PFE Options History — May 2021

In May 2021, PFE traded between $38.66 and $40.19. ATM implied volatility averaged 20.3%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.1% (HV 20d: 19.2%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.51.

Notable Days

  • 2021-05-05: Highest Volume — 898,926 contracts
  • 2021-05-04: Largest IV drop — 38.8% change
  • 2021-05-03: Highest IV Rank — 29.2%
  • 2021-05-26: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.66$38.66$40.19$39.75$38.75
Max Pain$37.60$37.00$39.00$37.00$39.00
ATM IV20.3%17.3%30.0%30.0%17.5%
Expected Move6.0%4.6%8.4%7.7%4.6%
HV 20d19.2%17.6%21.1%19.1%18.5%
HV 60d16.3%15.5%17.0%15.6%16.4%
IV Rank7.0%0.1%29.2%29.2%0.5%
IV Percentile12.1%0.4%60.7%60.7%1.2%
Term Structure-1.6%-30.3%11.6%-10.5%0.6%
VWIV22.6%15.2%40.8%27.5%15.7%
Skew 25d-0.4%-15.8%3.8%1.8%1.7%
Skew 10d3.0%-14.8%13.3%-14.8%5.5%
Call IV 25d20.3%13.5%35.7%21.5%16.9%
Put IV 25d19.8%13.5%25.3%23.3%18.6%
Bid-Ask Spread %60.162.9190.9510.2746.58
Gamma HHI0.160.080.490.110.11
Net GEX50.5M7.9M106.2M51.4M27.0M
Net DEX-498.6M-894.5M-132.9M-786.5M-216.4M
Net VEX-4.6M-5.0M-4.0M-4.2M-4.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.290.950.400.46
Total Volume144,73933,601898,926267,66274,335
Total OI1,128,709949,4551,266,4901,003,6771,045,397

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-05-03$39.75$37.0030.0%7.7%19.1%29.2%27.5%1.8%-10.5%51.4M-786.5M-4.2M0.4010.27191,25676,406626,429377,248
2021-05-04$39.83$38.5018.4%5.6%18.8%2.6%19.9%-3.1%0.4%88.9M-894.5M-4.0M0.332.91193,85564,423713,131438,672
2021-05-05$39.85$38.5022.7%6.5%18.6%12.4%22.0%0.5%-3.1%78.8M-887.2M-4.7M0.2916.88696,188202,738742,447460,198
2021-05-06$39.15$38.0020.2%5.7%20.2%6.7%23.4%0.8%2.2%7.9M-132.9M-4.6M0.9585.31152,852144,685677,315521,573
2021-05-07$39.64$37.0019.0%5.9%19.8%4.0%20.6%0.3%1.6%46.3M-449.9M-4.9M0.3582.7193,79332,847731,326535,164
2021-05-10$40.01$37.0019.5%6.0%19.7%5.1%28.8%2.0%9.7%59.0M-555.6M-4.6M0.5387.5671,85937,968669,493459,743
2021-05-11$39.34$37.0020.7%6.5%21.1%7.9%19.4%1.6%5.6%38.1M-334.7M-4.8M0.8080.9954,16743,164683,755475,721
2021-05-12$39.66$37.0022.9%5.2%21.1%13.0%20.5%2.8%1.1%50.1M-450.0M-4.9M0.5690.9549,60427,582698,977482,351
2021-05-13$40.19$37.0020.7%5.4%21.0%8.0%15.2%1.1%-6.3%68.0M-643.9M-4.9M0.4985.0856,64127,717704,882492,590
2021-05-14$40.09$37.0019.6%6.0%19.8%5.4%27.5%1.1%11.6%71.7M-583.8M-4.9M0.2982.5962,99318,143705,324499,345
2021-05-17$40.14$37.0017.7%4.9%19.6%1.0%19.6%1.4%4.0%55.6M-579.2M-5.0M0.3281.4125,9818,208672,403463,523
2021-05-18$40.16$37.0020.2%5.9%19.6%6.8%26.6%-4.3%-7.0%59.4M-584.7M-4.6M0.3850.2424,3869,215679,582466,888
2021-05-19$39.75$37.0022.6%6.5%19.3%12.3%30.7%-10.2%-14.4%46.8M-434.9M-4.7M0.9378.7757,07652,894684,126468,402
2021-05-20$40.15$37.0017.8%5.0%17.6%1.3%21.3%3.8%1.1%61.2M-705.2M-4.6M0.6870.2031,71221,512721,984502,251
2021-05-21$39.97$37.0024.6%7.8%17.7%16.7%40.8%-15.8%-30.3%106.2M-615.9M-4.6M0.4168.7353,86822,244721,347510,086
2021-05-24$39.85$37.0020.3%7.7%17.8%6.9%18.3%1.8%0.2%32.5M-400.8M-4.4M0.7435.5224,88718,370578,358371,097
2021-05-25$39.38$39.0017.4%4.9%18.3%0.2%16.8%1.3%0.2%24.1M-306.0M-4.5M0.4242.8139,17416,607589,084382,436
2021-05-26$38.90$39.0017.3%8.4%18.6%0.1%17.2%1.9%0.5%17.4M-230.7M-4.2M0.4164.4942,68917,439603,764391,827
2021-05-27$38.66$39.0017.5%4.6%18.5%0.7%19.4%1.4%0.8%19.9M-178.2M-4.2M0.4339.1738,59416,708625,653400,288
2021-05-28$38.75$39.0017.5%4.6%18.5%0.5%15.7%1.7%0.6%27.0M-216.4M-4.3M0.4646.5850,93123,404638,163407,234