PFE Options History — May 2020

In May 2020, PFE traded between $35.06 and $36.63. ATM implied volatility averaged 26.1%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 2.0% (HV 20d: 28.1%). Max pain ranged from $34.16 to $35.10. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.33.

Notable Days

  • 2020-05-06: Highest Volume — 135,817 contracts
  • 2020-05-13: Largest IV spike — 15.3% change
  • 2020-05-15: Highest IV Rank — 24.1%
  • 2020-05-01: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.78$35.06$36.63$35.72$36.16
Max Pain$34.68$34.16$35.10$34.16$35.10
ATM IV26.1%24.0%29.6%29.3%24.0%
Expected Move7.4%6.8%9.1%9.1%6.8%
HV 20d28.1%25.6%31.3%27.5%26.9%
HV 60d42.6%39.5%43.9%42.3%39.5%
IV Rank18.5%15.1%24.1%23.7%15.3%
IV Percentile78.1%71.0%84.1%84.1%71.0%
Term Structure-0.0%-0.9%0.8%0.1%-0.6%
VWIV26.0%23.5%31.1%31.1%24.0%
Skew 25d5.2%3.9%7.6%5.2%4.2%
Skew 10d10.5%7.6%17.4%8.5%8.5%
Call IV 25d24.2%21.5%27.8%27.8%22.7%
Put IV 25d29.4%26.2%34.1%33.1%26.9%
Bid-Ask Spread %4.053.017.844.654.73
Gamma HHI0.100.070.140.070.12
Net GEX20.3M8.6M30.4M14.6M26.2M
Net DEX-225.7M-466.4M-56.0M-287.9M-300.2M
Net VEX-5.2M-5.5M-4.9M-5.4M-4.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.110.780.560.27
Total Volume50,722.2521,820135,81745,60948,795
Total OI1,002,632975,3461,039,5611,018,6971,020,812

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$35.72$34.1629.3%9.1%27.5%23.7%31.1%5.2%0.1%14.6M-287.9M-5.4M0.564.6529,32816,281533,778484,919
2020-05-04$35.79$34.1628.3%7.7%26.9%22.0%26.9%5.6%0.0%16.8M-285.1M-5.1M0.223.5718,2324,077504,263480,732
2020-05-05$36.55$34.1625.9%7.1%26.7%18.3%25.4%4.9%0.1%27.6M-451.7M-5.1M0.134.2264,0558,088512,180483,840
2020-05-06$36.63$34.1625.9%7.2%26.5%18.2%26.2%5.2%-0.1%30.2M-466.4M-5.1M0.116.53122,65613,161525,567486,193
2020-05-07$35.17$34.1627.7%8.0%31.3%21.1%28.0%5.6%-0.1%8.6M-68.5M-5.3M0.244.0048,42711,517503,579492,960
2020-05-08$35.33$34.1625.6%7.3%29.0%17.8%25.7%5.0%0.1%13.0M-105.3M-5.3M0.373.0122,0958,246518,626498,771
2020-05-11$36.14$34.1624.7%7.0%29.5%16.2%25.6%5.9%-0.5%24.9M-272.7M-5.2M0.563.4828,75116,114496,955485,254
2020-05-12$35.52$34.1624.9%7.2%28.7%16.6%24.6%4.5%0.5%18.1M-150.2M-5.2M0.623.0925,77615,918508,416485,889
2020-05-13$35.06$34.1628.7%8.2%28.9%22.7%27.4%7.6%-0.6%11.0M-56.0M-5.4M0.787.8430,94124,180516,811491,426
2020-05-14$35.97$35.1028.8%8.2%30.0%22.9%28.3%7.1%-0.5%24.2M-251.3M-5.5M0.193.4845,8428,622523,814498,505
2020-05-15$35.58$35.1029.6%8.6%28.9%24.1%28.8%5.3%0.8%24.7M-183.5M-5.5M0.153.3177,07911,310539,707499,854
2020-05-18$36.27$35.1025.0%7.1%29.0%16.9%24.9%5.4%0.6%30.4M-335.3M-5.2M0.193.2549,1599,441506,655468,691
2020-05-19$35.83$35.1025.1%7.2%28.8%16.9%26.3%5.0%0.5%23.3M-225.7M-5.2M0.204.3629,8306,022510,524472,285
2020-05-20$35.69$35.1025.8%7.4%28.5%18.1%25.1%5.1%-0.3%23.5M-201.1M-5.1M0.373.9128,61810,611515,702474,538
2020-05-21$35.37$35.1025.0%7.2%28.3%16.8%25.3%3.9%0.2%17.3M-121.4M-5.1M0.254.0424,8786,101524,435480,512
2020-05-22$35.46$35.1024.2%6.9%27.9%15.4%25.2%4.3%0.3%16.6M-130.7M-5.1M0.473.2714,8786,942532,137482,530
2020-05-26$35.66$35.1024.8%6.9%25.9%16.5%23.5%4.5%-0.9%15.3M-174.5M-4.9M0.243.5329,2577,007504,879479,229
2020-05-27$35.36$35.1024.1%6.8%25.6%15.3%23.7%4.4%-0.2%12.5M-120.2M-4.9M0.313.1122,2486,986515,905481,858
2020-05-28$36.27$35.1024.0%6.8%26.9%15.1%24.4%4.7%-0.2%27.5M-326.7M-4.9M0.433.5544,09518,881524,442485,467
2020-05-29$36.16$35.1024.0%6.8%26.9%15.3%24.0%4.2%-0.6%26.2M-300.2M-4.9M0.274.7338,33310,462532,444488,368