.54$40.8019.1%5.9%15.3%29.1%22.2%3.7%-0.4%35.9M-281.8M-5.1M1.434.4913,37619,124480,608378,790
2019-07-26$40.90$40.8017.5%5.3%15.4%21.9%20.0%3.2%-0.3%49.4M-415.6M-5.1M1.1615.2445,08552,414489,912388,034
2019-07-29$39.36$39.8518.1%5.6%20.4%24.6%19.6%3.1%0.1%14.5M84.2M-4.7M0.8822.5568,32060,357507,887390,586
2019-07-30$36.75$39.8521.3%6.5%30.7%39.6%21.9%2.9%-0.9%-13.8M656.0M-3.9M0.917.90117,383107,134525,774425,519
2019-07-31$37.09$39.8520.4%6.1%30.7%35.5%21.6%3.5%-0.7%-6.3M594.7M-4.3M0.556.0479,20543,163570,199462,153