PFE Options History — December 2019

In December 2019, PFE traded between $36.10 and $37.39. ATM implied volatility averaged 16.1%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 1.7% (HV 20d: 14.4%). Max pain ranged from $35.10 to $37.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2019-12-20: Highest Volume — 88,203 contracts
  • 2019-12-30: Largest IV spike — 11.0% change
  • 2019-12-31: Highest IV Rank — 37.9%
  • 2019-12-03: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.75$36.10$37.39$36.44$37.08
Max Pain$36.19$35.10$37.00$35.10$37.00
ATM IV16.1%14.9%19.9%16.1%19.9%
Expected Move4.6%4.3%5.2%4.8%4.7%
HV 20d14.4%10.8%17.8%17.8%11.1%
HV 60d15.6%14.3%16.0%15.8%14.3%
IV Rank9.4%2.0%37.9%8.2%37.9%
IV Percentile16.8%0.4%67.5%14.7%67.5%
Term Structure1.0%-0.6%3.8%0.5%-0.4%
VWIV16.1%14.8%17.7%16.7%15.2%
Skew 25d2.6%1.9%3.2%2.7%3.1%
Skew 10d5.4%4.3%6.4%5.3%5.9%
Call IV 25d15.1%13.7%18.5%15.2%18.4%
Put IV 25d17.6%16.3%21.6%17.9%21.6%
Bid-Ask Spread %3.601.878.982.582.10
Gamma HHI0.180.140.300.160.16
Net GEX33.8M19.0M56.0M30.9M19.8M
Net DEX-241.5M-531.2M-87.6M-206.8M-180.8M
Net VEX-3.8M-4.2M-3.7M-4.2M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.192.390.662.39
Total Volume30,486.61914,15288,20330,98127,930
Total OI961,680.143855,1211,032,712963,643884,251

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$36.44$35.1016.1%4.8%17.8%8.2%16.7%2.7%0.5%30.9M-206.8M-4.2M0.662.5818,62312,358496,802466,841
2019-12-03$36.10$35.1017.2%5.2%17.8%13.6%17.7%3.2%0.5%23.6M-87.6M-4.2M0.422.5015,8136,689502,153472,474
2019-12-04$36.15$35.1016.2%4.8%17.1%8.6%16.5%2.8%0.6%28.2M-112.6M-4.1M0.363.4710,5843,765507,652474,878
2019-12-05$36.10$36.0516.0%4.9%17.1%7.7%17.3%2.9%1.0%27.3M-97.6M-4.1M0.482.8410,9025,227514,419475,594
2019-12-06$36.35$36.0514.9%4.7%15.7%2.0%16.4%2.8%0.7%38.0M-165.9M-4.0M0.362.6519,6136,967518,856477,416
2019-12-09$36.37$36.0515.4%4.8%15.6%4.8%16.0%2.9%1.2%32.8M-172.6M-4.0M0.401.8710,1124,040505,259475,007
2019-12-10$36.53$36.0515.8%5.0%15.5%6.8%15.6%2.8%1.4%38.4M-232.6M-3.9M0.303.3716,1224,838508,885476,960
2019-12-11$36.28$36.0516.3%4.9%15.8%9.3%17.3%2.6%0.9%34.6M-146.5M-3.9M0.462.509,8834,580515,568479,893
2019-12-12$36.56$36.0515.6%4.5%15.4%5.6%16.3%2.9%0.2%41.4M-232.2M-3.9M0.843.1614,02211,814518,466481,846
2019-12-13$36.37$36.0514.9%4.5%15.5%2.3%15.7%2.6%1.0%39.3M-170.8M-3.8M0.252.7619,4714,953519,891486,784
2019-12-16$37.12$36.0515.1%4.4%15.3%3.1%14.8%2.3%-0.3%48.8M-433.0M-3.7M0.198.9865,26512,257510,232482,181
2019-12-17$36.92$36.0515.3%4.4%15.3%4.0%15.3%2.4%0.1%43.5M-353.1M-3.7M0.385.0740,35315,433514,658488,908
2019-12-18$36.93$36.0515.6%4.5%14.7%5.5%15.4%2.3%0.2%45.3M-349.1M-3.7M0.332.0825,1478,347522,559494,691
2019-12-19$37.00$36.0514.9%4.3%13.4%2.2%15.7%1.9%0.4%56.0M-399.5M-3.7M0.516.1713,7647,041532,282497,502
2019-12-20$37.39$36.0515.3%4.4%12.9%4.2%14.8%2.2%-0.6%40.3M-531.2M-3.7M0.317.1467,37120,832534,907497,805
2019-12-23$37.29$37.0015.0%4.4%11.8%2.4%16.0%2.1%3.8%24.6M-258.0M-3.7M0.447.0318,8708,261425,129429,992
2019-12-24$37.26$37.0015.2%4.4%11.6%3.7%16.1%2.2%3.4%25.7M-252.8M-3.7M0.751.9510,0257,484434,113435,318
2019-12-26$37.31$37.0016.2%4.5%11.2%11.5%15.9%2.3%3.5%27.6M-265.8M-3.7M0.272.7918,9115,093439,925436,125
2019-12-27$37.32$37.0017.4%4.6%10.8%20.0%16.3%2.2%3.2%24.8M-262.7M-3.7M0.332.3920,4946,702446,305438,958
2019-12-30$36.98$37.0019.3%4.8%11.2%33.6%17.1%3.0%-0.4%19.0M-160.3M-3.7M0.542.2419,61110,652439,330434,468
2019-12-31$37.08$37.0019.9%4.7%11.1%37.9%15.2%3.1%-0.4%19.8M-180.8M-3.7M2.392.108,23419,696444,400439,851