PFE Options History — December 2021

In December 2021, PFE traded between $51.45 and $61.35. ATM implied volatility averaged 35.2%, placing in the 63.6% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 9.4% (HV 20d: 44.6%). Max pain ranged from $43.00 to $48.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.38.

Notable Days

2021-12-16: Highest Volume — 667,687 contracts
2021-12-21: Largest IV drop — 10.0% change
2021-12-16: Highest IV Rank — 92.6%
2021-12-03: Largest Expected Move — 13.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$56.46	$51.45	$61.35	$55.00	$59.20
Max Pain	$44.82	$43.00	$48.00	$47.00	$48.00
ATM IV	35.2%	31.1%	40.0%	37.9%	33.5%
Expected Move	10.0%	8.3%	13.0%	11.8%	9.2%
HV 20d	44.6%	37.2%	50.9%	48.9%	42.9%
HV 60d	37.0%	32.4%	39.8%	32.4%	39.7%
IV Rank	63.6%	34.6%	92.6%	47.6%	72.1%
IV Percentile	94.6%	86.5%	99.2%	96.4%	91.7%
Term Structure	-0.2%	-2.8%	1.9%	-1.4%	-0.6%
VWIV	36.2%	31.2%	46.5%	41.5%	32.8%
Skew 25d	-1.9%	-5.3%	0.3%	-5.3%	-1.3%
Skew 10d	-4.0%	-8.8%	0.2%	-8.8%	-3.7%
Call IV 25d	37.2%	31.9%	44.4%	41.6%	34.8%
Put IV 25d	35.4%	31.0%	40.9%	36.4%	33.6%
Bid-Ask Spread %	8.76	3.34	12.81	3.73	6.90
Gamma HHI	0.15	0.11	0.19	0.15	0.14
Net GEX	112.2M	88.7M	150.4M	146.1M	100.7M
Net DEX	-5.08B	-7.94B	-3.54B	-5.69B	-5.02B
Net VEX	-15.0M	-16.9M	-13.2M	-16.0M	-14.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.38	0.22	0.58	0.22	0.34
Total Volume	366,550.091	181,778	667,687	378,915	332,655
Total OI	2,747,394.682	2,344,219	2,980,995	2,847,161	2,654,872

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
2021-12-01	$55.00	$47.00	37.9%	11.8%	48.9%	47.6%	41.5%	-5.3%	-1.4%	146.1M	-5.69B	-16.0M	0.22	3.73	309,454	69,461	1,795,704	1,051,457
2021-12-02	$53.07	$47.00	37.5%	11.8%	50.9%	46.6%	42.7%	-4.1%	-0.1%	115.6M	-4.55B	-16.5M	0.36	3.34	211,149	76,485	1,811,239	1,075,395
2021-12-03	$54.18	$47.00	40.0%	13.0%	49.6%	52.3%	46.5%	-3.5%	-1.6%	113.9M	-5.21B	-16.9M	0.36	5.28	231,275	83,270	1,854,400	1,078,640
2021-12-06	$51.47	$43.00	39.3%	10.7%	40.5%	50.7%	38.6%	0.3%	-2.8%	93.2M	-3.54B	-16.6M	0.43	11.28	242,659	105,261	1,746,855	1,029,720
2021-12-07	$51.67	$43.00	36.3%	9.9%	40.5%	44.0%	35.7%	-1.2%	-1.1%	101.5M	-3.69B	-16.2M	0.51	12.72	176,148	89,814	1,798,786	1,053,889
2021-12-08	$51.45	$43.00	34.1%	9.7%	39.4%	39.1%	35.3%	-0.3%	0.7%	105.1M	-3.57B	-16.1M	0.56	10.94	150,217	83,465	1,834,188	1,069,061
2021-12-09	$52.07	$43.00	34.4%	9.8%	37.9%	39.6%	35.2%	-0.8%	0.9%	127.0M	-3.95B	-16.3M	0.25	11.34	171,633	43,294	1,863,896	1,101,339
2021-12-10	$52.73	$43.00	32.0%	9.2%	37.2%	34.6%	32.6%	-0.4%	0.1%	113.0M	-4.38B	-15.5M	0.30	11.14	139,469	42,309	1,865,019	1,108,453
2021-12-13	$55.11	$43.00	33.6%	9.4%	39.7%	49.5%	34.1%	-1.9%	-0.5%	139.4M	-5.59B	-14.7M	0.24	11.53	331,405	80,050	1,755,724	1,066,188
2021-12-14	$55.58	$43.00	33.6%	9.4%	39.7%	72.3%	33.6%	-1.5%	-0.7%	150.4M	-5.79B	-14.5M	0.34	11.55	219,412	73,612	1,768,956	1,083,492
2021-12-15	$58.57	$44.00	36.0%	10.2%	43.0%	82.7%	36.2%	-3.4%	-0.3%	137.7M	-7.16B	-14.1M	0.36	11.40	463,205	166,326	1,766,284	1,094,256
2021-12-16	$61.35	$44.00	38.3%	10.6%	44.9%	92.6%	39.0%	-3.2%	-1.6%	121.8M	-7.94B	-13.2M	0.31	12.81	508,845	158,842	1,729,905	1,153,612
2021-12-17	$59.39	$44.00	35.1%	9.8%	47.2%	78.9%	35.5%	-1.9%	-1.4%	94.2M	-6.93B	-14.0M	0.43	11.27	360,261	153,555	1,771,715	1,209,280
2021-12-20	$60.95	$45.00	38.2%	10.9%	46.9%	92.5%	39.2%	-3.2%	0.6%	98.4M	-5.73B	-14.1M	0.38	6.65	329,169	124,761	1,431,445	912,774
2021-12-21	$58.76	$45.00	34.4%	9.8%	49.6%	76.0%	35.5%	-2.4%	1.8%	88.7M	-4.82B	-14.6M	0.41	6.85	426,414	174,630	1,495,473	962,548
2021-12-22	$59.55	$45.00	35.9%	10.3%	49.5%	82.6%	37.1%	-2.2%	1.5%	123.9M	-5.27B	-14.9M	0.33	6.69	480,510	156,525	1,580,704	981,151
2021-12-23	$58.82	$45.00	34.7%	9.9%	49.8%	77.3%	35.6%	-1.1%	1.9%	96.2M	-4.84B	-15.1M	0.47	6.78	273,623	128,624	1,620,476	1,035,502
2021-12-27	$59.09	$46.00	33.1%	9.0%	46.3%	70.3%	32.8%	-1.0%	1.5%	103.8M	-4.82B	-14.5M	0.40	6.73	133,069	52,888	1,501,057	995,497
2021-12-28	$58.03	$46.00	33.0%	8.9%	45.8%	70.0%	32.6%	-1.0%	-0.8%	91.9M	-4.38B	-14.4M	0.41	9.22	198,644	81,827	1,528,284	1,012,647
2021-12-29	$57.59	$46.00	31.1%	8.3%	45.7%	61.7%	31.2%	-0.9%	0.1%	93.7M	-4.20B	-14.2M	0.46	7.30	141,279	65,381	1,564,812	1,021,200
2021-12-30	$58.50	$46.00	32.3%	8.8%	45.3%	66.7%	32.4%	-1.3%	-0.2%	112.5M	-4.66B	-14.3M	0.58	7.31	140,891	82,336	1,581,038	1,025,750
2021-12-31	$59.20	$48.00	33.5%	9.2%	42.9%	72.1%	32.8%	-1.3%	-0.6%	100.7M	-5.02B	-14.1M	0.34	6.90	248,086	84,569	1,591,449	1,063,423