PFE Options History — July 2021

In July 2021, PFE traded between $39.15 and $43.65. ATM implied volatility averaged 20.5%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 5.7% (HV 20d: 14.9%). Max pain ranged from $39.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2021-07-28: Highest Volume — 1,385,640 contracts
  • 2021-07-28: Largest IV drop — 11.2% change
  • 2021-07-19: Highest IV Rank — 12.5%
  • 2021-07-02: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.72$39.15$43.65$39.47$42.73
Max Pain$39.24$39.00$42.00$39.00$42.00
ATM IV20.5%16.9%22.5%21.5%17.5%
Expected Move5.8%4.4%8.4%4.4%4.9%
HV 20d14.9%11.6%19.4%17.3%19.4%
HV 60d16.7%15.5%17.4%17.3%17.4%
IV Rank8.0%0.0%12.5%10.2%1.3%
IV Percentile22.7%0.0%42.1%26.6%3.6%
Term Structure-0.4%-1.6%0.5%-1.6%0.0%
VWIV20.0%15.1%22.8%16.4%17.8%
Skew 25d0.9%-0.7%1.8%1.1%0.6%
Skew 10d1.0%-1.8%4.2%1.2%0.5%
Call IV 25d20.5%17.0%22.1%20.8%18.1%
Put IV 25d21.4%18.7%23.3%21.9%18.7%
Bid-Ask Spread %7.412.4342.2531.887.84
Gamma HHI0.120.110.140.130.11
Net GEX55.3M26.0M98.8M41.2M56.9M
Net DEX-798.3M-1.70B-308.6M-461.4M-751.9M
Net VEX-4.5M-5.1M-4.0M-4.4M-5.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.070.850.580.58
Total Volume170,086.85745,1361,385,64054,993167,791
Total OI1,119,995.857945,1291,208,7901,138,2801,178,404

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-07-01$39.47$39.0021.5%4.4%17.3%10.2%16.4%1.1%-1.6%41.2M-461.4M-4.4M0.5831.8834,88920,104665,428472,852
2021-07-02$39.76$39.0020.1%8.4%17.3%7.0%15.1%1.3%-0.5%44.1M-583.2M-4.3M0.8542.2537,78732,307675,458482,288
2021-07-06$39.34$39.0021.1%5.6%17.8%9.4%19.5%1.7%-0.5%32.1M-395.8M-4.2M0.832.4336,34630,035653,202432,689
2021-07-07$39.31$39.0020.8%5.6%17.6%8.5%21.4%1.5%-0.1%30.8M-389.1M-4.2M0.453.3044,71119,985664,961449,719
2021-07-08$39.15$40.0021.6%5.9%15.3%10.4%20.4%1.0%-1.2%26.0M-308.6M-4.3M0.422.6437,27215,672684,453460,139
2021-07-09$39.66$39.0021.0%5.7%14.2%9.0%20.2%0.9%-1.4%37.7M-564.9M-4.5M0.302.4566,25519,703701,890464,530
2021-07-12$39.86$39.0020.7%5.6%13.8%8.4%20.5%0.4%-0.2%43.2M-612.4M-4.3M0.332.5663,26820,671687,272438,316
2021-07-13$39.72$39.0020.0%5.6%12.9%6.8%19.6%0.7%-0.2%40.4M-548.2M-4.1M0.582.4831,87918,481703,859448,199
2021-07-14$39.94$39.0019.3%5.5%13.1%5.2%19.5%1.1%-0.1%50.4M-674.3M-4.4M0.312.9739,38212,120725,064453,018
2021-07-15$40.08$39.0019.5%5.6%12.9%5.5%19.8%0.7%0.1%55.2M-699.5M-4.5M0.384.0832,65912,477735,989457,894
2021-07-16$40.26$39.0020.8%5.7%12.9%8.5%19.7%0.4%-1.2%50.9M-771.7M-4.6M0.183.6984,07015,284745,404463,386
2021-07-19$40.00$39.0022.5%6.4%11.6%12.5%22.2%1.6%-0.9%46.5M-570.7M-4.6M0.363.0694,57434,481588,299356,830
2021-07-20$41.09$39.0021.9%6.2%14.0%11.1%22.2%1.0%-0.5%65.6M-933.0M-4.6M0.373.71223,67981,722618,838375,639
2021-07-21$41.01$39.0021.9%6.3%14.0%11.1%22.1%0.7%0.0%64.4M-863.8M-4.5M0.573.2882,01546,606652,024411,984
2021-07-22$41.50$39.0021.9%6.3%13.1%11.0%22.5%0.8%-0.3%80.9M-1.05B-5.0M0.263.0977,71620,297678,392434,391
2021-07-23$41.76$39.0021.7%6.3%13.2%10.7%22.3%0.5%-0.2%68.8M-1.18B-5.0M0.273.78100,01326,845690,879444,225
2021-07-26$41.84$39.0021.2%6.3%12.9%9.6%22.8%0.8%-0.2%68.6M-1.06B-4.6M0.303.6677,72523,522643,609404,468
2021-07-27$42.11$39.0020.8%6.0%12.9%8.5%21.5%0.2%-0.1%74.5M-1.17B-4.5M0.4120.11127,80352,704663,517413,462
2021-07-28$43.65$39.0018.4%5.1%17.0%3.2%16.7%-0.7%0.4%83.4M-1.70B-4.0M0.073.381,289,51896,122688,405421,789
2021-07-29$42.78$40.0016.9%4.8%19.3%0.0%18.0%1.8%0.5%98.8M-1.47B-5.0M0.583.02141,30182,033734,478454,270
2021-07-30$42.73$42.0017.5%4.9%19.4%1.3%17.8%0.6%0.0%56.9M-751.9M-5.1M0.587.84106,22061,571675,736502,668