PFE Options History — June 2020

In June 2020, PFE traded between $30.25 and $34.58. ATM implied volatility averaged 31.2%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 4.7% (HV 20d: 35.9%). Max pain ranged from $32.26 to $35.10. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.32.

Notable Days

  • 2020-06-01: Highest Volume — 192,057 contracts
  • 2020-06-11: Largest IV spike — 37.4% change
  • 2020-06-11: Highest IV Rank — 35.6%
  • 2020-06-11: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.32$30.25$34.58$33.74$30.99
Max Pain$33.59$32.26$35.10$35.10$32.26
ATM IV31.2%26.3%36.8%27.7%34.3%
Expected Move8.8%7.3%10.7%8.1%8.8%
HV 20d35.9%29.3%40.3%36.2%29.3%
HV 60d36.2%31.5%41.7%41.7%31.5%
IV Rank26.7%18.8%35.6%21.1%31.6%
IV Percentile83.3%77.8%89.3%81.0%85.3%
Term Structure0.0%-1.5%3.0%-0.5%-1.0%
VWIV31.2%26.1%36.4%28.6%31.0%
Skew 25d2.1%0.3%3.7%3.6%3.7%
Skew 10d4.2%1.4%8.2%6.9%5.8%
Call IV 25d30.8%25.3%37.1%26.2%32.9%
Put IV 25d32.9%27.7%38.2%29.8%36.6%
Bid-Ask Spread %4.622.858.833.168.31
Gamma HHI0.090.070.150.070.08
Net GEX2.9M-15.2M28.5M-1.4M9.3M
Net DEX263.3M-116.5M524.2M189.6M256.6M
Net VEX-5.2M-5.4M-4.6M-4.6M-5.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.120.630.330.20
Total Volume95,897.45541,209192,057192,05755,734
Total OI1,221,032.0451,009,6281,438,3091,009,6281,247,792

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$33.74$35.1027.7%8.1%36.2%21.1%28.6%3.6%-0.5%-1.4M189.6M-4.6M0.333.16144,73947,318525,849483,779
2020-06-02$34.11$34.6326.3%7.3%36.5%18.8%26.1%3.2%-0.4%11.0M52.0M-5.0M0.293.1965,84519,117604,659511,270
2020-06-03$34.23$34.6328.1%8.1%35.6%21.8%28.6%3.5%-0.2%14.0M4.4M-5.2M0.123.76102,14912,211619,680518,849
2020-06-04$34.04$34.1628.4%8.2%35.5%22.2%28.9%0.9%0.2%18.1M15.6M-5.2M0.273.7993,95025,711651,821525,001
2020-06-05$34.07$34.1627.9%7.7%32.7%21.4%27.3%0.5%-0.7%28.5M8.0M-5.3M0.213.4875,71115,981688,876540,136
2020-06-08$34.58$34.1627.6%7.7%33.2%21.0%27.1%1.2%-1.0%23.6M-116.5M-5.4M0.154.2070,89810,336667,636533,914
2020-06-09$34.39$34.1628.2%7.9%32.0%21.9%28.2%0.7%-0.4%23.4M-83.6M-5.4M0.294.0431,9139,296683,708537,369
2020-06-10$34.10$34.1626.8%7.5%31.6%19.6%26.5%0.3%-0.1%18.8M13.5M-5.3M0.333.6732,41710,610688,286542,964
2020-06-11$31.70$34.1636.8%10.7%40.3%35.6%36.4%1.1%1.0%-11.0M508.4M-5.0M0.454.73104,47447,185696,712543,133
2020-06-12$31.87$34.1633.7%9.4%38.9%30.6%34.1%3.4%-1.1%-11.8M497.5M-5.1M0.478.8361,48829,183735,755558,600
2020-06-15$31.56$34.1633.8%9.6%38.9%30.8%34.4%2.4%-0.4%-13.0M524.2M-5.0M0.294.2553,84815,656717,402560,881
2020-06-16$31.63$34.1633.6%9.6%37.9%30.6%34.2%3.6%-1.5%-11.7M498.0M-5.0M0.633.9995,14759,593740,988562,133
2020-06-17$31.78$33.2132.9%9.4%38.1%29.3%32.4%2.6%-0.5%-10.3M465.4M-5.2M0.163.2651,1518,291786,490599,712
2020-06-18$31.46$33.2132.5%9.3%38.1%28.8%34.5%0.9%0.1%-15.2M509.0M-5.2M0.243.8871,93017,400802,314600,365
2020-06-19$31.67$33.2131.6%9.1%38.3%27.4%32.0%2.4%-0.1%2.0M441.0M-5.3M0.282.8565,99118,452834,706603,603
2020-06-22$31.40$33.2131.3%9.1%38.2%26.9%31.8%1.7%1.5%1.3M253.1M-5.1M0.353.8168,37224,204622,320429,680
2020-06-23$31.20$33.2129.9%8.3%38.0%24.6%29.4%2.0%1.5%269.0K294.9M-5.1M0.353.9566,73123,077660,151448,544
2020-06-24$30.72$32.2633.1%9.2%38.1%29.8%33.0%2.5%0.7%-2.2M363.9M-5.1M0.483.9579,33137,717687,088462,012
2020-06-25$30.63$32.2631.5%9.0%36.2%27.2%31.5%2.1%3.0%-3.3M389.0M-5.1M0.575.4356,50932,167720,547481,265
2020-06-26$30.25$32.2635.8%10.2%36.1%34.0%36.0%1.9%2.3%-9.8M427.1M-5.2M0.308.1078,77023,254741,571490,864
2020-06-29$30.86$32.2635.1%9.6%29.7%32.9%33.5%3.1%-1.5%4.0M282.2M-5.3M0.197.0580,52115,366722,984481,296
2020-06-30$30.99$32.2634.3%8.8%29.3%31.6%31.0%3.7%-1.0%9.3M256.6M-5.4M0.208.3146,4439,291758,409489,383