PFE Options History — November 2019

In November 2019, PFE traded between $34.62 and $36.72. ATM implied volatility averaged 15.5%, placing in the 4.4% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 1.3% (HV 20d: 16.9%). Max pain ranged from $34.63 to $35.10. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.65.

Notable Days

  • 2019-11-06: Highest Volume — 126,427 contracts
  • 2019-11-22: Largest IV drop — 8.7% change
  • 2019-11-21: Highest IV Rank — 12.1%
  • 2019-11-21: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.67$34.62$36.72$36.53$36.56
Max Pain$35.08$34.63$35.10$34.63$35.10
ATM IV15.5%14.5%16.9%15.1%15.3%
Expected Move4.5%4.3%4.9%4.5%4.6%
HV 20d16.9%13.1%19.9%13.1%17.9%
HV 60d16.4%15.8%17.9%17.8%15.8%
IV Rank4.4%0.0%12.1%0.0%4.0%
IV Percentile6.5%0.0%26.2%0.0%5.6%
Term Structure0.1%-0.7%0.6%0.6%0.1%
VWIV15.8%14.8%16.8%15.7%16.4%
Skew 25d2.5%1.5%3.2%1.9%1.5%
Skew 10d5.0%2.9%6.9%3.2%3.5%
Call IV 25d14.6%13.7%15.9%14.7%14.6%
Put IV 25d17.1%16.1%18.4%16.6%16.1%
Bid-Ask Spread %5.222.3412.444.572.41
Gamma HHI0.130.100.180.130.15
Net GEX20.5M-10.2M46.7M46.7M42.3M
Net DEX-18.5M-380.1M308.6M-380.1M-272.0M
Net VEX-4.2M-4.4M-4.0M-4.3M-4.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.092.240.370.65
Total Volume43,59014,500126,42734,25314,500
Total OI991,976.8930,9711,058,4361,058,436985,129

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$36.53$34.6315.1%4.5%13.1%0.0%15.7%1.9%0.6%46.7M-380.1M-4.3M0.374.5725,0739,180557,974500,462
2019-11-04$36.14$35.1015.8%4.7%13.9%3.8%16.6%2.1%0.3%34.6M-215.0M-4.3M0.8910.1024,39821,801534,087487,115
2019-11-05$35.66$35.1016.1%4.7%14.5%5.2%16.6%1.9%0.4%28.1M-45.4M-4.2M0.436.0837,53815,962544,726499,853
2019-11-06$35.66$35.1015.7%4.6%14.5%3.2%16.2%1.6%0.2%30.4M-34.6M-4.1M0.093.60116,5159,912539,317503,502
2019-11-07$35.02$35.1016.0%4.7%16.3%4.5%16.0%2.5%0.1%-2.6M274.7M-4.3M0.764.1518,68014,213499,309508,726
2019-11-08$35.16$35.1014.9%4.5%15.8%0.0%15.2%2.6%0.5%8.9M197.5M-4.3M0.448.2115,3076,715505,061502,641
2019-11-11$34.99$35.1014.5%4.3%15.9%0.0%15.0%2.9%0.3%99.7K233.2M-4.1M0.572.7519,00810,811489,707489,189
2019-11-12$35.05$35.1014.9%4.3%15.6%2.0%14.8%2.8%-0.1%3.9M195.8M-4.1M0.226.4713,9883,143498,261491,961
2019-11-13$34.74$35.1015.2%4.3%15.9%3.7%15.6%2.9%-0.4%-4.2M285.4M-4.0M2.242.3418,93742,480504,637492,704
2019-11-14$34.62$35.1015.6%4.6%15.9%5.6%14.8%2.7%0.5%-10.2M308.6M-4.0M1.199.5516,62319,750510,181492,951
2019-11-15$35.39$35.1015.0%4.4%17.7%2.5%14.9%2.7%0.6%14.4M55.4M-4.2M0.1612.4456,7598,907514,597491,563
2019-11-18$35.22$35.1016.1%4.6%17.8%8.2%15.7%2.7%-0.5%10.8M103.0M-4.1M0.244.8129,2777,028476,474454,497
2019-11-19$35.71$35.1015.9%4.6%18.4%7.3%16.1%3.0%-0.4%25.1M-40.5M-4.3M0.302.9021,4186,384493,549457,947
2019-11-20$35.21$35.1016.6%4.7%19.1%10.4%16.5%2.8%-0.5%13.4M93.7M-4.2M1.845.6615,29128,121497,546459,566
2019-11-21$35.76$35.1016.9%4.9%19.5%12.1%16.8%3.2%-0.7%28.9M-69.5M-4.3M0.523.1733,83917,756503,272461,804
2019-11-22$36.36$35.1015.4%4.4%19.9%4.7%15.8%2.9%-0.2%35.7M-243.1M-4.4M0.447.1132,14414,004509,893465,642
2019-11-25$36.62$35.1015.1%4.4%19.7%3.1%15.5%2.2%0.4%36.4M-288.9M-4.2M0.392.6643,93716,947495,080464,380
2019-11-26$36.36$35.1015.0%4.4%17.8%2.4%15.5%2.1%0.4%31.1M-199.0M-4.3M0.532.8424,56913,077500,986472,546
2019-11-27$36.72$35.1015.5%4.6%17.9%5.2%15.6%2.7%0.3%37.2M-328.6M-4.2M0.702.5616,33411,474507,666475,035
2019-11-29$36.56$35.1015.3%4.6%17.9%4.0%16.4%1.5%0.1%42.3M-272.0M-4.2M0.652.418,7805,720510,686474,443