PFE Options History — June 2021

In June 2021, PFE traded between $38.51 and $40.58. ATM implied volatility averaged 18.4%, placing in the 3.1% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 2.3% (HV 20d: 16.1%). Max pain ranged from $38.50 to $39.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.69.

Notable Days

  • 2021-06-10: Highest Volume — 190,783 contracts
  • 2021-06-16: Largest IV drop — 17.7% change
  • 2021-06-30: Highest IV Rank — 10.5%
  • 2021-06-11: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.29$38.51$40.58$38.51$39.15
Max Pain$38.98$38.50$39.00$39.00$39.00
ATM IV18.4%17.0%21.6%18.3%21.6%
Expected Move5.1%4.2%7.3%4.9%4.5%
HV 20d16.1%12.8%18.0%14.8%17.1%
HV 60d17.1%16.3%17.7%16.4%17.3%
IV Rank3.1%0.0%10.5%2.3%10.5%
IV Percentile8.1%0.0%27.0%4.8%27.0%
Term Structure0.5%-21.9%28.8%-1.5%-0.4%
VWIV16.9%14.3%19.1%19.1%16.2%
Skew 25d1.2%-2.3%3.4%2.2%1.7%
Skew 10d1.5%-12.9%9.6%9.6%2.0%
Call IV 25d18.3%16.3%21.2%18.0%20.9%
Put IV 25d19.5%17.2%22.5%20.1%22.5%
Bid-Ask Spread %43.876.2067.8260.7914.22
Gamma HHI0.110.080.150.080.10
Net GEX18.2M-9.4M52.6M13.6M21.9M
Net DEX-372.8M-765.9M-112.2M-162.2M-334.6M
Net VEX-4.7M-8.3M-4.0M-4.2M-4.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.281.320.510.36
Total Volume73,060.04537,682190,78351,08939,846
Total OI1,121,682.182991,5831,652,895991,5831,123,394

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-06-01$38.51$39.0018.3%4.9%14.8%2.3%19.1%2.2%-1.5%13.6M-162.2M-4.2M0.5160.7933,83717,252601,788389,795
2021-06-02$38.74$38.5017.7%5.2%15.0%1.1%18.3%2.5%0.6%17.8M-217.3M-4.2M0.3363.4932,20410,506617,584398,080
2021-06-03$38.97$39.0017.6%4.7%15.2%0.7%14.8%3.4%-0.1%27.8M-292.0M-4.2M0.5632.3029,71816,710623,621402,952
2021-06-04$39.18$39.0017.2%5.0%14.0%0.0%17.7%2.0%-0.5%22.5M-336.3M-4.2M0.2861.8954,73615,300632,139409,532
2021-06-07$39.06$39.0017.0%4.6%13.3%0.0%14.4%1.6%-6.9%21.6M-313.3M-4.0M0.4951.5339,68919,382600,247391,878
2021-06-08$38.83$39.0017.2%4.8%12.8%0.3%14.3%1.2%-5.9%14.3M-252.9M-4.1M0.4137.6736,76415,033614,666402,656
2021-06-09$39.78$39.0017.2%5.9%14.5%0.4%16.8%1.1%17.1%39.6M-508.1M-4.3M0.4856.9965,82131,295627,691413,760
2021-06-10$40.58$39.0017.4%4.9%15.8%0.9%15.8%1.9%-5.7%52.6M-765.9M-4.4M0.7467.82109,77081,013637,053427,453
2021-06-11$40.12$39.0020.1%7.3%15.8%6.9%17.8%0.8%28.8%31.6M-551.1M-4.3M0.5753.5846,16426,161655,707473,323
2021-06-14$39.56$39.0019.3%5.7%16.5%5.2%18.3%-0.7%-17.0%20.2M-391.0M-4.6M1.1462.4639,30144,989627,810415,855
2021-06-15$39.57$39.0021.4%6.3%16.5%9.9%16.5%1.4%-21.9%15.4M-389.5M-4.4M0.9653.0419,23418,448634,036441,488
2021-06-16$39.34$39.0017.6%5.0%16.6%1.3%18.3%-2.3%2.1%4.6M-283.7M-4.5M1.0667.7732,58634,564637,732449,934
2021-06-17$39.48$39.0017.6%5.0%16.3%1.3%18.0%-0.5%0.5%-2.9M-323.3M-4.3M0.6752.8532,65021,821649,951483,347
2021-06-18$38.84$39.0018.2%5.1%16.7%2.6%17.0%0.9%5.7%3.3M-112.2M-4.2M1.3147.5550,12865,456661,562494,822
2021-06-21$39.42$39.0017.8%4.9%17.7%1.7%17.2%1.7%2.8%11.1M-343.7M-4.3M0.5427.3648,32826,093591,739445,861
2021-06-22$39.65$39.0017.5%4.7%17.8%1.0%16.7%1.5%2.3%23.2M-428.3M-4.3M0.5934.2734,85620,496612,708460,298
2021-06-23$39.10$39.0017.6%5.0%18.0%1.3%17.7%1.4%3.3%12.6M-599.7M-8.3M1.136.4459,16267,097961,812662,053
2021-06-24$39.23$39.0017.8%4.5%17.5%1.8%16.2%1.2%3.3%-1.6M-307.6M-4.6M0.9743.3135,38734,335638,453489,671
2021-06-25$39.08$39.0017.9%4.4%17.4%2.1%17.3%0.8%4.0%-9.4M-278.4M-4.2M1.3233.6535,78947,247650,691488,233
2021-06-28$39.17$39.0020.1%4.2%17.4%7.0%16.4%1.6%-0.5%20.4M-328.9M-4.2M0.4530.0535,32015,990628,237454,501
2021-06-29$39.06$39.0021.0%4.8%17.2%8.9%17.4%2.1%-0.3%39.8M-682.6M-8.2M0.426.2047,17319,6701,003,089649,806
2021-06-30$39.15$39.0021.6%4.5%17.1%10.5%16.2%1.7%-0.4%21.9M-334.6M-4.3M0.3614.2229,23910,607654,847468,547