PFE Options History — September 2019

In September 2019, PFE traded between $33.93 and $35.43. ATM implied volatility averaged 20.2%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 2.2% (HV 20d: 17.9%). Max pain ranged from $33.21 to $36.05. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2019-09-11: Highest Volume — 57,001 contracts
  • 2019-09-19: Largest IV drop — 9.0% change
  • 2019-09-03: Highest IV Rank — 42.6%
  • 2019-09-03: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.60$33.93$35.43$34.26$34.16
Max Pain$34.06$33.21$36.05$36.05$34.16
ATM IV20.2%18.3%22.3%22.1%22.3%
Expected Move5.7%5.2%6.3%6.3%5.8%
HV 20d17.9%13.3%23.0%22.0%13.5%
HV 60d24.2%23.7%24.5%24.3%23.8%
IV Rank32.9%24.3%42.6%42.6%41.2%
IV Percentile62.9%39.3%82.9%82.1%82.9%
Term Structure0.8%-0.7%2.7%-0.2%1.1%
VWIV20.1%18.6%23.9%21.9%20.3%
Skew 25d3.7%3.1%4.3%4.3%4.1%
Skew 10d7.2%6.2%8.8%8.8%7.6%
Call IV 25d18.7%17.6%21.2%20.2%21.2%
Put IV 25d22.4%20.9%25.3%24.6%25.3%
Bid-Ask Spread %5.822.7414.473.175.72
Gamma HHI0.090.070.210.080.09
Net GEX-2.0M-8.0M15.3M-6.9M-3.0M
Net DEX261.1M82.0M421.2M339.7M305.8M
Net VEX-4.6M-4.9M-4.5M-4.7M-4.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.301.750.540.61
Total Volume36,882.317,68757,00152,63720,780
Total OI1,076,931.5866,9581,197,0981,088,603929,133

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$34.26$36.0522.1%6.3%22.0%42.6%21.9%4.3%-0.2%-6.9M339.7M-4.7M0.543.1734,23718,400598,732489,871
2019-09-04$33.93$36.0521.1%5.8%22.2%37.9%19.8%4.1%0.4%-8.0M421.2M-4.5M1.752.9218,34032,101604,912495,089
2019-09-05$34.45$33.2120.5%6.0%23.0%34.7%21.1%3.6%0.2%-4.1M304.0M-4.6M0.782.7430,59923,994609,147502,048
2019-09-06$34.66$33.2119.7%5.5%22.9%31.2%19.8%3.8%0.3%-1.1M250.8M-4.8M0.303.2117,1285,218622,240511,553
2019-09-09$34.85$33.2120.9%5.8%22.8%36.6%23.9%4.0%-0.7%-2.6M234.1M-4.7M0.813.0817,93914,527611,619505,312
2019-09-10$35.35$33.2120.3%6.0%20.4%34.0%21.4%4.2%0.6%671.6K113.5M-4.9M0.369.2434,46912,327619,733508,295
2019-09-11$35.36$33.2119.8%5.8%20.0%31.4%20.1%3.7%0.4%2.9M98.6M-4.8M0.767.4232,32824,673626,956514,630
2019-09-12$35.43$33.2119.0%5.6%16.8%27.9%19.1%3.4%0.5%3.9M82.0M-4.8M0.7111.6416,92612,088640,434518,701
2019-09-13$35.00$34.1619.2%5.5%17.8%28.9%18.7%3.5%-0.1%-2.1M202.5M-4.7M0.859.0622,38019,028643,198525,304
2019-09-16$34.95$34.1619.8%5.7%17.8%31.4%19.7%3.7%0.2%-1.5M217.6M-4.7M1.544.1411,95818,464642,277526,489
2019-09-17$34.57$34.1620.3%5.8%17.9%34.2%19.8%3.2%0.2%-3.1M309.2M-4.7M0.884.399,4148,273647,848536,502
2019-09-18$34.57$34.1620.1%5.8%16.8%32.8%19.6%3.1%0.0%-3.2M303.7M-4.5M1.344.0913,53418,100649,597535,478
2019-09-19$34.66$34.1618.3%5.2%16.7%24.3%18.6%3.3%0.9%-2.0M284.5M-4.5M1.167.0414,07516,331651,223537,389
2019-09-20$34.65$34.1618.8%5.3%16.7%27.1%18.7%3.4%0.6%15.3M275.5M-4.5M0.6914.4725,31517,419657,498539,600
2019-09-23$34.49$34.1619.1%5.4%14.8%28.3%19.3%3.3%2.7%-4.5M246.8M-4.5M0.564.8424,88314,012419,805447,153
2019-09-24$34.18$34.1620.8%6.0%15.2%34.4%20.9%3.6%2.1%-5.5M299.9M-4.5M0.564.9130,03416,961434,813452,544
2019-09-25$34.02$34.1619.8%5.6%14.9%29.3%18.9%3.7%2.6%-6.9M341.8M-4.5M0.444.8522,4419,960452,886461,406
2019-09-26$34.04$34.1620.3%5.6%13.3%32.1%19.8%3.7%2.5%-6.3M337.2M-4.5M0.673.3617,46111,785462,553465,756
2019-09-27$34.34$34.1621.5%5.9%13.4%37.2%20.0%3.9%2.4%-1.8M253.7M-4.8M0.336.0922,2917,453469,847471,059
2019-09-30$34.16$34.1622.3%5.8%13.5%41.2%20.3%4.1%1.1%-3.0M305.8M-4.5M0.615.7212,8997,881464,741464,392