PFE Options History — November 2021

In November 2021, PFE traded between $43.65 and $53.91. ATM implied volatility averaged 29.4%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 11.0% (HV 20d: 40.4%). Max pain ranged from $44.00 to $47.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.29.

Notable Days

  • 2021-11-05: Highest Volume — 1,250,288 contracts
  • 2021-11-05: Largest IV spike — 30.0% change
  • 2021-11-30: Highest IV Rank — 47.1%
  • 2021-11-30: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.37$43.65$53.91$43.71$53.69
Max Pain$44.95$44.00$47.00$44.00$47.00
ATM IV29.4%23.3%37.7%31.1%37.7%
Expected Move8.6%6.5%11.6%10.2%11.6%
HV 20d40.4%16.3%49.5%16.3%49.5%
HV 60d28.9%21.4%32.1%23.2%32.1%
IV Rank28.3%14.4%47.1%32.3%47.1%
IV Percentile79.6%49.6%96.4%86.1%96.4%
Term Structure0.1%-1.6%1.8%-1.1%-0.5%
VWIV31.5%22.5%41.6%36.7%41.6%
Skew 25d-3.8%-8.0%0.1%-2.5%-5.3%
Skew 10d-8.2%-15.0%-3.0%-5.8%-11.3%
Call IV 25d32.8%23.9%41.7%32.5%41.7%
Put IV 25d29.0%22.7%36.4%30.1%36.4%
Bid-Ask Spread %3.072.025.092.932.81
Gamma HHI0.120.090.170.090.14
Net GEX133.6M69.2M169.6M82.8M126.2M
Net DEX-3.74B-5.61B-834.7M-1.36B-4.98B
Net VEX-15.2M-16.4M-12.8M-13.3M-16.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.070.430.430.26
Total Volume432,490.095113,3121,250,288297,717409,772
Total OI2,689,144.2382,410,8622,945,8832,410,8622,784,668

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$43.71$44.0031.1%10.2%16.3%32.3%36.7%-2.5%-1.1%82.8M-1.36B-13.3M0.432.93207,86689,8511,637,275773,587
2021-11-02$45.29$44.0025.0%7.3%20.1%18.4%28.1%-1.9%-0.8%145.7M-2.36B-13.0M0.214.21579,238119,7321,726,856828,003
2021-11-03$44.68$44.0023.5%6.5%20.5%14.9%22.5%-1.6%0.7%118.6M-1.78B-12.8M0.073.48729,66449,5441,747,179861,339
2021-11-04$43.65$44.0023.3%7.0%21.8%14.4%24.6%0.1%0.5%69.2M-834.7M-13.5M0.413.01243,650101,0591,698,038864,368
2021-11-05$48.47$45.0030.2%8.5%42.6%30.2%31.2%-6.8%-1.6%121.2M-3.89B-14.7M0.194.231,052,760197,5281,742,773894,448
2021-11-08$48.45$45.0028.7%8.4%42.3%26.8%30.7%-2.7%0.8%140.5M-3.43B-15.3M0.322.93281,68790,9731,729,347862,642
2021-11-09$47.30$45.0028.3%8.2%43.3%25.8%29.8%-1.7%-0.0%128.5M-2.76B-15.5M0.373.74190,83270,4311,761,470887,254
2021-11-10$48.95$45.0028.9%8.3%44.2%27.3%29.5%-2.6%0.3%156.1M-3.75B-15.6M0.312.67361,257113,7351,782,519902,386
2021-11-11$50.17$45.0029.9%8.6%44.5%29.6%31.1%-3.0%0.3%169.6M-4.49B-15.8M0.252.38392,77897,1021,824,936956,852
2021-11-12$49.75$45.0027.8%8.0%44.7%24.8%29.1%-1.7%-0.1%131.4M-4.06B-15.8M0.392.32167,56665,0371,838,064994,025
2021-11-15$49.69$45.0027.9%8.0%44.7%24.8%29.0%-3.4%-0.0%130.6M-3.86B-15.2M0.282.34128,95136,1091,736,854953,309
2021-11-16$49.85$45.0027.7%8.0%44.6%24.5%28.6%-4.6%0.0%146.4M-4.00B-15.2M0.282.27283,25878,1341,765,053961,212
2021-11-17$50.97$45.0029.8%8.5%44.8%29.2%33.0%-7.8%0.8%164.3M-4.84B-15.5M0.172.16325,97856,9011,833,103987,478
2021-11-18$51.52$45.0030.4%8.6%44.7%30.7%33.6%-8.0%1.6%159.7M-5.18B-15.6M0.222.02273,09260,2351,878,0901,014,592
2021-11-19$50.73$45.0030.9%8.9%45.6%31.8%34.6%-7.4%-0.5%119.3M-4.71B-16.4M0.222.71400,73088,5931,911,8931,033,990
2021-11-22$51.32$45.0029.6%8.7%45.5%28.9%31.8%-4.9%-0.0%140.9M-4.20B-15.9M0.333.21186,68860,9591,684,317899,346
2021-11-23$51.21$45.0029.1%8.4%45.5%27.8%30.5%-3.4%0.4%146.6M-4.12B-16.0M0.263.11139,29036,5101,738,268926,905
2021-11-24$50.94$45.0028.8%8.3%44.8%27.1%30.3%-2.2%-0.3%144.7M-3.92B-15.9M0.433.0079,07234,2401,740,920937,681
2021-11-26$53.91$45.0034.0%10.0%47.9%38.8%36.1%-4.8%-0.9%143.2M-5.61B-15.7M0.265.09549,007142,4721,755,117948,120
2021-11-29$52.62$46.0034.4%10.8%49.5%39.6%38.9%-4.5%1.8%119.6M-4.50B-15.7M0.413.82362,876147,1351,698,215969,537
2021-11-30$53.69$47.0037.7%11.6%49.5%47.1%41.6%-5.3%-0.5%126.2M-4.98B-16.3M0.262.81324,48685,2861,758,1261,026,542