PFE Options History — March 2020

In March 2020, PFE traded between $26.87 and $34.37. ATM implied volatility averaged 51.0%, placing in the 75.5% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 1.9% (HV 20d: 49.2%). Max pain ranged from $33.21 to $35.10. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.68.

Notable Days

  • 2020-03-04: Highest Volume — 91,348 contracts
  • 2020-03-27: Largest IV spike — 30.5% change
  • 2020-03-06: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 21.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.56$26.87$34.37$32.76$31.08
Max Pain$33.81$33.21$35.10$35.10$33.21
ATM IV51.0%27.4%77.1%30.7%37.9%
Expected Move14.2%8.7%21.0%9.3%11.5%
HV 20d49.2%33.1%60.6%33.5%57.1%
HV 60d33.5%25.2%40.5%25.2%40.5%
IV Rank75.5%37.4%100.0%66.5%37.4%
IV Percentile98.3%92.9%100.0%99.6%92.9%
Term Structure-2.0%-35.4%18.1%-1.7%18.1%
VWIV47.1%30.6%68.0%33.1%40.7%
Skew 25d15.8%3.8%40.9%7.7%10.8%
Skew 10d27.0%9.8%57.8%15.6%13.1%
Call IV 25d43.9%24.3%63.6%27.0%32.5%
Put IV 25d59.8%31.2%101.2%34.7%43.3%
Bid-Ask Spread %16.294.7641.0210.0023.22
Gamma HHI0.080.060.110.080.08
Net GEX-7.5M-15.9M-45.5K-15.9M-2.8M
Net DEX554.7M116.3M936.5M459.2M407.9M
Net VEX-4.5M-5.2M-3.4M-4.5M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.281.460.520.72
Total Volume54,209.81822,24391,34857,94322,243
Total OI961,292.273864,2981,069,509904,612921,408

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$32.76$35.1030.7%9.3%33.5%66.5%33.1%7.7%-1.7%-15.9M459.2M-4.5M0.5210.0038,23519,708425,479479,133
2020-03-03$32.82$34.6330.1%9.6%33.1%64.3%32.4%7.3%0.5%-10.2M422.2M-4.7M0.396.1256,18221,874449,449484,722
2020-03-04$34.37$34.6327.4%8.7%37.5%53.1%30.9%6.9%-0.8%-125.4K116.3M-5.0M0.314.7669,66121,687465,442488,521
2020-03-05$33.60$34.1634.3%9.4%38.0%81.4%30.6%10.2%-1.2%-1.3M247.6M-5.2M0.594.7631,23218,466477,037494,000
2020-03-06$33.15$34.1640.5%10.1%38.1%100.0%33.7%14.1%-0.5%-45.5K326.2M-5.2M0.705.6731,52822,097487,873494,479
2020-03-09$32.31$34.1645.5%12.3%38.8%100.0%41.3%14.8%-2.5%-8.7M456.9M-5.1M1.468.6325,95937,992475,141485,213
2020-03-10$32.57$34.1642.5%10.9%39.1%90.5%35.5%12.9%-1.0%-12.3M447.9M-5.0M0.926.7021,82220,163483,193500,876
2020-03-11$30.45$34.1653.3%13.5%44.6%100.0%45.0%24.0%-4.4%-12.5M700.7M-4.5M0.727.4731,69222,851491,072504,035
2020-03-12$28.89$34.1663.4%17.4%47.2%100.0%53.2%34.5%-4.3%-10.5M794.7M-4.2M0.727.1236,65826,326500,281508,153
2020-03-13$30.38$33.2177.1%15.6%51.8%100.0%49.6%40.9%-35.4%-11.3M665.5M-4.7M1.1413.1824,75128,333507,287511,397
2020-03-16$29.37$33.2167.4%19.2%52.6%84.6%58.7%22.0%-5.1%-8.4M692.1M-4.5M1.447.8222,76632,735492,697500,531
2020-03-17$30.23$34.1661.1%17.4%54.2%74.4%58.2%15.3%-1.9%-9.6M645.9M-4.7M0.5712.2237,45421,485499,074510,361
2020-03-18$29.92$34.1673.4%21.0%54.2%94.1%68.0%23.6%-10.0%-7.6M619.7M-4.9M0.7124.4333,62624,014507,743516,534
2020-03-19$29.00$33.2166.6%19.0%54.9%83.2%62.0%20.4%1.2%-9.6M777.8M-4.3M1.3425.1732,64043,638512,764523,635
2020-03-20$27.69$34.1656.4%16.1%56.5%67.0%55.1%3.8%1.3%-9.1M936.5M-3.8M0.3841.0251,93319,906525,640543,869
2020-03-23$26.87$33.2154.2%15.8%56.8%63.5%54.1%13.7%2.9%-7.9M738.5M-3.4M0.4221.1333,51114,207415,708448,590
2020-03-24$27.80$33.2152.4%15.8%58.7%60.5%53.7%21.5%1.6%-7.9M693.4M-3.7M0.4518.4827,62712,557431,878450,699
2020-03-25$28.80$33.2147.2%15.4%59.5%52.2%51.8%16.7%10.3%-6.4M598.8M-4.2M0.2829.9433,8479,423440,961452,520
2020-03-26$29.58$33.2149.5%15.7%60.6%55.8%50.4%10.2%-2.9%-5.2M531.9M-4.3M0.2830.6336,72010,164451,710457,222
2020-03-27$29.61$33.2164.5%15.9%58.1%79.9%53.5%6.4%3.6%-4.2M527.7M-4.4M0.5229.4216,3888,509465,416461,208
2020-03-30$31.00$33.2147.7%13.8%57.1%53.0%45.6%10.9%-10.8%-3.6M396.2M-4.7M0.4320.4027,93312,073452,439453,040
2020-03-31$31.08$33.2137.9%11.5%57.1%37.4%40.7%10.8%18.1%-2.8M407.9M-4.7M0.7223.2212,8979,346462,251459,157