PFE Options History — August 2019

In August 2019, PFE traded between $32.55 and $36.37. ATM implied volatility averaged 21.9%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 8.0% (HV 20d: 29.9%). Max pain ranged from $36.05 to $39.85. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.82.

Notable Days

  • 2019-08-12: Highest Volume — 126,621 contracts
  • 2019-08-23: Largest IV spike — 15.4% change
  • 2019-08-05: Highest IV Rank — 53.9%
  • 2019-08-14: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.82$32.55$36.37$36.37$33.69
Max Pain$37.61$36.05$39.85$39.85$36.05
ATM IV21.9%19.8%24.4%21.3%20.4%
Expected Move6.2%5.6%7.0%6.4%5.7%
HV 20d29.9%22.0%32.9%30.9%23.3%
HV 60d22.8%21.0%24.0%21.1%24.0%
IV Rank41.6%31.6%53.9%39.6%34.2%
IV Percentile80.4%65.5%91.7%82.5%67.1%
Term Structure-0.3%-1.4%0.8%-0.9%0.3%
VWIV21.4%18.9%23.9%22.4%19.9%
Skew 25d4.1%3.8%4.6%3.9%4.2%
Skew 10d8.4%7.2%10.1%8.1%7.9%
Call IV 25d20.3%18.3%23.0%20.6%18.5%
Put IV 25d24.3%22.3%27.4%24.4%22.6%
Bid-Ask Spread %4.152.118.933.932.21
Gamma HHI0.110.080.210.080.21
Net GEX-13.3M-19.9M6.3M-14.6M6.3M
Net DEX690.8M457.7M923.9M682.0M457.7M
Net VEX-4.2M-4.5M-3.8M-4.4M-4.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.212.860.780.50
Total Volume54,33311,410126,62197,27324,004
Total OI1,082,986.364997,2921,169,5641,059,2301,106,500

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-08-01$36.37$39.8521.3%6.4%30.9%39.6%22.4%3.9%-0.9%-14.6M682.0M-4.4M0.783.9354,78242,491581,325477,905
2019-08-02$36.19$39.8521.7%6.4%30.9%41.2%22.3%4.0%-0.3%-13.0M658.2M-4.5M0.914.2538,47335,148599,810482,383
2019-08-05$35.09$38.9024.4%6.7%31.9%53.9%23.0%3.8%-0.9%-13.4M672.9M-4.2M1.007.1542,51542,489554,978442,314
2019-08-06$34.93$38.9022.0%6.1%31.8%42.4%21.5%4.2%-0.2%-15.5M701.3M-4.0M0.942.2624,76923,391565,557452,416
2019-08-07$34.77$38.9022.6%6.2%30.6%45.2%22.1%4.1%-0.6%-15.8M708.5M-4.1M2.862.9125,80873,828574,652461,354
2019-08-08$35.02$37.9520.5%5.7%30.5%35.7%20.1%4.0%-0.6%-18.2M669.8M-4.2M0.764.5224,38918,561584,981485,196
2019-08-09$34.70$37.9520.8%5.6%30.5%36.4%19.7%4.1%0.1%-19.9M718.1M-4.1M0.473.1921,84310,338596,014487,262
2019-08-12$33.69$37.9523.2%6.3%31.0%47.7%23.6%4.6%-1.3%-19.8M834.0M-3.9M1.127.7359,86466,757573,540485,088
2019-08-13$33.43$37.9522.5%6.2%30.5%44.2%20.9%3.9%-0.8%-18.0M853.5M-4.0M0.403.9629,59511,951605,307513,329
2019-08-14$32.55$37.9524.4%7.0%30.9%53.2%23.0%4.3%-0.1%-17.7M923.9M-3.8M1.773.3039,19369,456611,306508,645
2019-08-15$32.72$37.9523.9%6.9%30.9%51.1%23.9%4.4%0.1%-16.2M864.1M-4.0M0.683.5337,78625,543630,996510,019
2019-08-16$32.94$37.9522.1%6.1%31.4%42.4%21.0%4.0%-1.4%-16.3M837.2M-4.2M0.212.7234,1907,184647,820521,744
2019-08-19$33.43$37.0020.5%5.9%32.5%34.9%19.6%4.1%-0.0%-14.6M628.6M-4.2M0.634.6528,81818,046572,418481,866
2019-08-20$32.94$37.0020.9%6.0%32.0%36.7%21.1%3.9%0.5%-14.7M698.3M-4.1M0.462.6222,51210,358579,896487,477
2019-08-21$33.15$37.0019.8%5.7%32.6%31.6%18.9%3.9%0.0%-12.4M641.3M-4.2M0.446.9725,92311,331592,719488,216
2019-08-22$33.31$37.0020.3%5.8%32.9%33.8%19.5%3.9%0.2%-9.5M580.0M-4.4M0.478.9323,60411,029602,550486,292
2019-08-23$32.65$37.0023.4%6.8%32.3%48.6%22.0%4.3%-1.0%-13.2M691.6M-4.3M0.514.2940,37020,418613,891491,290
2019-08-26$32.91$36.0522.4%6.3%31.4%44.1%23.4%4.3%-0.1%-11.8M643.1M-4.3M0.832.926,2195,191598,977485,401
2019-08-27$32.63$36.0522.4%6.6%22.0%44.1%22.5%3.9%0.1%-12.6M693.2M-4.2M0.612.1111,1666,797603,477490,133
2019-08-28$33.29$36.0521.6%6.4%23.3%40.2%21.1%4.0%0.8%-7.4M545.5M-4.5M1.183.2221,23725,109605,457483,570
2019-08-29$33.54$36.0520.5%5.8%23.1%34.8%20.2%4.2%0.1%-5.2M495.2M-4.5M0.453.8315,7297,121611,863489,766
2019-08-30$33.69$36.0520.4%5.7%23.3%34.2%19.9%4.2%0.3%6.3M457.7M-4.5M0.502.2116,0397,965616,211490,289