PFE Options History — January 2022

In January 2022, PFE traded between $51.14 and $56.64. ATM implied volatility averaged 36.4%, placing in the 84.7% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 0.6% (HV 20d: 37.0%). Max pain ranged from $48.00 to $55.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.62.

Notable Days

2022-01-04: Highest Volume — 345,472 contracts
2022-01-21: Largest IV spike — 6.8% change
2022-01-24: Highest IV Rank — 98.4%
2022-01-24: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$54.45	$51.14	$56.64	$56.64	$52.66
Max Pain	$50.45	$48.00	$55.00	$48.00	$55.00
ATM IV	36.4%	33.8%	39.6%	34.8%	38.2%
Expected Move	10.7%	9.5%	12.4%	9.8%	11.9%
HV 20d	37.0%	28.5%	46.0%	46.0%	33.0%
HV 60d	42.4%	40.9%	43.5%	40.9%	43.3%
IV Rank	84.7%	73.4%	98.4%	77.8%	92.5%
IV Percentile	95.4%	89.7%	99.6%	94.8%	97.2%
Term Structure	-0.3%	-1.8%	1.8%	1.4%	-0.9%
VWIV	38.3%	34.1%	44.5%	35.4%	42.9%
Skew 25d	0.8%	-0.9%	4.4%	-0.8%	1.1%
Skew 10d	0.7%	-3.2%	6.6%	-3.2%	2.0%
Call IV 25d	37.2%	34.5%	39.9%	36.0%	38.1%
Put IV 25d	38.0%	34.5%	43.7%	35.2%	39.2%
Bid-Ask Spread %	4.12	2.31	8.43	6.96	3.54
Gamma HHI	0.16	0.12	0.56	0.13	0.15
Net GEX	45.6M	-123.2M	83.6M	72.7M	44.5M
Net DEX	-2.50B	-3.66B	-908.6M	-3.65B	-1.33B
Net VEX	-14.3M	-15.7M	-13.5M	-14.5M	-15.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.31	1.33	0.37	0.55
Total Volume	192,427.15	120,789	345,472	272,394	176,877
Total OI	2,381,540.8	1,821,249	2,651,030	2,486,290	1,976,401

Daily Data (20 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
2022-01-03	$56.64	$48.00	34.8%	9.8%	46.0%	77.8%	35.4%	-0.8%	1.4%	72.7M	-3.65B	-14.5M	0.37	6.96	199,280	73,114	1,483,658	1,002,632
2022-01-04	$54.53	$48.00	34.9%	9.9%	44.1%	78.3%	35.3%	-0.6%	1.7%	54.2M	-2.78B	-14.6M	0.43	7.15	241,879	103,593	1,516,950	1,027,239
2022-01-05	$55.88	$48.00	35.5%	10.0%	44.8%	80.9%	35.6%	-0.8%	1.7%	79.8M	-3.39B	-14.9M	0.42	5.02	171,475	71,330	1,557,818	1,045,108
2022-01-06	$55.09	$50.00	35.1%	10.4%	45.2%	78.8%	37.5%	0.2%	1.6%	66.5M	-2.99B	-14.9M	0.51	2.75	104,333	52,731	1,574,944	1,060,211
2022-01-07	$55.67	$50.00	35.8%	10.5%	45.1%	82.1%	37.6%	-0.3%	1.8%	65.5M	-3.26B	-14.8M	0.45	2.75	102,837	45,986	1,582,726	1,068,304
2022-01-10	$56.08	$50.00	36.8%	10.6%	45.0%	86.1%	38.3%	-0.9%	-0.7%	70.2M	-3.46B	-14.4M	0.37	3.37	104,286	38,574	1,485,417	1,036,376
2022-01-11	$56.55	$50.00	34.9%	9.9%	42.4%	78.3%	35.6%	-0.6%	-0.5%	79.3M	-3.66B	-13.8M	0.31	4.83	119,605	37,586	1,498,096	1,046,089
2022-01-12	$56.53	$50.00	33.8%	9.5%	42.3%	73.4%	34.1%	0.0%	-1.0%	83.6M	-3.65B	-13.5M	0.40	2.31	86,174	34,615	1,512,081	1,055,333
2022-01-13	$55.44	$50.00	34.2%	9.6%	38.2%	75.1%	35.0%	0.4%	-0.7%	61.3M	-3.11B	-13.7M	0.49	2.42	100,021	49,194	1,523,645	1,065,507
2022-01-14	$55.03	$50.00	34.5%	9.7%	33.5%	76.5%	35.5%	1.3%	-1.1%	53.7M	-2.93B	-13.7M	0.94	3.91	91,982	86,175	1,537,209	1,070,523
2022-01-18	$53.96	$50.00	36.0%	10.3%	32.4%	82.9%	37.4%	0.2%	-0.9%	37.3M	-2.49B	-13.6M	0.67	2.37	77,387	51,596	1,482,182	1,051,398
2022-01-19	$53.59	$50.00	35.8%	10.3%	30.3%	81.8%	36.5%	0.4%	-1.8%	28.1M	-2.17B	-13.5M	0.93	3.87	62,527	58,440	1,474,089	1,065,409
2022-01-20	$54.13	$50.00	35.7%	10.3%	28.6%	81.5%	38.0%	0.3%	-1.8%	32.5M	-2.33B	-13.5M	0.70	2.96	93,381	65,710	1,477,873	1,084,272
2022-01-21	$52.94	$50.00	38.1%	11.1%	28.5%	91.9%	39.9%	0.7%	-1.5%	-123.2M	-1.78B	-13.8M	1.26	4.92	117,518	147,651	1,495,079	1,095,789
2022-01-24	$51.14	$50.00	39.6%	12.4%	30.3%	98.4%	44.5%	4.4%	0.7%	21.4M	-908.6M	-14.0M	1.33	8.43	129,797	172,382	1,095,772	725,477
2022-01-25	$52.55	$50.00	39.3%	12.0%	32.4%	97.0%	42.1%	2.3%	-0.9%	31.1M	-1.35B	-14.4M	0.58	4.96	109,572	63,458	1,133,458	774,602
2022-01-26	$52.83	$50.00	38.9%	11.8%	32.3%	95.4%	41.1%	2.8%	-0.9%	36.0M	-1.48B	-14.5M	0.35	3.59	187,132	65,160	1,169,768	788,458
2022-01-27	$53.71	$55.00	38.7%	12.0%	33.1%	94.5%	42.6%	3.4%	-0.9%	53.1M	-1.62B	-15.4M	0.62	3.38	105,883	65,866	1,163,758	815,303
2022-01-28	$54.09	$55.00	37.7%	11.4%	32.6%	90.1%	40.5%	2.7%	-1.4%	64.6M	-1.74B	-15.6M	0.70	2.97	107,960	75,476	1,185,079	826,783
2022-01-31	$52.66	$55.00	38.2%	11.9%	33.0%	92.5%	42.9%	1.1%	-0.9%	44.5M	-1.33B	-15.7M	0.55	3.54	114,307	62,570	1,168,260	808,141