PFE Options History — April 2020

In April 2020, PFE traded between $30.08 and $36.51. ATM implied volatility averaged 37.1%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 5.2% (HV 20d: 42.3%). Max pain ranged from $28.46 to $34.16. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2020-04-28: Highest Volume — 134,659 contracts
  • 2020-04-09: Largest IV drop — 30.7% change
  • 2020-04-08: Highest IV Rank — 64.0%
  • 2020-04-01: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.99$30.08$36.51$30.08$36.20
Max Pain$31.85$28.46$34.16$33.21$34.16
ATM IV37.1%25.8%54.5%48.3%28.0%
Expected Move10.2%8.1%13.0%13.0%8.6%
HV 20d42.3%27.6%56.8%54.9%27.6%
HV 60d42.4%41.0%43.5%41.0%42.2%
IV Rank36.0%18.1%64.0%54.0%21.6%
IV Percentile89.3%81.7%96.8%95.2%83.7%
Term Structure-0.0%-11.8%10.9%10.9%-0.5%
VWIV35.6%28.3%47.3%45.3%30.1%
Skew 25d11.0%4.5%37.0%9.8%4.9%
Skew 10d21.3%2.6%49.9%2.6%7.7%
Call IV 25d31.5%24.2%51.7%42.9%26.2%
Put IV 25d42.5%28.8%63.4%52.7%31.1%
Bid-Ask Spread %9.924.3124.0724.004.52
Gamma HHI0.090.070.210.090.08
Net GEX8.4M-5.1M25.0M-5.1M21.7M
Net DEX-35.7M-438.9M517.7M517.7M-400.0M
Net VEX-5.2M-5.4M-4.5M-4.5M-5.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.131.060.630.19
Total Volume50,840.57118,209134,65929,12642,012
Total OI952,610.619870,6631,011,735928,7521,011,735

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$30.08$33.2148.3%13.0%54.9%54.0%45.3%9.8%10.9%-5.1M517.7M-4.5M0.6324.0017,92111,205465,336463,416
2020-04-02$30.99$28.4653.4%12.1%56.0%62.2%47.3%14.7%9.8%-2.7M420.9M-4.8M0.7522.0010,4047,805471,830468,988
2020-04-03$31.74$28.4641.7%11.8%56.8%43.5%43.9%15.8%10.7%-3.0M313.6M-5.0M0.6117.8541,78225,372474,882472,899
2020-04-06$32.47$29.4138.9%10.5%56.7%39.0%32.9%37.0%3.9%2.5M221.6M-5.1M1.0613.8118,34119,492472,049471,791
2020-04-07$32.35$29.4144.2%10.6%56.7%47.4%36.5%9.3%-11.8%1.1M254.4M-5.1M0.5414.4418,96510,291476,443482,443
2020-04-08$32.65$30.3654.5%10.7%50.9%64.0%35.4%14.6%-6.5%3.0M210.4M-5.1M0.999.5614,29014,116478,783483,260
2020-04-09$33.82$30.3637.8%9.5%47.5%37.2%34.6%5.8%-1.5%8.4M-15.9M-5.3M0.259.0857,88914,288484,396487,375
2020-04-13$33.53$30.3636.2%10.2%45.1%34.7%32.9%11.7%-2.4%6.5M53.2M-5.2M0.388.8819,0727,207478,325483,274
2020-04-14$34.54$30.3633.4%9.5%43.4%30.1%32.2%9.8%-1.9%11.0M-136.7M-5.2M0.226.3752,11011,343484,756486,139
2020-04-15$34.17$31.3135.1%10.1%43.2%32.8%34.4%10.7%-2.1%9.9M-73.1M-5.3M0.685.6717,84412,121494,760490,167
2020-04-16$34.00$31.3134.7%9.9%43.0%32.3%35.4%10.8%0.2%10.0M-43.9M-5.3M0.836.4120,53317,063499,629492,994
2020-04-17$34.95$32.2632.5%9.4%41.2%28.8%34.0%11.0%-0.6%20.5M-238.0M-5.3M0.345.3443,63314,843504,585493,056
2020-04-20$34.46$32.2636.0%10.3%36.8%34.4%34.8%11.7%-1.7%4.9M-84.6M-5.3M0.416.5421,2148,729427,118443,545
2020-04-21$33.95$33.2138.8%11.0%34.9%38.8%38.0%9.1%-1.5%3.9M-22.2M-5.4M0.635.9424,77115,641438,706445,752
2020-04-22$34.47$33.2135.9%10.6%33.9%34.2%35.0%10.4%-2.0%6.7M-81.7M-5.4M0.544.9828,27215,170451,348457,095
2020-04-23$34.96$34.1634.9%10.5%32.7%32.6%38.1%9.2%-1.6%7.2M-172.9M-5.4M0.424.6262,00726,045455,995468,499
2020-04-24$35.47$34.1632.0%9.7%32.2%28.0%35.1%8.9%-1.8%13.3M-253.8M-5.4M0.464.6427,75712,828466,060480,115
2020-04-27$36.51$34.1628.4%9.3%32.7%22.3%32.5%6.1%-0.4%13.8M-431.1M-5.2M0.255.2574,13818,717462,582469,610
2020-04-28$36.01$34.1627.6%8.9%31.0%21.0%30.8%4.9%-0.5%17.0M-348.7M-5.2M0.144.31118,58116,078492,478475,162
2020-04-29$36.41$34.1625.8%8.1%31.0%18.1%28.3%4.5%0.3%25.0M-438.9M-5.1M0.1324.0751,2496,513517,324480,123
2020-04-30$36.20$34.1628.0%8.6%27.6%21.6%30.1%4.9%-0.5%21.7M-400.0M-5.2M0.194.5235,3626,650529,288482,447