PFE Options History — November 2020

In November 2020, PFE traded between $34.24 and $38.01. ATM implied volatility averaged 31.7%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 11.2% (HV 20d: 42.9%). Max pain ranged from $34.63 to $37.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.21.

Notable Days

  • 2020-11-09: Highest Volume — 820,774 contracts
  • 2020-11-18: Largest IV spike — 21.0% change
  • 2020-11-02: Highest IV Rank — 46.0%
  • 2020-11-02: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.18$34.24$38.01$34.24$38.01
Max Pain$35.83$34.63$37.00$34.63$37.00
ATM IV31.7%19.6%43.3%43.3%24.0%
Expected Move10.1%7.8%14.1%14.1%12.4%
HV 20d42.9%27.3%52.7%27.5%49.2%
HV 60d29.9%22.3%34.7%22.3%34.1%
IV Rank27.1%7.6%46.0%46.0%14.6%
IV Percentile60.9%19.8%91.3%91.3%30.2%
Term Structure-2.9%-22.6%23.1%-1.6%23.1%
VWIV35.9%27.7%49.4%49.4%40.9%
Skew 25d-3.2%-16.3%2.3%1.2%-3.9%
Skew 10d-0.0%-4.9%3.4%1.7%-0.8%
Call IV 25d34.3%26.9%43.0%43.0%34.4%
Put IV 25d31.1%11.5%44.2%44.2%30.5%
Bid-Ask Spread %7.392.1618.9512.207.69
Gamma HHI0.100.080.130.080.09
Net GEX67.4M0128.2M44.3M57.5M
Net DEX-845.2M-1.98B0-474.3M-1.21B
Net VEX-8.1M-9.8M0-8.8M-7.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.030.400.140.03
Total Volume171,90317,663820,774123,367103,508
Total OI1,988,332.302,498,9462,123,5011,581,672

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$34.24$34.6343.3%14.1%27.5%46.0%49.4%1.2%-1.6%44.3M-474.3M-8.8M0.1412.20108,65914,7081,499,285624,216
2020-11-03$34.45$34.6340.8%13.0%27.3%42.0%45.6%0.8%-1.1%48.8M-513.5M-8.6M0.303.0578,16123,7391,499,285624,216
2020-11-04$35.46$34.6337.9%12.0%29.1%37.3%41.6%1.1%-1.1%84.1M-915.6M-8.7M0.225.88179,08939,3741,534,280642,461
2020-11-05$34.63$35.1038.5%10.4%30.2%38.3%37.0%-0.3%-0.2%60.7M-573.2M-8.8M0.303.3573,49621,8731,533,004656,399
2020-11-06$34.74$35.1038.0%10.2%30.1%37.6%36.0%-0.2%-2.1%51.0M-597.2M-8.8M0.304.16100,04629,5991,565,567671,044
2020-11-09$37.52$35.1035.8%9.8%40.7%34.1%35.2%-2.6%-0.5%128.2M-1.98B-9.3M0.144.93717,794102,9801,516,174633,690
2020-11-10$36.79$35.1036.1%10.1%41.5%34.6%36.5%-1.2%-1.1%115.6M-1.47B-9.5M0.192.89269,62150,9331,608,510673,355
2020-11-11$36.39$35.1034.4%9.8%41.7%31.3%34.7%0.3%0.2%108.1M-1.19B-9.5M0.222.16226,02850,3181,674,730689,483
2020-11-12$35.44$35.1035.7%10.1%42.9%33.4%36.2%-0.3%-0.1%71.1M-710.6M-9.2M0.403.20170,01268,6741,718,990703,802
2020-11-13$36.60$35.1033.9%9.6%42.2%30.6%34.2%1.0%-0.8%108.1M-1.34B-9.8M0.332.57159,77953,4611,765,349733,597
2020-11-16$35.33$35.1034.1%9.7%44.0%30.9%34.9%-0.6%-0.2%68.6M-600.7M-8.8M0.262.40279,83573,9141,668,834678,899
2020-11-17$37.87$0.0027.4%7.8%50.5%20.0%27.7%2.3%-0.1%0000.1213.74109,68012,99900
2020-11-18$36.41$37.0033.1%9.5%52.5%29.2%33.1%-4.8%-22.6%80.0M-792.3M-8.5M0.1817.5799,22017,8381,601,646673,995
2020-11-19$36.16$37.0030.9%9.3%52.5%25.7%32.2%-9.3%-21.0%67.7M-854.2M-8.5M0.2018.9531,3966,3901,551,801668,248
2020-11-20$36.80$37.0026.3%8.3%52.7%18.4%30.1%-2.1%-15.2%62.0M-759.0M-8.1M0.1112.8158,5596,6881,533,936666,435
2020-11-23$36.47$37.0022.1%8.7%52.7%11.7%34.8%-9.9%-2.3%46.8M-666.5M-7.6M0.086.7026,9392,2551,123,124530,880
2020-11-24$36.59$37.0020.9%8.2%52.6%9.6%34.5%-16.3%-4.3%45.7M-689.6M-7.3M0.209.6022,1154,3711,116,150531,137
2020-11-25$36.48$37.0019.6%8.1%48.7%7.6%31.6%-13.6%-2.9%47.8M-682.0M-7.2M0.256.7514,0853,5781,106,345531,558
2020-11-27$37.22$37.0020.5%11.1%49.0%9.0%31.1%-5.6%-5.2%52.0M-884.3M-7.3M0.157.3022,9283,4181,102,899531,650
2020-11-30$38.01$37.0024.0%12.4%49.2%14.6%40.9%-3.9%23.1%57.5M-1.21B-7.7M0.037.69100,5083,0001,058,691522,981