PFE Options History — February 2020

In February 2020, PFE traded between $31.02 and $36.23. ATM implied volatility averaged 20.6%, placing in the 45.3% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 5.0% (HV 20d: 25.7%). Max pain ranged from $35.10 to $36.05. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.69.

Notable Days

  • 2020-02-28: Highest Volume — 95,424 contracts
  • 2020-02-28: Largest IV spike — 30.6% change
  • 2020-02-25: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.55$31.02$36.23$35.66$31.02
Max Pain$35.65$35.10$36.05$35.58$35.10
ATM IV20.6%16.9%38.8%18.9%38.8%
Expected Move6.0%4.7%12.2%5.4%12.2%
HV 20d25.7%20.5%27.5%27.2%25.9%
HV 60d19.2%18.3%22.4%19.3%22.4%
IV Rank45.3%20.9%100.0%38.5%100.0%
IV Percentile57.8%33.7%100.0%59.1%100.0%
Term Structure-0.5%-2.3%0.2%-0.2%-2.3%
VWIV20.9%16.3%42.5%18.6%42.5%
Skew 25d3.3%2.1%9.4%2.7%9.4%
Skew 10d6.5%3.9%18.2%5.0%18.2%
Call IV 25d19.4%16.0%36.0%17.9%36.0%
Put IV 25d22.7%18.2%45.4%20.6%45.4%
Bid-Ask Spread %3.451.757.043.167.04
Gamma HHI0.100.080.120.080.09
Net GEX-2.7M-15.9M17.0M8.4M-12.8M
Net DEX238.5M-32.0M646.5M83.2M646.5M
Net VEX-4.0M-4.4M-3.7M-4.2M-4.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.312.350.522.35
Total Volume46,774.10518,53995,42445,37095,424
Total OI817,708.526784,303891,726787,113891,726

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$35.66$35.5818.9%5.4%27.2%38.5%18.6%2.7%-0.2%8.4M83.2M-4.2M0.523.1629,94415,426414,363372,750
2020-02-04$35.89$35.5818.1%5.0%27.3%31.6%18.0%2.7%-0.4%11.9M31.7M-4.2M0.312.9738,68712,138418,537375,697
2020-02-05$36.19$36.0518.1%5.0%27.5%31.1%16.9%2.4%-0.2%15.0M-24.7M-4.2M0.322.6528,8519,182415,916381,307
2020-02-06$36.23$36.0517.9%5.0%27.2%29.9%18.1%2.7%-0.2%16.6M-32.0M-4.2M0.452.3220,3829,204421,345382,282
2020-02-07$36.15$36.0518.0%5.1%27.1%30.1%18.3%2.6%-0.2%17.0M-24.5M-4.3M0.602.3713,8728,292430,513385,242
2020-02-10$35.83$36.0517.5%4.9%26.7%26.0%18.0%2.8%-0.1%6.9M50.7M-4.1M0.772.2216,41012,679413,703377,564
2020-02-11$36.11$36.0517.2%4.9%26.9%23.8%17.2%2.7%0.1%11.2M-7.9M-4.1M0.791.7510,3398,200415,889380,993
2020-02-12$35.82$36.0517.2%4.7%26.0%23.6%16.3%2.2%-1.0%4.4M67.6M-4.0M0.522.5614,6627,668416,715383,951
2020-02-13$35.12$36.0517.4%5.0%26.0%25.2%16.9%2.1%0.0%-5.1M212.0M-3.9M0.462.4621,98110,152422,041383,679
2020-02-14$34.66$36.0516.9%4.8%26.1%20.9%16.8%2.2%-0.3%-15.9M302.2M-3.8M0.712.0828,28620,222430,476385,144
2020-02-18$34.50$36.0517.8%5.1%26.1%28.5%17.1%2.5%-0.6%-11.0M311.6M-3.7M1.112.2716,82918,761422,379380,563
2020-02-19$34.41$36.0517.4%5.0%26.1%25.4%17.4%2.2%-0.4%-12.4M309.8M-3.7M0.856.8727,19023,096426,901392,292
2020-02-20$34.06$35.1018.0%5.2%26.1%30.5%18.0%2.5%0.1%-15.9M363.8M-3.8M0.483.6729,69614,166437,541396,924
2020-02-21$33.78$35.1018.9%5.4%25.2%38.4%19.1%3.0%0.2%-15.2M395.4M-3.8M0.772.9825,53619,605448,828401,767
2020-02-24$33.03$35.1022.3%6.5%24.8%67.5%22.6%3.6%-0.3%-15.9M455.0M-3.8M0.543.7151,15827,867384,880399,423
2020-02-25$32.26$35.1026.4%7.8%24.2%100.0%26.7%4.3%-0.8%-15.7M541.9M-3.9M0.486.3637,16517,815405,068414,300
2020-02-26$33.11$35.1025.1%7.5%20.5%89.7%26.7%4.3%-0.6%-11.5M393.7M-4.3M0.513.2553,07727,321424,912423,801
2020-02-27$32.65$35.1029.7%9.2%20.5%100.0%31.3%6.2%-1.2%-11.9M454.8M-4.4M0.594.8242,31625,109435,797441,253
2020-02-28$31.02$35.1038.8%12.2%25.9%100.0%42.5%9.4%-2.3%-12.8M646.5M-4.2M2.357.0428,45266,972441,134450,592