PFE Options History — December 2020

In December 2020, PFE traded between $36.66 and $42.50. ATM implied volatility averaged 37.8%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 3.3% (HV 20d: 41.0%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.21.

Notable Days

2020-12-08: Highest Volume — 269,965 contracts
2020-12-14: Largest IV drop — 39.6% change
2020-12-09: Highest IV Rank — 74.2%
2020-12-02: Largest Expected Move — 15.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.92	$36.66	$42.50	$39.33	$36.66
Max Pain	$37.91	$37.00	$38.00	$37.00	$38.00
ATM IV	37.8%	25.1%	61.1%	39.7%	28.2%
Expected Move	10.4%	6.4%	15.3%	15.2%	6.9%
HV 20d	41.0%	29.7%	51.3%	49.9%	29.7%
HV 60d	36.8%	34.8%	37.9%	34.8%	37.8%
IV Rank	36.2%	16.4%	74.2%	39.8%	18.7%
IV Percentile	66.5%	30.2%	97.2%	87.3%	38.5%
Term Structure	3.6%	-17.4%	29.4%	12.0%	2.8%
VWIV	36.9%	26.3%	62.2%	62.2%	32.4%
Skew 25d	-4.7%	-18.7%	8.0%	0.0%	-2.2%
Skew 10d	-7.5%	-28.1%	9.8%	-2.7%	-5.8%
Call IV 25d	41.1%	30.0%	70.2%	45.3%	30.0%
Put IV 25d	36.4%	14.3%	55.3%	45.3%	27.8%
Bid-Ask Spread %	12.94	5.97	19.69	8.27	9.04
Gamma HHI	0.08	0.06	0.09	0.08	0.06
Net GEX	47.1M	24.6M	71.3M	53.7M	24.6M
Net DEX	-1.13B	-2.23B	-220.6M	-1.45B	-220.6M
Net VEX	-7.1M	-8.6M	-5.7M	-8.1M	-5.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.21	0.03	0.50	0.03	0.50
Total Volume	118,027.591	26,564	269,965	178,689	69,065
Total OI	1,614,522.909	1,442,575	1,848,357	1,552,898	1,549,763

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
2020-12-01	$39.33	$37.00	39.7%	15.2%	49.9%	39.8%	62.2%	0.0%	12.0%	53.7M	-1.45B	-8.1M	0.03	8.27	173,336	5,353	1,030,368	522,530
2020-12-02	$40.66	$37.00	44.7%	15.3%	50.7%	47.9%	57.9%	2.8%	8.8%	58.0M	-1.82B	-8.1M	0.07	5.97	150,253	10,705	992,285	523,537
2020-12-03	$39.70	$38.00	42.0%	11.1%	51.3%	43.5%	38.2%	6.6%	9.3%	58.4M	-1.59B	-7.9M	0.11	15.50	94,586	10,843	1,012,304	528,445
2020-12-04	$40.33	$38.00	44.7%	11.5%	50.2%	48.0%	39.3%	8.0%	8.6%	56.4M	-1.73B	-8.0M	0.09	13.09	68,596	6,321	1,038,591	533,829
2020-12-07	$41.11	$38.00	45.8%	10.8%	50.4%	49.6%	32.7%	-7.8%	-17.4%	59.9M	-1.94B	-7.8M	0.11	11.91	157,766	17,808	1,027,081	532,661
2020-12-08	$42.50	$38.00	57.8%	14.5%	44.5%	69.0%	51.8%	-12.9%	-9.8%	59.8M	-2.23B	-8.3M	0.04	10.96	260,098	9,867	1,061,998	534,995
2020-12-09	$42.01	$38.00	61.1%	14.8%	44.0%	74.2%	47.1%	-11.5%	-12.9%	61.6M	-2.21B	-8.3M	0.07	13.45	243,396	16,689	1,123,560	538,267
2020-12-10	$41.98	$38.00	60.5%	14.6%	43.6%	73.3%	46.5%	-15.0%	-15.1%	71.3M	-2.20B	-8.6M	0.06	14.09	114,833	7,013	1,183,335	542,699
2020-12-11	$41.11	$38.00	50.5%	12.8%	43.1%	57.3%	41.9%	-10.4%	-12.1%	65.3M	-1.93B	-8.1M	0.11	17.00	137,415	14,446	1,203,630	545,370
2020-12-14	$39.18	$38.00	30.5%	7.3%	46.2%	25.1%	29.9%	-1.3%	29.4%	66.2M	-1.37B	-7.1M	0.22	18.71	193,464	42,986	1,177,014	550,136
2020-12-15	$38.58	$38.00	28.8%	7.7%	44.5%	22.3%	27.6%	-10.7%	17.9%	63.5M	-1.11B	-7.0M	0.19	18.84	118,719	22,646	1,228,884	565,482
2020-12-16	$37.91	$38.00	26.5%	7.6%	37.9%	18.6%	28.5%	-18.7%	15.5%	48.8M	-871.8M	-6.8M	0.42	19.69	57,236	23,941	1,243,325	569,305
2020-12-17	$38.05	$38.00	25.1%	6.4%	35.0%	16.4%	28.3%	-13.7%	22.2%	42.4M	-864.7M	-6.9M	0.28	16.24	77,310	21,859	1,252,789	579,173
2020-12-18	$37.66	$38.00	29.9%	7.9%	35.1%	24.0%	29.8%	-5.5%	5.7%	36.7M	-672.1M	-6.6M	0.32	19.34	65,536	21,029	1,269,225	579,132
2020-12-21	$37.27	$38.00	32.1%	8.4%	34.9%	27.6%	32.3%	-1.8%	3.3%	32.2M	-499.2M	-6.6M	0.23	11.19	44,223	10,027	979,686	462,889
2020-12-22	$36.69	$38.00	30.9%	8.3%	35.2%	25.6%	33.9%	-1.4%	3.3%	26.4M	-322.8M	-6.2M	0.22	9.52	58,784	13,047	998,424	469,771
2020-12-23	$37.55	$38.00	32.1%	8.7%	36.1%	27.3%	30.6%	-0.9%	2.3%	35.2M	-506.0M	-6.4M	0.23	12.96	52,457	12,103	1,017,198	479,761
2020-12-24	$37.32	$38.00	30.2%	8.3%	36.2%	23.0%	26.3%	-1.1%	2.9%	31.7M	-436.5M	-6.5M	0.27	11.30	20,894	5,670	1,039,283	488,150
2020-12-28	$36.77	$38.00	30.4%	10.1%	35.9%	22.4%	33.0%	-2.1%	1.4%	26.8M	-295.4M	-6.0M	0.32	8.06	53,220	17,061	1,004,708	488,763
2020-12-29	$37.15	$38.00	29.6%	11.2%	35.2%	21.0%	29.8%	-1.8%	0.1%	31.2M	-362.4M	-5.9M	0.36	10.38	38,174	13,735	1,016,412	500,406
2020-12-30	$36.80	$38.00	29.7%	10.0%	32.7%	21.3%	31.7%	-2.7%	0.1%	25.2M	-226.1M	-5.9M	0.38	9.21	31,947	12,150	1,028,021	506,319
2020-12-31	$36.66	$38.00	28.2%	6.9%	29.7%	18.7%	32.4%	-2.2%	2.8%	24.6M	-220.6M	-5.7M	0.50	9.04	46,173	22,892	1,036,802	512,961