PFE Options History — April 2021

In April 2021, PFE traded between $35.92 and $39.61. ATM implied volatility averaged 21.5%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 5.9% (HV 20d: 15.6%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.33.

Notable Days

  • 2021-04-16: Highest Volume — 244,384 contracts
  • 2021-04-05: Largest IV spike — 63.8% change
  • 2021-04-05: Highest IV Rank — 25.1%
  • 2021-04-28: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.74$35.92$39.61$36.25$38.57
Max Pain$36.33$35.00$37.00$35.00$37.00
ATM IV21.5%17.3%28.2%17.3%21.7%
Expected Move6.0%4.6%6.9%4.6%6.7%
HV 20d15.6%14.1%17.7%14.3%16.6%
HV 60d15.2%14.4%16.6%15.1%14.4%
IV Rank9.7%0.0%25.1%0.0%10.1%
IV Percentile13.1%0.0%42.5%0.0%13.5%
Term Structure-0.9%-3.0%4.9%4.9%-2.6%
VWIV21.3%16.1%24.4%16.1%24.0%
Skew 25d0.5%-1.3%3.6%1.1%0.1%
Skew 10d1.2%-5.2%21.7%2.7%-5.2%
Call IV 25d21.2%16.9%23.0%16.9%22.6%
Put IV 25d21.6%18.1%23.3%18.1%22.6%
Bid-Ask Spread %8.103.4918.603.493.64
Gamma HHI0.140.100.230.130.10
Net GEX47.5M20.5M78.3M29.1M39.2M
Net DEX-605.6M-1.11B-243.9M-370.5M-551.5M
Net VEX-4.5M-8.4M-3.9M-4.1M-4.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.190.560.300.36
Total Volume84,646.1931,773244,38454,00753,063
Total OI1,069,907.095930,8461,658,1291,050,0441,069,830

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-04-01$36.25$35.0017.3%4.6%14.3%0.0%16.1%1.1%4.9%29.1M-370.5M-4.1M0.303.4941,42712,580634,762415,282
2021-04-05$36.27$36.0028.2%5.7%14.1%25.1%20.2%-0.7%0.3%27.8M-335.6M-4.4M0.566.9027,72715,644605,296396,492
2021-04-06$36.06$36.0020.0%5.7%14.4%6.3%19.9%1.3%-0.8%31.7M-271.8M-4.1M0.204.0443,9028,853626,811404,386
2021-04-07$35.92$36.0020.1%5.5%14.6%6.5%19.5%0.8%-0.6%20.5M-248.8M-4.2M0.424.3929,28612,177631,688408,256
2021-04-08$35.92$36.0019.9%5.1%14.1%5.9%18.3%2.5%-2.3%25.3M-243.9M-4.3M0.385.7522,9958,778639,307415,121
2021-04-09$36.58$36.0019.1%5.5%15.0%4.1%19.8%1.4%-1.4%66.3M-532.5M-4.4M0.2414.67101,10824,024645,734418,588
2021-04-12$36.98$36.0021.7%5.9%15.2%10.1%20.7%3.6%-0.0%48.1M-598.3M-4.2M0.2915.8375,05722,026631,437404,557
2021-04-13$37.11$36.0021.8%5.8%14.8%10.5%20.2%0.8%-2.2%78.3M-1.05B-8.4M0.3518.15109,99638,9391,075,746582,383
2021-04-14$37.10$36.0021.0%5.7%14.3%8.5%20.2%1.0%-1.2%63.9M-666.1M-4.4M0.406.5044,21117,582673,759425,308
2021-04-15$37.67$36.0021.2%5.7%15.1%8.9%20.1%0.1%-1.9%66.7M-858.8M-4.1M0.237.7486,90419,559681,840431,927
2021-04-16$38.51$36.0020.9%5.8%16.4%8.4%20.5%0.1%-1.3%48.8M-1.11B-4.1M0.1912.88205,85138,533691,348438,913
2021-04-19$38.91$36.0021.3%6.1%16.3%9.2%22.2%0.2%-0.8%51.6M-719.2M-4.0M0.337.7985,24928,001587,868342,978
2021-04-20$39.02$36.0022.8%6.3%16.2%12.7%22.2%-0.1%0.3%55.1M-745.6M-4.5M0.3018.6073,46721,859617,233357,373
2021-04-21$39.61$37.0022.4%6.4%14.5%11.6%22.7%-0.6%-1.0%59.6M-870.7M-4.4M0.305.3381,10024,144627,182366,991
2021-04-22$38.73$37.0022.4%6.5%17.6%11.7%23.0%-0.2%-1.0%47.4M-608.2M-3.9M0.357.6283,05828,873643,531378,415
2021-04-23$38.69$37.0022.1%6.4%17.7%11.1%22.5%-0.7%-0.6%46.6M-632.4M-4.5M0.326.5957,41118,287670,222386,750
2021-04-26$38.66$37.0022.2%6.5%17.5%11.3%23.6%-0.0%-2.6%50.7M-604.7M-4.4M0.465.4644,78720,789639,974364,833
2021-04-27$38.51$37.0021.5%6.7%17.2%9.7%24.4%0.4%-0.9%46.5M-526.9M-4.6M0.435.9237,30415,968651,964380,087
2021-04-28$38.91$37.0022.4%6.9%16.0%11.9%24.3%-1.3%-0.6%53.7M-644.3M-4.8M0.303.6635,96310,657657,168388,445
2021-04-29$38.57$37.0021.9%6.6%16.6%10.7%23.4%0.1%-3.0%41.4M-526.0M-4.3M0.295.0839,14311,288663,240395,024
2021-04-30$38.57$37.0021.7%6.7%16.6%10.1%24.0%0.1%-2.6%39.2M-551.5M-4.0M0.363.6438,97914,084670,615399,215