PFE Options History — February 2022

In February 2022, PFE traded between $45.80 and $54.04. ATM implied volatility averaged 32.7%, placing in the 67.6% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 6.3% (HV 20d: 26.3%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.97.

Notable Days

2022-02-08: Highest Volume — 387,763 contracts
2022-02-08: Largest IV drop — 28.3% change
2022-02-07: Highest IV Rank — 100.0%
2022-02-01: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.11	$45.80	$54.04	$53.05	$46.67
Max Pain	$51.84	$50.00	$55.00	$55.00	$50.00
ATM IV	32.7%	28.6%	40.3%	36.4%	32.5%
Expected Move	9.5%	8.3%	11.4%	11.4%	9.8%
HV 20d	26.3%	21.7%	30.0%	30.0%	27.1%
HV 60d	37.1%	35.2%	43.0%	43.0%	35.9%
IV Rank	67.6%	50.0%	100.0%	84.4%	66.8%
IV Percentile	81.1%	71.0%	100.0%	94.0%	78.2%
Term Structure	-0.3%	-1.9%	0.6%	-0.3%	-0.3%
VWIV	34.2%	30.8%	40.7%	40.7%	36.0%
Skew 25d	2.7%	0.2%	4.8%	1.4%	4.3%
Skew 10d	6.3%	-0.4%	12.6%	3.2%	8.9%
Call IV 25d	32.5%	28.7%	41.1%	36.6%	31.9%
Put IV 25d	35.2%	30.1%	41.3%	38.0%	36.2%
Bid-Ask Spread %	3.33	2.29	4.84	2.70	4.03
Gamma HHI	0.10	0.07	0.16	0.14	0.07
Net GEX	16.2M	-25.4M	69.1M	50.4M	-8.1M
Net DEX	-435.4M	-1.83B	696.3M	-1.45B	424.7M
Net VEX	-14.3M	-16.0M	-12.4M	-15.8M	-12.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.35	1.89	0.60	1.89
Total Volume	153,056.474	80,206	387,763	89,170	89,542
Total OI	2,139,106.158	1,935,395	2,324,457	2,042,912	1,985,053

Daily Data (19 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
2022-02-01	$53.05	$55.00	36.4%	11.4%	30.0%	84.4%	40.7%	1.4%	-0.3%	50.4M	-1.45B	-15.8M	0.60	2.70	55,810	33,360	1,206,978	835,934
2022-02-02	$54.04	$55.00	35.6%	11.3%	28.0%	81.1%	40.1%	1.7%	-0.5%	69.1M	-1.83B	-15.6M	0.35	2.99	87,708	30,465	1,220,841	841,775
2022-02-03	$53.31	$50.00	36.9%	10.1%	26.7%	86.9%	35.1%	1.8%	-1.1%	63.7M	-1.59B	-15.8M	0.63	4.39	49,165	31,041	1,242,360	847,567
2022-02-04	$53.16	$50.00	38.1%	10.3%	26.3%	91.8%	35.6%	1.8%	-1.4%	53.4M	-1.53B	-15.9M	0.55	3.57	136,709	75,213	1,248,525	854,132
2022-02-07	$53.01	$52.50	40.3%	10.9%	25.9%	100.0%	40.3%	0.2%	-1.9%	53.0M	-1.50B	-16.0M	0.55	3.47	229,667	125,977	1,248,425	869,179
2022-02-08	$51.51	$52.50	28.9%	8.3%	27.2%	51.2%	31.0%	1.5%	-0.1%	34.3M	-774.4M	-15.0M	0.64	2.29	236,533	151,230	1,336,848	926,464
2022-02-09	$51.39	$52.50	28.6%	8.3%	26.9%	50.0%	30.9%	1.4%	0.1%	31.0M	-744.8M	-14.7M	0.54	3.42	100,418	54,520	1,338,226	940,955
2022-02-10	$50.52	$52.50	29.0%	8.5%	27.1%	51.9%	31.2%	1.8%	0.6%	10.0M	-380.0M	-14.3M	0.78	3.41	67,434	52,331	1,354,407	946,478
2022-02-11	$50.62	$52.50	30.9%	8.9%	26.8%	59.7%	32.5%	2.3%	0.6%	10.4M	-387.7M	-14.6M	1.05	3.35	81,634	85,726	1,362,263	962,194
2022-02-14	$49.74	$52.50	32.5%	9.3%	27.1%	66.9%	34.6%	3.8%	-0.4%	4.8M	-149.1M	-14.1M	1.38	3.09	72,535	100,377	1,252,992	915,888
2022-02-15	$49.58	$52.50	29.0%	8.3%	26.6%	51.6%	31.4%	2.3%	0.4%	-3.0M	-88.8M	-14.0M	1.58	2.80	46,681	73,730	1,257,685	948,960
2022-02-16	$49.83	$52.50	29.5%	8.5%	26.8%	54.0%	30.8%	3.3%	0.2%	206.2K	-158.5M	-13.8M	0.87	2.77	69,297	60,545	1,264,757	973,713
2022-02-17	$49.00	$52.50	31.7%	9.1%	26.6%	63.5%	32.6%	4.2%	-0.9%	-13.5M	125.7M	-13.8M	0.96	3.01	50,337	48,261	1,277,131	986,982
2022-02-18	$48.68	$52.50	31.2%	9.0%	25.9%	61.2%	30.8%	3.2%	-0.2%	1.1M	245.7M	-13.7M	1.38	2.65	56,778	78,124	1,287,220	996,504
2022-02-22	$47.59	$50.00	32.3%	9.4%	24.3%	65.9%	34.4%	3.6%	-0.1%	-9.5M	238.5M	-13.2M	0.96	3.38	56,628	54,158	1,051,256	884,139
2022-02-23	$46.89	$50.00	32.9%	9.7%	21.7%	68.4%	35.0%	4.5%	-0.4%	-13.6M	429.6M	-13.0M	1.10	3.45	46,415	51,269	1,063,525	896,495
2022-02-24	$45.80	$50.00	32.9%	9.7%	22.1%	68.4%	34.9%	4.2%	-0.2%	-25.4M	696.3M	-12.4M	1.66	3.64	59,474	98,443	1,077,798	914,263
2022-02-25	$47.74	$50.00	31.2%	9.1%	26.9%	61.0%	31.9%	4.8%	0.1%	-515.2K	144.1M	-13.3M	0.97	4.84	56,147	54,391	1,088,790	936,315
2022-02-28	$46.67	$50.00	32.5%	9.8%	27.1%	66.8%	36.0%	4.3%	-0.3%	-8.1M	424.7M	-12.5M	1.89	4.03	30,988	58,554	1,060,630	924,423