PFE Options History — January 2021

In January 2021, PFE traded between $35.90 and $37.67. ATM implied volatility averaged 29.1%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 9.1% (HV 20d: 20.0%). Max pain ranged from $37.00 to $37.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.33.

Notable Days

  • 2021-01-21: Highest Volume — 190,419 contracts
  • 2021-01-27: Largest IV spike — 13.8% change
  • 2021-01-29: Highest IV Rank — 24.9%
  • 2021-01-27: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.80$35.90$37.67$36.80$35.90
Max Pain$37.00$37.00$37.00$37.00$37.00
ATM IV29.1%25.2%31.9%31.5%31.9%
Expected Move8.3%7.2%9.7%8.8%9.4%
HV 20d20.0%14.1%29.0%29.0%16.6%
HV 60d37.2%35.5%38.1%37.8%35.8%
IV Rank20.3%13.7%24.9%24.2%24.9%
IV Percentile41.9%22.2%57.9%55.2%57.9%
Term Structure-0.3%-1.6%1.1%-0.7%0.8%
VWIV30.3%25.7%35.5%32.2%33.9%
Skew 25d-1.4%-3.0%-0.2%-0.7%-0.4%
Skew 10d-4.1%-7.6%-1.6%-2.4%-1.6%
Call IV 25d31.0%26.4%34.2%32.6%34.2%
Put IV 25d29.6%25.2%33.8%31.9%33.8%
Bid-Ask Spread %7.072.8317.047.228.41
Gamma HHI0.080.060.110.060.07
Net GEX31.7M17.3M62.0M23.9M25.6M
Net DEX-284.9M-562.5M-154.0M-192.4M-154.0M
Net VEX-5.4M-5.7M-5.0M-5.7M-5.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.150.560.450.31
Total Volume101,208.31663,732190,41971,165143,047
Total OI1,396,193.2111,131,1971,640,0331,534,6451,251,747

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-01-04$36.80$37.0031.5%8.8%29.0%24.2%32.2%-0.7%-0.7%23.9M-192.4M-5.7M0.457.2249,11322,0521,020,678513,967
2021-01-05$37.20$37.0031.4%8.6%28.6%24.1%31.3%-0.5%-0.5%32.8M-321.3M-5.7M0.353.4864,24722,7051,032,582523,093
2021-01-06$36.80$37.0030.4%8.4%27.4%22.4%30.2%-2.1%-1.5%26.8M-218.4M-5.7M0.364.2246,75716,9751,049,642529,779
2021-01-07$37.06$37.0029.6%7.9%23.8%21.2%30.1%-0.9%-1.6%36.1M-281.1M-5.6M0.215.6165,45713,6841,058,314532,293
2021-01-08$37.17$37.0029.7%8.0%24.0%21.3%30.0%-1.6%-0.1%43.2M-331.0M-5.5M0.332.9464,51421,3881,078,378535,303
2021-01-11$37.67$37.0031.0%8.6%24.9%23.4%31.8%-2.6%-0.6%38.0M-465.4M-5.5M0.152.83122,32017,762990,788508,331
2021-01-12$37.14$37.0030.8%8.5%24.4%23.1%31.2%-2.2%-1.0%37.5M-363.2M-5.7M0.319.8555,71117,2321,055,065512,764
2021-01-13$36.88$37.0029.8%8.1%18.5%21.4%30.2%-3.0%-0.9%35.7M-250.2M-5.4M0.426.4352,01122,0831,066,405522,608
2021-01-14$36.84$37.0029.0%8.0%17.9%20.0%30.0%-1.7%-1.3%30.8M-217.5M-5.2M0.523.9758,74130,5551,076,695531,259
2021-01-15$36.70$37.0028.1%7.8%17.0%18.6%28.1%-1.9%-1.2%22.1M-193.4M-5.3M0.487.9760,74029,3471,096,212543,821
2021-01-19$36.76$37.0025.6%7.3%16.9%14.5%26.4%-0.8%-0.1%24.2M-281.1M-5.2M0.2710.4567,09118,161794,075337,122
2021-01-20$36.56$37.0025.2%7.2%16.7%13.7%25.7%-1.2%0.3%21.7M-217.7M-5.0M0.565.5257,41131,956824,968346,606
2021-01-21$36.48$37.0026.9%7.7%16.4%16.5%29.6%-1.5%-0.3%17.3M-183.3M-5.0M0.156.88165,69524,724845,230366,692
2021-01-22$36.61$37.0025.9%7.5%15.5%14.9%27.3%-1.2%-0.8%24.9M-300.2M-5.2M0.334.9874,74224,431874,392379,579
2021-01-25$37.19$37.0026.6%7.9%14.2%16.1%28.7%-1.6%0.2%46.6M-455.6M-5.3M0.184.44102,57518,766788,771351,852
2021-01-26$37.36$37.0027.9%8.3%14.1%18.2%29.2%-0.2%1.1%62.0M-562.5M-5.5M0.316.0176,55324,090815,481357,317
2021-01-27$36.22$37.0031.7%9.7%17.2%24.6%35.5%-0.8%1.0%27.5M-229.0M-5.3M0.3516.14104,45036,280830,264360,288
2021-01-28$35.91$37.0030.1%9.3%16.9%21.9%34.3%-1.5%0.9%26.2M-196.9M-5.4M0.2517.0479,41520,177851,691373,619
2021-01-29$35.90$37.0031.9%9.4%16.6%24.9%33.9%-0.4%0.8%25.6M-154.0M-5.3M0.318.41109,43633,611873,039378,708