PFE Options History — September 2021

In September 2021, PFE traded between $43.11 and $46.84. ATM implied volatility averaged 23.8%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 1.3% (HV 20d: 22.6%). Max pain ranged from $43.00 to $47.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.41.

Notable Days

  • 2021-09-17: Highest Volume — 317,319 contracts
  • 2021-09-20: Largest IV spike — 12.6% change
  • 2021-09-20: Highest IV Rank — 23.9%
  • 2021-09-20: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.77$43.11$46.84$45.93$43.12
Max Pain$45.95$43.00$47.00$43.00$45.00
ATM IV23.8%21.6%27.4%24.1%24.5%
Expected Move6.8%6.1%8.0%6.6%7.1%
HV 20d22.6%14.9%34.0%33.7%15.4%
HV 60d25.3%24.8%25.6%25.6%25.5%
IV Rank15.7%10.6%23.9%16.4%17.2%
IV Percentile48.9%32.1%63.1%49.2%56.3%
Term Structure0.9%-0.3%4.6%0.3%4.0%
VWIV25.0%21.8%29.0%23.9%24.5%
Skew 25d1.1%-1.5%2.7%0.0%2.6%
Skew 10d1.6%-3.8%5.2%-1.5%4.1%
Call IV 25d24.3%21.2%27.1%25.0%23.6%
Put IV 25d25.4%23.0%29.8%25.0%26.2%
Bid-Ask Spread %3.082.407.442.402.97
Gamma HHI0.100.070.250.080.07
Net GEX44.1M12.8M93.3M50.7M13.7M
Net DEX-732.1M-1.89B-27.6M-1.23B-39.3M
Net VEX-8.9M-10.1M-7.9M-9.8M-8.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.210.890.420.37
Total Volume163,024.66755,765317,319214,72755,765
Total OI2,274,890.191,784,4642,693,9892,622,6151,946,814

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$45.93$43.0024.1%6.6%33.7%16.4%23.9%0.0%0.3%50.7M-1.23B-9.8M0.422.40151,50863,2191,787,986834,629
2021-09-02$46.72$47.0024.2%7.0%34.0%16.6%25.5%-0.5%0.4%87.5M-1.72B-10.0M0.212.66169,87035,8271,795,788849,281
2021-09-03$46.84$47.0023.9%7.0%34.0%15.9%25.7%-1.5%0.1%93.3M-1.89B-10.1M0.232.86220,30450,1781,833,188860,801
2021-09-07$46.65$47.0024.3%7.0%33.4%16.8%25.8%-1.4%0.1%69.8M-1.71B-9.5M0.322.42156,46749,3521,665,807795,864
2021-09-08$46.42$47.0024.0%6.8%28.7%16.0%25.1%-0.8%-0.2%75.5M-1.62B-9.6M0.412.7591,40637,1221,708,462809,612
2021-09-09$46.01$47.0023.7%6.7%25.9%15.4%25.4%-0.5%-0.2%63.9M-1.33B-9.4M0.252.82123,40530,4501,742,256832,293
2021-09-10$45.58$47.0023.5%6.7%25.2%14.9%25.2%0.3%-0.3%23.3M-1.07B-9.3M0.412.8092,88137,8491,754,250848,812
2021-09-13$44.43$47.0024.5%7.0%24.6%17.2%25.3%1.5%0.7%44.5M-540.1M-8.8M0.562.43139,18277,3061,654,361798,593
2021-09-14$44.69$47.0024.3%7.0%24.5%16.7%24.7%0.9%0.1%47.3M-681.9M-8.7M0.342.4988,46429,9491,669,702806,697
2021-09-15$44.85$47.0023.1%6.6%21.1%14.0%23.8%0.9%-0.0%45.1M-799.7M-8.4M0.652.71100,79665,8211,694,890828,004
2021-09-16$44.52$46.0023.2%6.6%20.6%14.3%24.3%1.5%0.4%47.4M-634.2M-8.5M0.592.83101,58560,2291,707,162830,653
2021-09-17$43.83$46.0024.4%7.0%20.9%17.0%25.8%2.6%0.0%72.4M-302.3M-8.7M0.897.44167,609149,7101,729,366845,992
2021-09-20$44.05$46.0027.4%8.0%21.2%23.9%29.0%2.7%0.2%24.2M-307.3M-8.8M0.473.26168,75378,5601,219,652564,812
2021-09-21$44.00$46.0025.5%7.5%18.7%19.6%27.9%2.1%0.4%22.2M-276.8M-8.7M0.233.25104,45524,5461,247,952592,585
2021-09-22$44.00$45.0023.4%6.6%16.1%14.7%24.3%1.7%0.8%27.6M-255.5M-8.6M0.483.3883,47340,1541,298,681616,373
2021-09-23$44.24$45.0022.2%6.3%15.5%12.0%22.7%2.0%1.6%38.1M-347.9M-8.4M0.263.4695,21025,0821,317,507619,590
2021-09-24$44.03$45.0021.6%6.1%15.4%10.6%21.8%1.8%0.6%29.8M-278.7M-8.4M0.282.92106,52029,5901,335,037637,689
2021-09-27$43.59$45.0021.7%6.2%14.9%10.9%22.0%1.8%3.5%16.1M-127.7M-7.9M0.462.6271,49533,1111,259,960604,511
2021-09-28$43.11$45.0023.9%7.0%15.0%16.0%25.1%2.5%4.6%12.8M-27.6M-8.3M0.413.1388,81336,8491,289,257611,008
2021-09-29$43.52$45.0023.3%7.0%15.2%14.6%26.5%2.0%2.7%21.5M-185.2M-8.6M0.403.0664,66725,9861,307,502619,315
2021-09-30$43.12$45.0024.5%7.1%15.4%17.2%24.5%2.6%4.0%13.7M-39.3M-8.1M0.372.9740,74415,0211,321,766625,048