PFE Options History — March 2021

In March 2021, PFE traded between $33.61 and $36.66. ATM implied volatility averaged 20.7%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 7.4% (HV 20d: 13.3%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.44.

Notable Days

  • 2021-03-23: Highest Volume — 107,424 contracts
  • 2021-03-23: Largest IV spike — 17.1% change
  • 2021-03-05: Highest IV Rank — 14.1%
  • 2021-03-04: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.21$33.61$36.66$33.67$36.26
Max Pain$35.13$35.00$36.00$36.00$35.00
ATM IV20.7%17.6%27.7%22.3%17.6%
Expected Move5.8%4.9%7.0%5.3%4.9%
HV 20d13.3%10.2%16.6%10.2%14.9%
HV 60d17.0%14.7%21.7%21.7%15.2%
IV Rank3.2%0.0%14.1%4.8%0.0%
IV Percentile4.3%0.0%30.2%7.1%0.0%
Term Structure0.2%-4.7%3.5%-1.3%3.5%
VWIV20.8%17.5%25.2%21.2%17.5%
Skew 25d2.1%-0.9%21.6%0.8%1.3%
Skew 10d6.3%-8.2%29.1%16.1%4.6%
Call IV 25d20.6%17.2%24.6%22.2%17.7%
Put IV 25d22.7%18.6%40.0%23.0%19.0%
Bid-Ask Spread %12.812.3156.6549.262.66
Gamma HHI0.120.060.300.060.13
Net GEX25.9M-2.6M59.1M-2.6M39.8M
Net DEX-173.0M-469.8M159.1M144.9M-386.1M
Net VEX-4.6M-8.2M-4.0M-4.1M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.260.830.260.67
Total Volume67,121.21731,645107,42459,54074,033
Total OI1,078,668.043907,7692,041,0721,013,0671,020,498

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-03-01$33.67$36.0022.3%5.3%10.2%4.8%21.2%0.8%-1.3%-2.6M144.9M-4.1M0.2649.2647,37412,166675,418337,649
2021-03-02$33.61$36.0021.6%5.6%10.2%3.5%22.1%1.1%-0.3%-473.0K159.1M-4.0M0.4651.2221,6889,957697,346343,787
2021-03-03$34.40$36.0022.9%6.5%11.3%5.7%22.1%0.7%0.4%12.5M-12.0M-4.3M0.3356.6570,83723,426704,544348,316
2021-03-04$34.09$35.0024.9%7.0%11.6%9.2%25.2%5.5%-4.7%12.5M-3.3M-4.6M0.3743.5662,92123,509726,565353,755
2021-03-05$34.39$35.0027.7%6.7%12.1%14.1%24.0%0.5%0.2%19.5M-7.5M-4.4M0.373.4639,70414,700728,189358,158
2021-03-08$34.47$35.0023.0%6.4%12.2%5.9%22.5%1.6%0.8%9.4M-6.4M-4.4M0.302.8541,61112,605684,659341,273
2021-03-09$34.50$35.0022.4%6.6%12.1%4.9%23.3%1.2%0.8%12.4M-34.9M-4.3M0.424.6823,3229,773701,903346,448
2021-03-10$34.91$35.0021.6%6.3%12.7%3.6%23.1%2.4%0.8%19.2M-99.4M-4.5M0.373.3233,08912,208705,803347,878
2021-03-11$34.67$35.0021.1%6.0%12.6%2.6%22.5%0.6%0.1%18.7M-52.6M-4.3M0.543.4229,25615,668715,609349,214
2021-03-12$34.93$35.0020.8%6.0%12.6%2.2%21.5%2.0%0.1%38.6M-77.3M-4.4M0.8311.3231,30026,034725,552360,787
2021-03-15$35.34$35.0020.8%6.0%13.2%2.0%21.6%0.3%2.0%13.9M-129.9M-4.4M0.353.1140,74614,457689,382349,650
2021-03-16$35.80$35.0020.0%5.7%13.8%0.7%20.5%0.5%0.7%21.4M-238.5M-4.3M0.272.3145,79012,144706,466355,257
2021-03-17$35.85$35.0019.8%5.7%13.8%0.4%20.3%0.7%1.0%23.1M-274.2M-4.4M0.404.2057,09822,765721,028360,110
2021-03-18$35.76$35.0020.5%5.9%13.6%1.7%21.3%1.3%0.5%26.4M-282.0M-4.6M0.546.0223,31512,641747,472374,514
2021-03-19$35.60$35.0019.5%5.6%13.6%0.0%20.0%0.4%0.9%45.4M-339.3M-8.2M0.4917.7769,53333,7411,429,840611,232
2021-03-22$35.95$35.0017.6%5.0%13.7%0.0%17.8%1.6%0.2%39.2M-325.2M-4.4M0.632.7461,61538,597572,309335,460
2021-03-23$35.34$35.0020.7%5.3%14.7%6.4%19.0%-0.9%-4.2%31.7M-192.3M-4.5M0.463.9373,80833,616599,214354,752
2021-03-24$35.66$35.0018.3%5.2%14.8%1.4%18.2%21.6%-2.1%42.9M-284.4M-4.8M0.386.5550,81419,136621,984375,261
2021-03-25$35.75$35.0018.9%5.4%14.6%2.7%19.1%1.6%0.3%42.5M-295.5M-4.7M0.282.7452,79114,646629,199382,807
2021-03-26$36.15$35.0017.6%5.2%14.7%0.0%18.2%1.7%0.9%59.1M-422.2M-4.7M0.412.6961,69725,421640,639390,137
2021-03-29$36.66$35.0018.1%5.1%15.1%1.0%18.5%0.8%2.2%38.0M-469.8M-4.7M0.477.0862,40229,622602,318378,420
2021-03-30$36.09$35.0017.9%5.1%16.6%0.6%18.1%1.1%2.6%32.0M-350.8M-4.6M0.533.1734,04318,169619,161389,402
2021-03-31$36.26$35.0017.6%4.9%14.9%0.0%17.5%1.3%3.5%39.8M-386.1M-4.4M0.672.6644,45429,579625,047395,451