PFE Options History — August 2021

In August 2021, PFE traded between $43.97 and $50.23. ATM implied volatility averaged 27.2%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 3.1% (HV 20d: 30.4%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.26.

Notable Days

2021-08-18: Highest Volume — 1,287,712 contracts
2021-08-10: Largest IV spike — 23.7% change
2021-08-23: Highest IV Rank — 43.9%
2021-08-23: Largest Expected Move — 10.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.26	$43.97	$50.23	$43.97	$46.02
Max Pain	$42.73	$42.00	$43.00	$42.00	$43.00
ATM IV	27.2%	19.1%	36.3%	19.1%	24.0%
Expected Move	7.8%	5.4%	10.8%	5.4%	6.6%
HV 20d	30.4%	21.2%	36.9%	21.2%	33.7%
HV 60d	22.3%	17.8%	25.6%	17.8%	25.6%
IV Rank	23.4%	5.0%	43.9%	5.0%	16.1%
IV Percentile	58.9%	14.3%	86.9%	14.3%	48.4%
Term Structure	-0.0%	-1.4%	1.3%	-0.4%	0.5%
VWIV	29.5%	19.5%	42.1%	19.5%	24.9%
Skew 25d	-3.3%	-7.1%	0.3%	0.1%	0.3%
Skew 10d	-7.6%	-16.0%	1.3%	1.3%	-0.6%
Call IV 25d	30.4%	19.7%	41.1%	19.7%	24.6%
Put IV 25d	27.1%	19.9%	35.8%	19.9%	24.9%
Bid-Ask Spread %	3.64	2.02	16.65	2.56	2.65
Gamma HHI	0.13	0.09	0.37	0.12	0.09
Net GEX	98.0M	49.7M	170.2M	79.2M	49.7M
Net DEX	-2.35B	-3.73B	-1.20B	-1.20B	-1.22B
Net VEX	-8.9M	-11.2M	-5.4M	-5.4M	-10.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.26	0.14	0.41	0.34	0.25
Total Volume	537,478.773	185,087	1,287,712	298,714	282,281
Total OI	2,020,789.318	1,131,422	2,796,188	1,131,422	2,559,902

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-08-02	$43.97	$42.00	19.1%	5.4%	21.2%	5.0%	19.5%	0.1%	-0.4%	79.2M	-1.20B	-5.4M	0.34	2.56	223,450	75,264	653,025	478,397
2021-08-03	$45.44	$42.00	22.2%	6.5%	22.6%	12.0%	24.2%	-4.1%	0.5%	68.4M	-1.75B	-5.5M	0.23	5.60	466,663	107,995	691,459	502,502
2021-08-04	$45.38	$42.00	23.4%	6.8%	22.6%	14.7%	25.9%	-3.6%	-0.5%	78.9M	-1.79B	-6.3M	0.22	2.50	491,461	109,717	749,673	532,507
2021-08-05	$45.02	$42.00	22.0%	6.1%	22.9%	11.5%	23.3%	-2.9%	-0.5%	107.4M	-1.71B	-7.0M	0.26	2.36	239,390	61,626	910,958	582,191
2021-08-06	$45.00	$42.00	21.1%	6.0%	22.9%	9.5%	22.2%	-2.3%	-0.5%	170.2M	-1.76B	-7.4M	0.25	2.27	147,950	37,137	1,085,471	632,632
2021-08-09	$45.91	$42.00	22.1%	6.4%	23.4%	11.8%	23.9%	-2.7%	1.2%	101.1M	-1.95B	-7.5M	0.17	2.14	241,638	42,254	1,033,155	575,544
2021-08-10	$48.10	$43.00	27.3%	7.5%	26.9%	23.6%	27.5%	-5.1%	-0.8%	99.4M	-2.93B	-7.3M	0.14	3.81	891,763	128,450	1,079,070	587,776
2021-08-11	$46.41	$43.00	25.9%	7.5%	31.4%	20.4%	28.6%	-2.4%	0.9%	126.4M	-2.38B	-8.1M	0.39	2.83	345,437	134,581	1,169,797	611,063
2021-08-12	$47.23	$43.00	26.5%	7.6%	31.5%	21.8%	28.0%	-2.6%	0.7%	112.7M	-2.61B	-8.4M	0.25	2.27	296,438	73,901	1,280,963	670,160
2021-08-13	$48.38	$43.00	27.5%	7.9%	32.0%	23.9%	28.7%	-4.1%	0.2%	141.3M	-3.22B	-8.7M	0.17	2.02	417,304	70,549	1,352,590	691,842
2021-08-16	$48.75	$43.00	28.4%	8.1%	31.4%	26.2%	29.3%	-5.1%	-0.0%	116.5M	-3.18B	-8.5M	0.23	2.33	405,578	92,531	1,264,375	644,422
2021-08-17	$50.23	$43.00	33.2%	9.5%	31.7%	37.0%	35.6%	-6.0%	-0.3%	112.3M	-3.73B	-9.0M	0.21	4.19	861,442	182,753	1,290,273	670,086
2021-08-18	$49.33	$43.00	35.3%	10.1%	33.0%	41.6%	39.9%	-4.3%	1.2%	126.0M	-3.42B	-10.2M	0.26	3.88	1,019,585	268,127	1,390,207	706,865
2021-08-19	$48.90	$43.00	33.5%	9.6%	33.6%	37.6%	36.3%	-4.3%	-0.7%	121.7M	-3.17B	-10.6M	0.39	3.03	538,881	209,375	1,528,919	788,095
2021-08-20	$48.91	$43.00	31.2%	8.9%	33.7%	32.3%	34.1%	-4.8%	-0.3%	93.9M	-3.06B	-10.8M	0.31	2.42	319,909	100,063	1,697,846	865,275
2021-08-23	$49.99	$43.00	36.3%	10.8%	33.9%	43.9%	42.1%	-7.1%	-1.4%	100.9M	-3.14B	-11.2M	0.17	2.54	884,984	150,928	1,498,491	740,015
2021-08-24	$48.41	$43.00	32.6%	9.6%	36.9%	35.5%	37.1%	-3.8%	-1.0%	85.9M	-2.42B	-11.0M	0.27	2.69	464,280	127,485	1,557,147	760,651
2021-08-25	$47.45	$43.00	29.1%	8.5%	36.5%	27.8%	32.1%	-3.0%	-0.4%	64.6M	-1.93B	-11.1M	0.32	4.12	340,661	109,824	1,773,717	827,139
2021-08-26	$47.43	$43.00	27.9%	8.0%	35.4%	24.9%	30.8%	-1.7%	1.3%	66.8M	-1.92B	-11.0M	0.21	3.25	248,693	52,475	1,868,244	856,016
2021-08-27	$46.66	$43.00	25.9%	7.3%	36.1%	20.4%	28.5%	-1.2%	0.0%	63.6M	-1.49B	-10.7M	0.41	4.09	218,091	90,359	1,926,827	869,361
2021-08-30	$46.70	$43.00	24.9%	6.9%	35.0%	18.2%	26.0%	-1.1%	-0.4%	68.4M	-1.66B	-10.1M	0.29	16.65	196,114	57,146	1,709,775	792,942
2021-08-31	$46.02	$43.00	24.0%	6.6%	33.7%	16.1%	24.9%	0.3%	0.5%	49.7M	-1.22B	-10.0M	0.25	2.65	225,501	56,780	1,742,641	817,261