PFE Options History — January 2020

In January 2020, PFE traded between $35.03 and $38.66. ATM implied volatility averaged 19.2%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 4.7% (HV 20d: 14.6%). Max pain ranged from $37.00 to $37.95. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2020-01-28: Highest Volume — 130,422 contracts
  • 2020-01-31: Largest IV spike — 13.2% change
  • 2020-01-27: Highest IV Rank — 57.0%
  • 2020-01-27: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.28$35.03$38.66$37.05$35.24
Max Pain$37.43$37.00$37.95$37.00$37.48
ATM IV19.2%17.4%21.2%20.5%20.7%
Expected Move5.3%4.7%6.3%4.7%5.9%
HV 20d14.6%10.5%26.7%10.5%26.7%
HV 60d15.4%14.1%19.4%14.3%19.3%
IV Rank39.2%24.4%57.0%41.7%53.6%
IV Percentile60.1%38.5%85.3%74.2%81.3%
Term Structure-0.5%-1.4%0.6%-0.6%0.0%
VWIV18.3%16.4%22.3%16.7%20.1%
Skew 25d2.6%1.3%3.5%2.8%2.7%
Skew 10d4.4%2.2%5.7%5.0%5.5%
Call IV 25d17.9%16.3%20.2%18.7%19.4%
Put IV 25d20.6%18.6%22.6%21.5%22.1%
Bid-Ask Spread %3.302.269.022.309.02
Gamma HHI0.150.070.290.170.07
Net GEX24.1M-10.3M51.7M22.2M-5.1M
Net DEX-231.2M-692.9M296.2M-186.1M237.6M
Net VEX-3.6M-4.1M-3.5M-3.6M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.150.930.310.15
Total Volume52,327.42919,831130,42219,831112,735
Total OI838,594.238634,534988,330890,313803,686

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$37.05$37.0020.5%4.7%10.5%41.7%16.7%2.8%-0.6%22.2M-186.1M-3.6M0.312.3015,1874,644447,710442,603
2020-01-03$36.99$37.0020.7%4.9%10.5%43.2%17.1%2.7%-0.9%21.3M-171.7M-3.6M0.673.1512,0378,005453,946444,972
2020-01-06$36.86$37.0020.4%5.4%10.6%50.3%19.1%3.5%-0.6%18.3M-115.9M-3.5M0.363.1519,5206,941448,177444,044
2020-01-07$36.76$37.0020.6%5.3%10.5%51.4%19.4%3.1%-1.1%19.1M-122.3M-3.6M0.782.2616,05012,465460,731446,930
2020-01-08$37.16$37.0019.8%5.2%11.1%45.1%17.6%2.9%-0.9%27.2M-232.6M-3.6M0.553.4022,43612,348467,365454,146
2020-01-09$36.91$37.0019.6%5.2%11.4%43.0%18.2%3.1%-0.9%19.8M-146.5M-3.7M0.932.4711,12710,320472,839461,212
2020-01-10$37.41$37.0019.5%5.2%11.9%42.2%17.6%2.8%-1.0%36.7M-304.0M-3.7M0.372.6535,71813,147477,065465,972
2020-01-13$37.32$37.0019.1%5.3%11.7%38.5%17.7%3.1%-0.2%31.7M-275.5M-3.6M0.212.5527,6365,866481,100463,931
2020-01-14$37.97$37.0018.6%5.0%12.8%35.0%17.5%2.7%-1.2%51.6M-517.8M-3.5M0.163.3948,6387,604490,642465,822
2020-01-15$38.45$37.0018.4%4.9%11.6%33.1%17.5%2.9%-1.4%51.1M-692.9M-3.5M0.373.1179,75029,473499,403468,173
2020-01-16$38.41$37.9517.7%4.9%11.3%26.9%17.0%2.9%-0.4%47.2M-639.2M-3.5M0.642.9126,73617,055505,391474,244
2020-01-17$38.43$37.9517.4%4.9%11.3%24.4%16.4%2.4%-0.2%51.7M-667.0M-3.5M0.603.1829,62517,725511,253477,077
2020-01-21$38.27$37.9517.4%5.0%11.5%24.7%17.4%2.2%-0.6%27.9M-330.4M-3.5M0.442.9126,59811,621330,475304,059
2020-01-22$38.17$37.9517.8%5.1%11.1%28.1%17.7%2.3%-0.7%27.2M-310.5M-3.5M0.582.9216,2829,473342,948312,455
2020-01-23$38.66$37.9518.5%5.3%11.8%34.0%18.6%2.3%-0.9%37.7M-419.8M-3.6M0.303.0435,15410,611349,894318,328
2020-01-24$37.67$37.9520.4%5.9%15.4%49.6%20.7%2.8%-0.6%15.9M-212.7M-3.8M0.323.4936,03011,679361,955322,628
2020-01-27$38.24$37.9521.2%6.3%16.2%57.0%22.3%2.5%-0.1%23.0M-331.3M-3.8M0.473.2254,83925,605356,163320,932
2020-01-28$36.20$37.9518.9%5.5%25.6%37.3%19.1%1.5%0.6%80.8K79.8M-3.6M0.593.8481,91548,507378,918335,250
2020-01-29$35.69$37.4818.2%5.2%25.9%31.8%18.1%1.3%0.5%-10.3M208.0M-3.6M0.432.9152,56822,845397,609364,228
2020-01-30$35.03$37.4818.3%5.2%26.5%32.6%18.3%2.3%0.6%-9.1M296.2M-3.9M0.923.4827,22925,132411,333374,870
2020-01-31$35.24$37.4820.7%5.9%26.7%53.6%20.1%2.7%0.0%-5.1M237.6M-4.1M0.159.0298,33014,405419,332384,354