PFE Options History — August 2020

In August 2020, PFE traded between $35.87 and $36.92. ATM implied volatility averaged 23.5%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 0.5% (HV 20d: 24.0%). Max pain ranged from $34.16 to $35.10. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.35.

Notable Days

  • 2020-08-21: Highest Volume — 189,396 contracts
  • 2020-08-28: Largest IV spike — 10.7% change
  • 2020-08-03: Highest IV Rank — 20.1%
  • 2020-08-03: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.33$35.87$36.92$36.39$35.88
Max Pain$35.06$34.16$35.10$35.10$35.10
ATM IV23.5%20.8%27.1%27.1%27.0%
Expected Move6.7%6.0%7.7%7.7%7.1%
HV 20d24.0%12.7%32.1%32.1%12.7%
HV 60d31.1%28.0%32.9%32.9%28.0%
IV Rank14.4%10.1%20.1%20.1%19.9%
IV Percentile50.9%39.7%63.5%63.5%63.1%
Term Structure0.7%-1.0%2.5%-0.8%0.5%
VWIV23.8%20.9%28.0%28.0%25.3%
Skew 25d0.9%-0.2%1.8%1.6%-0.2%
Skew 10d1.7%-1.1%4.2%2.8%1.1%
Call IV 25d23.6%20.4%27.6%26.7%27.6%
Put IV 25d24.5%21.8%28.3%28.3%27.4%
Bid-Ask Spread %2.612.064.222.972.91
Gamma HHI0.110.090.200.090.13
Net GEX54.3M32.5M77.1M43.8M54.4M
Net DEX-743.6M-1.00B-573.7M-762.5M-621.5M
Net VEX-7.3M-7.7M-6.7M-7.4M-7.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.110.840.310.23
Total Volume90,660.52442,672189,39666,59367,897
Total OI1,476,911.6671,390,2701,609,2081,390,2701,595,137

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$36.39$35.1027.1%7.7%32.1%20.1%28.0%1.6%-0.8%43.8M-762.5M-7.4M0.312.9750,67315,920857,376532,894
2020-08-04$36.39$35.1026.4%7.5%31.4%19.1%26.8%1.2%-1.0%43.6M-735.2M-7.5M0.392.8258,68422,963867,635543,573
2020-08-05$36.47$35.1026.2%7.4%31.1%18.7%26.3%0.1%-0.9%46.1M-783.8M-7.4M0.622.4061,26637,931881,575554,751
2020-08-06$36.30$34.1625.2%7.2%30.6%17.2%25.6%0.7%-0.8%43.7M-731.7M-7.5M0.452.7563,73028,497899,127565,968
2020-08-07$36.53$35.1024.6%7.0%30.6%16.1%25.2%0.5%-0.3%61.1M-824.1M-7.5M0.282.6473,36920,854911,701570,070
2020-08-10$36.44$35.1024.2%7.0%27.5%15.5%24.9%0.4%0.1%53.1M-781.4M-7.3M0.342.2050,74717,417881,846533,381
2020-08-11$35.87$35.1023.7%6.8%28.4%14.7%24.4%1.0%0.1%45.2M-573.7M-7.2M0.282.0654,84615,121894,043537,142
2020-08-12$36.48$35.1022.4%6.6%28.6%12.6%23.8%1.1%0.5%58.2M-789.9M-7.2M0.332.1551,65116,818901,055545,080
2020-08-13$36.14$35.1022.2%6.5%28.8%12.3%23.0%1.3%0.5%47.4M-645.3M-7.1M0.482.0632,68515,649906,969551,643
2020-08-14$36.04$35.1022.1%6.5%28.2%12.2%23.7%1.6%0.9%32.5M-605.5M-7.0M0.612.3827,90617,094916,897557,885
2020-08-17$36.35$35.1022.0%6.3%28.2%11.9%22.4%1.1%1.1%50.8M-714.5M-6.9M0.222.0667,35314,768882,643541,275
2020-08-18$36.39$35.1021.9%6.3%28.2%11.8%22.1%1.8%0.6%59.3M-790.5M-6.8M0.842.2342,39635,516906,842545,115
2020-08-19$36.28$35.1020.8%6.0%21.4%10.1%20.9%1.6%1.4%59.1M-694.6M-6.7M0.213.2035,2017,471914,306556,602
2020-08-20$36.76$35.1021.4%6.1%21.9%11.0%21.8%1.4%1.3%71.5M-908.5M-6.9M0.202.23100,60219,720918,797559,307
2020-08-21$36.92$35.1021.7%6.0%19.8%11.6%21.3%0.4%2.5%77.1M-1.00B-7.1M0.112.97171,24018,156949,311563,530
2020-08-24$36.89$35.1022.1%6.0%19.8%12.1%21.2%0.8%2.1%64.0M-892.7M-7.3M0.164.22153,74325,070903,889502,745
2020-08-25$36.39$35.1022.1%6.1%14.5%12.1%21.8%0.7%1.9%64.6M-776.7M-7.5M0.352.76133,44346,782978,856514,913
2020-08-26$36.12$35.1021.4%6.3%14.4%11.0%22.5%0.9%2.5%57.5M-695.9M-7.7M0.222.5962,73213,7971,029,340540,928
2020-08-27$35.99$35.1023.5%6.4%13.1%14.5%23.3%0.5%1.3%54.5M-653.2M-7.7M0.242.7745,27911,0881,045,116546,674
2020-08-28$35.88$35.1026.1%7.1%12.7%18.5%25.1%0.3%0.4%52.5M-629.1M-7.7M0.412.5369,58028,2161,057,930551,278
2020-08-31$35.88$35.1027.0%7.1%12.7%19.9%25.3%-0.2%0.5%54.4M-621.5M-7.6M0.232.9155,05412,8431,043,970551,167