PFE Options History — October 2021

In October 2021, PFE traded between $41.34 and $43.73. ATM implied volatility averaged 26.4%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 12.3% (HV 20d: 14.2%). Max pain ranged from $44.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.34.

Notable Days

  • 2021-10-29: Highest Volume — 228,216 contracts
  • 2021-10-04: Largest IV spike — 11.6% change
  • 2021-10-29: Highest IV Rank — 29.0%
  • 2021-10-29: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.47$41.34$43.73$42.94$43.67
Max Pain$44.19$44.00$45.00$45.00$44.00
ATM IV26.4%24.1%29.7%25.3%29.7%
Expected Move7.6%6.9%9.5%7.1%9.5%
HV 20d14.2%11.7%16.7%13.4%16.7%
HV 60d25.0%23.0%26.0%25.5%23.2%
IV Rank21.7%16.4%29.0%19.1%29.0%
IV Percentile65.0%54.4%79.8%59.9%79.8%
Term Structure-0.6%-2.4%4.2%4.2%-1.5%
VWIV27.2%24.0%34.0%25.2%34.0%
Skew 25d1.1%-1.5%3.6%1.9%-1.5%
Skew 10d0.7%-5.7%5.1%4.2%-5.7%
Call IV 25d26.4%23.7%31.8%23.7%31.8%
Put IV 25d27.5%25.3%31.1%25.6%30.3%
Bid-Ask Spread %2.922.363.793.793.10
Gamma HHI0.080.070.100.070.09
Net GEX37.3M219.3K99.6M8.8M75.2M
Net DEX-394.9M-1.42B309.5M21.1M-1.42B
Net VEX-11.0M-12.9M-7.4M-8.1M-12.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.170.720.560.17
Total Volume114,919.23855,927228,216146,909228,216
Total OI2,260,977.191,886,7612,494,4911,969,8862,423,382

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-10-01$42.94$45.0025.3%7.1%13.4%19.1%25.2%1.9%4.2%8.8M21.1M-8.1M0.563.7994,07852,8311,339,471630,415
2021-10-04$42.59$45.0028.3%7.9%13.2%25.8%27.8%3.0%-2.4%4.4M107.2M-7.9M0.403.1581,81132,7131,276,493610,268
2021-10-05$42.35$44.0027.6%7.6%13.2%24.2%26.5%2.4%-0.8%1.4M184.0M-7.7M0.322.5356,61718,2551,301,929618,373
2021-10-06$41.95$44.0028.3%7.6%13.3%25.9%26.8%3.6%1.2%1.0M309.5M-7.4M0.402.3658,83123,6851,325,652628,426
2021-10-07$42.70$44.0026.7%7.2%15.5%22.2%25.0%1.5%-1.1%29.2M-344.2M-12.1M0.233.7476,98317,7941,643,539803,973
2021-10-08$42.45$44.0026.7%7.3%15.4%22.2%25.2%2.3%-1.3%34.8M-257.9M-12.0M0.422.7741,42717,6051,648,483802,014
2021-10-11$42.11$44.0026.3%7.4%13.1%21.4%27.9%2.1%-0.2%7.8M-132.6M-11.4M0.722.3853,44038,6131,614,583777,953
2021-10-12$41.67$44.0025.9%7.4%13.0%20.4%26.5%2.6%-0.3%627.7K40.1M-11.2M0.292.7743,45012,4771,623,353781,885
2021-10-13$41.48$45.0026.7%7.5%12.7%22.2%25.8%2.0%-0.7%219.3K141.1M-11.0M0.312.4886,03826,7361,641,538796,835
2021-10-14$41.60$45.0025.0%6.9%12.9%18.3%24.6%1.2%-0.7%2.7M77.4M-11.0M0.382.7444,00416,7291,661,591801,833
2021-10-15$41.45$44.0024.1%6.9%12.0%16.4%24.0%1.4%-0.5%29.0M105.0M-11.0M0.423.0359,11224,9101,691,682802,809
2021-10-18$41.34$44.0024.4%6.9%11.7%17.0%26.4%1.4%-0.8%26.1M-160.2M-10.8M0.382.8075,18728,9271,396,479688,100
2021-10-19$42.03$44.0024.7%7.0%13.6%17.7%25.0%1.1%-1.3%39.4M-416.4M-11.1M0.242.5293,74422,4901,413,828692,989
2021-10-20$42.74$44.0025.6%7.3%15.2%19.7%26.1%0.0%-1.1%64.5M-751.8M-11.8M0.273.06142,69839,0491,475,344725,811
2021-10-21$42.80$44.0025.9%7.5%15.0%20.4%26.7%0.3%-1.5%69.5M-793.9M-12.1M0.262.9290,50923,0771,512,490740,759
2021-10-22$43.10$44.0025.2%7.4%15.3%18.8%26.6%0.6%-2.1%63.6M-982.5M-12.2M0.363.05100,14936,3601,536,966748,732
2021-10-25$43.04$44.0026.0%7.9%14.9%20.6%27.6%-0.3%-0.7%66.4M-838.5M-12.2M0.253.3287,11722,1871,519,670745,973
2021-10-26$43.73$44.0027.0%8.5%15.5%22.8%30.3%-0.5%1.0%83.2M-1.23B-12.6M0.202.79115,82623,2131,555,143755,206
2021-10-27$42.97$44.0028.0%8.6%16.4%25.2%31.0%-1.1%-0.9%75.8M-898.4M-12.4M0.273.05131,64334,9331,570,591759,751
2021-10-28$43.10$44.0028.2%8.9%16.1%25.6%31.8%-1.2%-0.9%99.6M-1.06B-12.8M0.222.91114,52225,3181,621,215774,994
2021-10-29$43.67$44.0029.7%9.5%16.7%29.0%34.0%-1.5%-1.5%75.2M-1.42B-12.9M0.173.10195,05933,1571,643,862779,520