PFE Options History — September 2020

In September 2020, PFE traded between $33.87 and $35.31. ATM implied volatility averaged 29.8%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 8.9% (HV 20d: 21.0%). Max pain ranged from $35.10 to $36.05. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.33.

Notable Days

2020-09-03: Highest Volume — 224,541 contracts
2020-09-09: Largest IV drop — 11.9% change
2020-09-04: Highest IV Rank — 30.3%
2020-09-04: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.53	$33.87	$35.31	$34.88	$34.79
Max Pain	$35.29	$35.10	$36.05	$35.10	$35.10
ATM IV	29.8%	27.3%	33.5%	27.7%	31.7%
Expected Move	8.3%	7.4%	9.8%	7.4%	7.6%
HV 20d	21.0%	16.1%	23.9%	16.1%	22.3%
HV 60d	25.7%	24.3%	29.1%	28.5%	24.3%
IV Rank	24.5%	20.5%	30.3%	21.2%	27.5%
IV Percentile	70.0%	58.7%	82.1%	65.5%	75.0%
Term Structure	1.5%	-0.4%	3.7%	0.4%	3.2%
VWIV	29.9%	26.5%	34.8%	26.5%	27.7%
Skew 25d	-0.7%	-3.4%	0.9%	-1.1%	-0.1%
Skew 10d	-1.6%	-7.0%	2.0%	-2.6%	-1.1%
Call IV 25d	30.7%	28.6%	34.5%	28.6%	32.3%
Put IV 25d	30.1%	27.3%	33.9%	27.6%	32.2%
Bid-Ask Spread %	3.83	2.68	10.47	3.00	3.93
Gamma HHI	0.09	0.08	0.12	0.11	0.10
Net GEX	39.9M	21.6M	71.0M	38.2M	46.4M
Net DEX	-282.7M	-586.9M	14.9M	-301.4M	-440.9M
Net VEX	-7.9M	-8.3M	-7.3M	-7.3M	-7.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.33	0.18	0.52	0.36	0.18
Total Volume	110,028.238	42,895	224,541	162,585	79,000
Total OI	1,833,276.238	1,623,182	2,048,971	1,623,182	1,790,119

Daily Data (21 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
2020-09-01	$34.88	$35.10	27.7%	7.4%	16.1%	21.2%	26.5%	-1.1%	0.4%	38.2M	-301.4M	-7.3M	0.36	3.00	119,679	42,906	1,066,786	556,396
2020-09-02	$35.31	$35.10	28.0%	7.8%	16.8%	21.6%	28.6%	-0.3%	0.6%	49.8M	-473.0M	-7.8M	0.33	3.27	65,504	21,899	1,114,360	572,993
2020-09-03	$34.39	$36.05	31.2%	9.5%	19.0%	26.6%	33.7%	0.9%	1.7%	34.6M	-179.9M	-7.6M	0.39	3.42	161,980	62,561	1,133,891	589,603
2020-09-04	$34.49	$36.05	33.5%	9.8%	18.8%	30.3%	34.8%	-1.0%	0.5%	38.2M	-240.8M	-8.3M	0.52	10.47	92,180	47,625	1,215,821	624,302
2020-09-08	$34.16	$36.05	32.6%	9.5%	19.0%	28.9%	33.9%	-0.6%	0.2%	31.6M	-128.5M	-8.0M	0.42	3.09	78,744	33,449	1,225,229	626,068
2020-09-09	$34.52	$36.05	28.7%	8.5%	19.0%	22.7%	31.3%	-0.6%	0.7%	40.7M	-243.0M	-8.1M	0.32	3.49	69,272	21,832	1,256,618	637,358
2020-09-10	$33.87	$35.10	28.9%	8.3%	18.5%	23.0%	30.3%	-1.5%	-0.4%	23.2M	14.9M	-7.7M	0.36	3.61	64,709	23,621	1,287,223	650,396
2020-09-11	$34.17	$35.10	29.2%	8.6%	18.9%	23.5%	30.7%	-1.8%	1.7%	29.7M	-114.3M	-7.9M	0.44	3.39	88,871	39,341	1,304,829	656,191
2020-09-14	$35.24	$35.10	29.3%	8.5%	22.3%	23.6%	30.8%	-1.5%	0.8%	62.3M	-586.9M	-8.3M	0.20	3.59	173,586	35,457	1,298,855	658,514
2020-09-15	$35.08	$35.10	28.1%	8.1%	22.1%	21.8%	30.1%	-3.4%	1.6%	65.1M	-536.2M	-8.2M	0.19	3.75	74,456	14,404	1,343,054	664,821
2020-09-16	$35.06	$35.10	28.4%	8.1%	22.0%	22.2%	28.9%	-0.5%	0.9%	71.0M	-507.7M	-8.1M	0.28	3.03	63,511	17,487	1,360,551	670,917
2020-09-17	$34.78	$35.10	29.1%	8.3%	22.1%	23.4%	29.8%	-0.5%	0.2%	64.3M	-373.0M	-8.1M	0.38	3.37	89,627	33,845	1,374,908	674,063
2020-09-18	$34.80	$35.10	27.3%	7.8%	21.4%	20.5%	28.0%	-1.3%	0.6%	42.1M	-341.2M	-7.8M	0.27	3.42	103,137	28,277	1,367,925	666,004
2020-09-21	$33.98	$35.10	30.0%	8.1%	22.5%	24.9%	29.7%	-1.3%	0.8%	22.5M	-133.3M	-7.5M	0.29	4.89	87,883	25,718	1,097,234	531,541
2020-09-22	$34.38	$35.10	28.5%	7.8%	23.2%	22.4%	27.9%	-0.5%	3.7%	31.1M	-260.3M	-7.9M	0.39	3.20	89,324	34,898	1,127,572	546,112
2020-09-23	$34.24	$35.10	29.1%	8.0%	22.8%	23.3%	29.1%	-0.5%	2.2%	29.1M	-219.8M	-8.0M	0.23	3.90	51,696	11,894	1,163,718	575,438
2020-09-24	$33.91	$35.10	31.2%	8.5%	22.9%	26.7%	30.4%	0.5%	1.8%	21.6M	-112.7M	-7.8M	0.38	4.22	56,825	21,313	1,182,201	580,375
2020-09-25	$34.10	$35.10	30.8%	8.2%	23.1%	26.0%	29.6%	0.1%	3.1%	24.7M	-174.1M	-7.8M	0.32	3.59	64,923	20,534	1,197,366	586,919
2020-09-28	$34.55	$35.10	31.7%	7.9%	23.8%	27.4%	28.1%	0.6%	3.0%	37.5M	-336.4M	-7.8M	0.27	2.68	43,890	11,840	1,170,119	581,601
2020-09-29	$34.34	$35.10	31.7%	7.8%	23.9%	27.5%	27.1%	0.2%	3.3%	33.1M	-248.9M	-7.7M	0.38	3.21	30,983	11,912	1,184,086	586,724
2020-09-30	$34.79	$35.10	31.7%	7.6%	22.3%	27.5%	27.7%	-0.1%	3.2%	46.4M	-440.9M	-7.7M	0.18	3.93	67,018	11,982	1,199,425	590,694