PFE Options History — October 2019

In October 2019, PFE traded between $32.95 and $36.58. ATM implied volatility averaged 21.8%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 6.5% (HV 20d: 15.3%). Max pain ranged from $34.16 to $34.16. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.64.

Notable Days

  • 2019-10-29: Highest Volume — 129,453 contracts
  • 2019-10-29: Largest IV drop — 19.2% change
  • 2019-10-02: Highest IV Rank — 56.8%
  • 2019-10-03: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.57$32.95$36.58$33.63$36.39
Max Pain$34.16$34.16$34.16$34.16$34.16
ATM IV21.8%15.8%26.0%23.2%15.8%
Expected Move6.3%4.9%7.4%6.0%4.9%
HV 20d15.3%13.2%16.8%13.2%13.8%
HV 60d22.2%17.8%24.2%23.8%17.9%
IV Rank34.4%3.3%56.8%42.0%3.3%
IV Percentile69.3%6.0%96.0%86.5%6.0%
Term Structure-0.4%-1.8%1.4%1.4%0.4%
VWIV21.9%17.6%25.3%20.8%18.0%
Skew 25d3.7%2.7%4.4%4.2%2.7%
Skew 10d6.4%-1.1%9.0%8.1%4.6%
Call IV 25d19.8%15.2%24.0%21.8%15.2%
Put IV 25d23.6%17.9%27.7%26.0%17.9%
Bid-Ask Spread %7.622.2322.886.795.52
Gamma HHI0.110.090.150.090.14
Net GEX6.0M-12.5M41.0M-7.9M41.0M
Net DEX191.6M-385.6M549.3M415.4M-324.2M
Net VEX-4.4M-4.7M-4.1M-4.4M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.251.271.270.58
Total Volume42,321.60917,843129,45339,22730,964
Total OI980,700.609917,5861,050,513938,5001,050,513

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-10-01$33.63$34.1623.2%6.0%13.2%42.0%20.8%4.2%1.4%-7.9M415.4M-4.4M1.276.7917,26821,959470,942467,558
2019-10-02$32.95$34.1626.0%6.7%14.7%56.8%22.5%3.6%1.2%-12.5M549.3M-4.3M0.803.9729,56823,545475,379478,326
2019-10-03$33.55$34.1625.2%7.4%15.1%52.2%25.3%4.0%0.9%-7.4M414.5M-4.6M0.954.3127,62126,185488,111484,305
2019-10-04$34.09$34.1623.5%6.7%16.1%43.7%23.6%4.2%0.7%1.4M303.4M-4.7M0.792.2314,94311,734494,331497,045
2019-10-07$34.06$34.1624.2%6.8%16.0%47.0%23.3%4.2%-0.7%-3.4M318.0M-4.6M0.804.3018,62314,962483,244491,017
2019-10-08$33.77$34.1625.9%7.1%15.1%55.8%24.6%4.1%-1.5%-5.8M381.0M-4.6M1.0712.088,6259,218489,678492,773
2019-10-09$33.90$34.1625.3%6.8%15.2%52.9%24.4%4.4%-1.6%-5.1M355.8M-4.6M0.4820.0515,5757,425490,805495,598
2019-10-10$33.93$34.1624.5%6.9%15.2%48.9%23.9%4.0%-0.8%-5.3M352.5M-4.5M0.758.7115,12011,368490,176496,067
2019-10-11$34.37$34.1623.7%6.6%15.6%44.5%24.1%4.1%-0.8%-372.3K249.7M-4.6M0.9816.7728,83128,340493,855499,459
2019-10-14$34.37$34.1622.5%6.4%15.6%38.3%21.5%4.0%-0.1%-218.9K266.5M-4.5M0.533.8213,0196,854489,210497,397
2019-10-15$34.68$34.1621.1%6.0%15.5%31.1%21.2%4.0%0.4%6.2M179.8M-4.4M0.607.2319,00211,337494,234499,298
2019-10-16$34.53$34.1621.9%6.3%15.6%35.1%20.5%3.9%-1.8%4.6M218.2M-4.4M0.518.2824,83212,776498,573500,587
2019-10-17$34.64$34.1620.2%5.8%15.6%26.3%20.1%3.3%-0.1%7.1M187.6M-4.4M0.738.7617,47012,753509,155505,214
2019-10-18$34.62$34.1621.6%6.3%15.6%33.4%21.2%4.0%-1.5%15.4M196.5M-4.3M0.534.3221,60811,362512,778506,909
2019-10-21$34.61$34.1621.1%6.4%15.5%31.3%22.6%3.7%-0.9%1.0M230.0M-4.2M0.443.1319,6878,591457,568460,018
2019-10-22$34.60$34.1621.1%6.4%15.1%31.3%22.4%3.7%-1.0%2.7M223.6M-4.2M0.353.6818,3096,462470,481465,648
2019-10-23$34.82$34.1620.2%6.3%15.1%26.5%21.5%3.8%-1.0%6.6M173.9M-4.3M0.363.0117,2916,299476,114468,815
2019-10-24$34.54$34.1620.2%6.3%15.5%26.0%21.7%3.7%-1.0%2.2M248.2M-4.1M0.614.9715,0469,124483,063471,000
2019-10-25$34.94$34.1619.4%6.2%15.7%22.1%21.3%3.3%-1.4%10.5M121.9M-4.2M0.588.8522,24312,895491,198474,402
2019-10-28$35.34$34.1620.9%7.0%16.0%29.9%23.8%3.7%-0.6%12.6M22.9M-4.3M0.4922.8882,45940,087485,270469,936
2019-10-29$36.26$34.1616.9%5.4%16.8%8.9%18.1%3.0%0.1%34.6M-291.7M-4.3M0.308.8699,66629,787523,694481,394
2019-10-30$36.58$34.1616.0%5.2%14.2%4.6%17.6%2.7%0.3%40.7M-385.6M-4.4M0.252.6458,05714,507542,193492,783
2019-10-31$36.39$34.1615.8%4.9%13.8%3.3%18.0%2.7%0.4%41.0M-324.2M-4.4M0.585.5219,62511,339553,811496,702