PFE Options History — October 2020

In October 2020, PFE traded between $33.50 and $36.11. ATM implied volatility averaged 38.7%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 18.5% (HV 20d: 20.3%). Max pain ranged from $34.16 to $35.10. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.26.

Notable Days

2020-10-16: Highest Volume — 329,109 contracts
2020-10-28: Largest IV spike — 11.7% change
2020-10-30: Highest IV Rank — 49.4%
2020-10-30: Largest Expected Move — 14.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.94	$33.50	$36.11	$34.33	$33.50
Max Pain	$34.72	$34.16	$35.10	$35.10	$35.10
ATM IV	38.7%	33.0%	45.5%	33.0%	45.5%
Expected Move	10.9%	8.0%	14.2%	8.2%	14.2%
HV 20d	20.3%	16.0%	26.9%	22.3%	26.4%
HV 60d	21.6%	19.1%	24.5%	24.5%	21.9%
IV Rank	38.7%	29.5%	49.4%	29.5%	49.4%
IV Percentile	89.0%	80.6%	92.9%	80.6%	92.9%
Term Structure	-1.4%	-3.3%	3.5%	3.5%	-1.3%
VWIV	38.4%	28.3%	49.9%	29.0%	49.9%
Skew 25d	-0.7%	-3.0%	0.5%	-0.5%	-0.6%
Skew 10d	-2.2%	-6.5%	0.8%	-1.6%	-0.1%
Call IV 25d	39.2%	33.1%	47.5%	33.3%	47.5%
Put IV 25d	38.5%	32.8%	46.8%	32.8%	46.8%
Bid-Ask Spread %	3.35	2.62	7.29	3.23	7.29
Gamma HHI	0.11	0.07	0.31	0.09	0.07
Net GEX	63.5M	25.0M	169.1M	33.4M	29.0M
Net DEX	-613.3M	-1.32B	-141.6M	-268.5M	-165.9M
Net VEX	-8.2M	-9.0M	-7.5M	-7.6M	-8.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.26	0.08	0.51	0.29	0.24
Total Volume	145,285.591	51,309	329,109	51,309	133,237
Total OI	1,966,707.136	1,795,630	2,194,703	1,811,552	2,194,703

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
2020-10-01	$34.33	$35.10	33.0%	8.2%	22.3%	29.5%	29.0%	-0.5%	3.5%	33.4M	-268.5M	-7.6M	0.29	3.23	39,893	11,416	1,219,024	592,528
2020-10-02	$34.56	$35.10	33.6%	8.0%	20.4%	30.5%	28.3%	0.1%	3.5%	33.6M	-363.4M	-7.8M	0.36	3.81	60,651	21,973	1,231,732	598,553
2020-10-05	$34.86	$34.16	36.9%	9.9%	20.6%	35.8%	34.7%	0.1%	-1.3%	53.6M	-482.2M	-7.8M	0.18	2.84	79,106	14,419	1,207,091	588,539
2020-10-06	$34.44	$34.16	36.9%	10.0%	20.7%	35.8%	35.3%	0.1%	-0.4%	45.2M	-353.2M	-7.7M	0.14	3.21	75,382	10,199	1,234,716	592,138
2020-10-07	$34.64	$34.16	37.1%	9.9%	20.5%	36.1%	35.0%	-0.0%	-1.1%	56.1M	-442.6M	-7.8M	0.31	3.00	84,655	26,562	1,253,410	594,441
2020-10-08	$35.02	$34.16	37.6%	10.1%	19.5%	36.9%	35.1%	-0.6%	-1.8%	76.2M	-622.9M	-7.8M	0.18	3.11	121,816	21,358	1,281,048	605,848
2020-10-09	$34.79	$34.16	36.3%	9.6%	19.5%	34.8%	34.0%	-1.0%	-1.9%	54.7M	-502.4M	-7.6M	0.34	2.87	65,905	22,598	1,298,270	620,623
2020-10-12	$34.95	$34.16	35.6%	9.6%	16.2%	33.7%	34.9%	-0.9%	-1.5%	62.4M	-522.4M	-7.5M	0.51	3.22	83,408	42,391	1,278,162	620,374
2020-10-13	$35.02	$34.16	36.5%	9.9%	16.1%	35.2%	34.7%	-0.7%	-1.9%	63.4M	-547.6M	-7.5M	0.08	2.75	189,642	14,704	1,295,299	608,508
2020-10-14	$34.88	$34.16	36.3%	9.8%	16.2%	34.9%	35.0%	-1.6%	-2.0%	65.9M	-552.1M	-7.7M	0.31	2.86	111,300	34,072	1,412,790	614,337
2020-10-15	$34.73	$34.16	38.5%	10.4%	16.0%	38.4%	36.6%	-0.4%	-2.7%	62.8M	-527.0M	-7.9M	0.42	2.65	109,607	46,021	1,461,063	629,429
2020-10-16	$36.11	$35.10	38.1%	10.5%	21.1%	37.7%	36.6%	-1.3%	-2.0%	169.1M	-1.32B	-8.3M	0.25	2.62	263,567	65,542	1,494,007	645,433
2020-10-19	$35.79	$35.10	37.1%	10.4%	19.3%	36.2%	36.6%	0.1%	-1.1%	77.5M	-943.1M	-8.5M	0.28	2.83	165,104	46,395	1,300,315	584,789
2020-10-20	$35.65	$35.10	37.4%	10.6%	19.2%	36.6%	37.1%	-0.6%	-2.1%	78.2M	-894.3M	-8.6M	0.26	3.24	83,637	21,648	1,339,115	598,148
2020-10-21	$35.26	$35.10	40.9%	11.7%	19.6%	42.3%	41.9%	-3.0%	-3.0%	65.2M	-774.4M	-8.7M	0.15	2.75	94,151	14,521	1,366,627	610,792
2020-10-22	$35.55	$35.10	41.4%	12.0%	19.3%	43.0%	42.0%	-2.6%	-3.3%	75.6M	-942.8M	-8.9M	0.27	3.48	84,093	22,329	1,403,775	615,530
2020-10-23	$36.05	$35.10	41.5%	12.2%	19.7%	43.2%	42.6%	-1.3%	-2.9%	113.9M	-1.17B	-9.0M	0.20	4.95	134,988	27,032	1,429,135	627,019
2020-10-26	$35.72	$35.10	43.0%	13.3%	19.7%	45.5%	46.3%	0.1%	-2.9%	64.2M	-964.6M	-9.0M	0.46	3.02	62,998	29,068	1,382,972	605,221
2020-10-27	$35.55	$35.10	40.0%	12.1%	19.7%	40.7%	42.5%	-0.9%	-1.2%	65.0M	-814.8M	-8.7M	0.12	3.21	290,772	35,256	1,401,300	623,420
2020-10-28	$33.75	$35.10	44.7%	13.9%	26.9%	48.2%	49.3%	0.4%	-1.4%	25.0M	-181.3M	-8.4M	0.20	3.02	170,815	34,773	1,440,960	626,028
2020-10-29	$33.61	$35.10	44.5%	13.3%	26.6%	48.0%	46.4%	0.5%	-1.8%	26.0M	-141.6M	-8.4M	0.27	3.64	101,802	27,477	1,507,929	632,416
2020-10-30	$33.50	$35.10	45.5%	14.2%	26.4%	49.4%	49.9%	-0.6%	-1.3%	29.0M	-165.9M	-8.5M	0.24	7.29	107,165	26,072	1,556,283	638,420