PFE Options History — February 2021

In February 2021, PFE traded between $33.62 and $35.84. ATM implied volatility averaged 24.9%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 9.2% (HV 20d: 15.7%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.34.

Notable Days

  • 2021-02-02: Highest Volume — 214,438 contracts
  • 2021-02-11: Largest IV spike — 31.8% change
  • 2021-02-01: Highest IV Rank — 25.3%
  • 2021-02-11: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.60$33.62$35.84$35.84$33.62
Max Pain$36.08$36.00$37.00$37.00$36.00
ATM IV24.9%21.9%32.1%32.1%24.5%
Expected Move7.7%5.2%15.1%9.8%6.6%
HV 20d15.7%10.2%18.3%16.6%10.2%
HV 60d28.5%22.9%35.8%35.8%22.9%
IV Rank12.0%5.4%25.3%25.3%8.5%
IV Percentile19.0%4.8%59.1%59.1%13.5%
Term Structure-0.8%-35.3%29.8%-1.6%0.6%
VWIV29.9%17.2%52.9%36.0%32.2%
Skew 25d-3.6%-40.3%2.2%-1.9%2.2%
Skew 10d-3.2%-30.1%7.6%-3.9%7.6%
Call IV 25d26.5%23.0%51.7%34.1%24.2%
Put IV 25d22.8%11.4%32.2%32.2%26.3%
Bid-Ask Spread %27.303.3946.488.4546.48
Gamma HHI0.090.060.460.080.07
Net GEX12.1M-5.0M62.4M25.7M-5.0M
Net DEX44.9M-205.8M176.3M-205.8M176.3M
Net VEX-4.4M-5.1M-4.2M-5.1M-4.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.190.620.190.42
Total Volume86,252.73750,570214,438141,38069,580
Total OI1,146,239.526953,8231,287,8441,126,0271,067,797

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-02-01$35.84$37.0032.1%9.8%16.6%25.3%36.0%-1.9%-1.6%25.7M-205.8M-5.1M0.198.45118,68522,695785,630340,397
2021-02-02$35.00$36.5026.4%7.0%18.3%15.8%26.1%-2.0%-0.5%14.7M4.1M-4.8M0.254.75171,28943,149842,639354,868
2021-02-03$34.90$36.0024.2%6.5%17.6%12.1%24.4%-1.6%0.4%20.6M-3.5M-4.6M0.213.3985,79217,687882,119369,922
2021-02-04$34.92$36.0022.8%5.2%17.4%9.8%26.4%-1.3%1.2%26.3M-6.9M-4.6M0.2513.2163,57115,926898,267374,456
2021-02-05$34.94$36.0022.6%8.8%17.1%9.4%38.7%-0.8%0.0%62.4M94.9M-4.3M0.4223.4670,47529,808911,104376,740
2021-02-08$34.78$36.0022.5%6.4%17.0%9.2%27.5%0.1%4.8%11.7M18.5M-4.4M0.2533.1957,58114,281797,933343,060
2021-02-09$35.00$36.0022.3%6.8%16.2%9.0%27.8%0.4%7.0%18.0M-20.4M-4.3M0.2333.7149,97711,582815,191350,229
2021-02-10$34.72$36.0022.8%6.5%15.8%9.9%29.1%-0.3%8.7%13.0M41.8M-4.3M0.2137.9344,9779,250826,377353,206
2021-02-11$34.51$36.0030.1%15.1%15.8%21.9%39.7%-0.5%29.8%8.4M101.5M-4.4M0.4034.8152,08820,854836,343357,377
2021-02-12$34.66$36.0022.3%6.1%16.0%9.0%30.9%-0.5%12.4%14.1M37.0M-4.3M0.3734.1075,06227,947849,075359,775
2021-02-16$34.69$36.0021.9%6.3%16.1%8.3%32.6%-12.6%-11.8%2.8M44.9M-4.3M0.3337.8348,21316,138799,956348,072
2021-02-17$34.84$36.0027.2%7.8%16.2%16.4%27.8%-8.8%-14.6%7.6M-7.5M-4.3M0.3742.4644,54816,330818,139353,005
2021-02-18$34.64$36.0029.4%8.8%16.2%20.1%52.9%-40.3%-35.3%-1.5M117.3M-4.2M0.2627.7440,28010,290823,158355,831
2021-02-19$34.49$36.0027.2%8.4%16.2%15.6%26.3%-3.3%-16.5%3.5M89.0M-4.2M0.6228.6368,39942,197837,679357,372
2021-02-22$34.34$36.0022.2%5.6%16.1%5.7%17.2%0.5%0.3%4.7M48.2M-4.2M0.3432.7662,97721,246638,225315,598
2021-02-23$33.98$36.0024.0%9.0%14.6%7.7%20.0%-0.6%-0.1%1.2M102.6M-4.2M0.4222.3349,32520,822662,199323,277
2021-02-24$33.86$36.0022.7%9.3%14.2%5.4%24.5%0.4%-0.0%2.2M99.0M-4.2M0.2725.5442,55111,363680,729332,922
2021-02-25$33.75$36.0025.3%6.7%10.3%9.9%28.6%1.8%-0.3%373.3K122.3M-4.3M0.5927.8445,13626,731699,032340,852
2021-02-26$33.62$36.0024.5%6.6%10.2%8.5%32.2%2.2%0.6%-5.0M176.3M-4.3M0.4246.4849,13120,449710,488357,309