PFE Options History — July 2020

In July 2020, PFE traded between $31.70 and $37.40. ATM implied volatility averaged 31.9%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 1.6% (HV 20d: 30.3%). Max pain ranged from $32.26 to $35.10. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.29.

Notable Days

2020-07-22: Highest Volume — 485,684 contracts
2020-07-22: Largest IV spike — 15.8% change
2020-07-13: Highest IV Rank — 33.9%
2020-07-22: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.39	$31.70	$37.40	$32.26	$36.39
Max Pain	$33.38	$32.26	$35.10	$32.26	$35.10
ATM IV	31.9%	28.6%	35.7%	34.3%	28.8%
Expected Move	8.8%	8.0%	9.8%	8.6%	8.1%
HV 20d	30.3%	22.1%	34.2%	33.3%	32.2%
HV 60d	32.4%	31.1%	33.9%	32.3%	33.9%
IV Rank	27.8%	22.5%	33.9%	31.6%	22.9%
IV Percentile	78.8%	69.0%	87.3%	84.9%	69.4%
Term Structure	-1.1%	-2.6%	0.1%	-2.6%	-0.6%
VWIV	31.2%	28.4%	34.9%	30.4%	29.1%
Skew 25d	0.1%	-3.2%	2.6%	2.6%	1.7%
Skew 10d	-1.3%	-8.0%	4.5%	4.5%	2.4%
Call IV 25d	32.2%	28.7%	35.9%	32.1%	28.8%
Put IV 25d	32.3%	29.6%	35.5%	34.7%	30.5%
Bid-Ask Spread %	3.49	2.65	4.27	3.74	3.51
Gamma HHI	0.08	0.06	0.13	0.07	0.09
Net GEX	40.0M	5.9M	71.7M	25.0M	47.3M
Net DEX	-572.3M	-1.47B	164.1M	-91.8M	-752.5M
Net VEX	-6.7M	-7.7M	-5.9M	-5.9M	-7.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.29	0.09	0.70	0.19	0.46
Total Volume	182,679.545	44,724	485,684	332,798	96,481
Total OI	1,369,744.727	1,207,411	1,482,683	1,270,541	1,465,574

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2020-07-01	$32.26	$32.26	34.3%	8.6%	33.3%	31.6%	30.4%	2.6%	-2.6%	25.0M	-91.8M	-5.9M	0.19	3.74	280,074	52,724	777,110	493,431
2020-07-02	$32.87	$32.26	32.3%	8.0%	34.2%	28.4%	29.2%	1.0%	-1.6%	28.7M	-252.6M	-6.1M	0.18	3.28	158,382	27,886	802,992	503,370
2020-07-06	$32.71	$32.26	31.7%	8.5%	34.2%	27.4%	29.7%	1.4%	-0.8%	26.3M	-145.3M	-6.0M	0.26	3.77	96,829	24,848	795,363	500,560
2020-07-07	$32.31	$32.26	31.4%	8.4%	33.7%	27.1%	29.2%	1.2%	-1.6%	16.1M	-15.6M	-5.9M	0.20	3.50	68,654	13,972	802,370	509,434
2020-07-08	$32.09	$33.21	32.3%	8.7%	33.8%	28.4%	30.6%	0.8%	-1.3%	13.6M	48.3M	-5.9M	0.43	3.90	55,814	23,809	821,252	517,616
2020-07-09	$31.70	$33.21	32.6%	8.9%	33.9%	29.0%	31.2%	0.7%	-1.4%	5.9M	164.1M	-5.9M	0.70	3.42	35,069	24,615	845,928	531,329
2020-07-10	$32.05	$33.21	32.8%	8.9%	22.1%	29.3%	31.3%	1.7%	-1.0%	9.3M	46.7M	-6.0M	0.55	3.35	58,407	32,147	851,580	531,351
2020-07-13	$33.45	$33.21	35.7%	9.5%	26.7%	33.9%	33.6%	-0.0%	-1.9%	33.4M	-361.4M	-6.5M	0.15	4.18	275,216	41,346	811,312	514,494
2020-07-14	$33.44	$33.21	32.8%	9.1%	26.4%	29.2%	32.6%	-0.5%	-0.8%	40.7M	-374.1M	-6.5M	0.14	4.20	89,361	12,440	867,672	526,692
2020-07-15	$33.88	$33.21	32.6%	9.0%	26.6%	29.0%	31.7%	0.8%	-1.2%	48.6M	-549.9M	-6.7M	0.39	4.23	80,585	31,082	893,400	529,473
2020-07-16	$33.71	$33.21	31.8%	8.7%	26.8%	27.7%	31.3%	1.6%	-1.7%	43.3M	-446.3M	-6.5M	0.32	3.57	33,887	10,837	897,506	535,105
2020-07-17	$34.39	$33.21	30.3%	8.4%	27.0%	25.3%	30.2%	0.3%	-1.9%	53.4M	-712.5M	-6.6M	0.12	3.02	101,567	12,515	905,748	538,741
2020-07-20	$34.70	$33.21	30.4%	8.6%	27.0%	25.4%	30.4%	-0.4%	-0.1%	37.4M	-594.8M	-6.6M	0.22	3.53	149,963	32,495	753,559	453,852
2020-07-21	$34.86	$33.21	29.6%	8.4%	26.6%	24.1%	29.5%	0.6%	-0.2%	43.9M	-640.4M	-6.7M	0.30	3.21	67,656	20,161	797,933	468,382
2020-07-22	$36.69	$33.21	34.2%	9.8%	30.7%	31.5%	34.6%	-1.8%	-1.0%	46.8M	-1.18B	-7.1M	0.13	4.27	430,591	55,093	799,201	474,948
2020-07-23	$36.53	$33.21	33.2%	9.5%	29.9%	29.8%	34.4%	-3.2%	-0.7%	63.4M	-1.23B	-7.2M	0.14	3.17	301,733	42,826	900,592	491,950
2020-07-24	$35.63	$34.16	33.6%	9.7%	31.9%	30.5%	34.9%	-1.8%	-0.8%	51.1M	-867.1M	-7.4M	0.37	2.65	111,618	40,907	961,677	505,796
2020-07-27	$35.71	$34.16	32.6%	9.6%	31.1%	28.9%	34.1%	-2.9%	-1.4%	45.1M	-861.0M	-7.3M	0.41	2.80	106,938	43,820	902,608	493,908
2020-07-28	$37.16	$34.16	30.4%	8.9%	32.9%	25.3%	31.8%	-1.5%	-0.9%	70.0M	-1.41B	-7.1M	0.19	2.95	260,256	48,792	942,175	514,899
2020-07-29	$37.40	$34.16	29.6%	8.9%	32.8%	24.1%	28.4%	-1.4%	-0.1%	71.7M	-1.47B	-7.1M	0.09	3.38	395,805	34,023	960,582	522,101
2020-07-30	$36.74	$35.10	28.6%	8.2%	32.1%	22.5%	29.2%	0.9%	0.1%	59.7M	-896.1M	-7.7M	0.41	3.06	97,732	39,994	886,390	534,428
2020-07-31	$36.39	$35.10	28.8%	8.1%	32.2%	22.9%	29.1%	1.7%	-0.6%	47.3M	-752.5M	-7.7M	0.46	3.51	66,242	30,239	908,059	557,515