PFE Options History — March 2022

In March 2022, PFE traded between $45.54 and $54.47. ATM implied volatility averaged 30.9%, placing in the 59.8% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 1.4% (HV 20d: 32.3%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.79.

Notable Days

2022-03-14: Highest Volume — 250,834 contracts
2022-03-17: Largest IV drop — 11.7% change
2022-03-07: Highest IV Rank — 81.9%
2022-03-07: Largest Expected Move — 11.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.09	$45.54	$54.47	$45.54	$51.98
Max Pain	$50.00	$50.00	$50.00	$50.00	$50.00
ATM IV	30.9%	26.2%	36.1%	35.6%	26.4%
Expected Move	9.4%	8.2%	11.3%	10.9%	8.3%
HV 20d	32.3%	24.2%	36.2%	26.9%	24.5%
HV 60d	32.7%	28.4%	36.5%	35.5%	28.4%
IV Rank	59.8%	39.9%	81.9%	80.1%	40.7%
IV Percentile	69.6%	50.0%	91.7%	89.3%	50.8%
Term Structure	0.5%	-0.7%	3.5%	-0.2%	3.5%
VWIV	33.6%	29.3%	39.9%	39.9%	30.6%
Skew 25d	3.4%	1.9%	5.1%	5.1%	2.5%
Skew 10d	7.5%	3.9%	12.3%	12.3%	6.2%
Call IV 25d	30.4%	25.7%	35.0%	34.7%	25.7%
Put IV 25d	33.7%	28.2%	39.7%	39.7%	28.2%
Bid-Ask Spread %	4.45	2.65	7.21	3.69	2.65
Gamma HHI	0.09	0.06	0.15	0.06	0.08
Net GEX	31.7M	-14.6M	69.4M	-14.6M	26.6M
Net DEX	-955.1M	-2.29B	719.0M	719.0M	-959.3M
Net VEX	-13.2M	-14.0M	-12.5M	-12.5M	-12.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.29	1.44	1.44	0.52
Total Volume	120,530.696	59,963	250,834	78,451	78,378
Total OI	1,999,655.217	1,733,666	2,236,998	2,008,871	1,871,584

Daily Data (23 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
2022-03-01	$45.54	$50.00	35.6%	10.9%	26.9%	80.1%	39.9%	5.1%	-0.2%	-14.6M	719.0M	-12.5M	1.44	3.69	32,202	46,249	1,069,281	939,590
2022-03-02	$47.65	$50.00	33.0%	9.7%	32.4%	68.8%	33.7%	3.5%	-0.4%	-1.7M	173.3M	-13.1M	0.69	2.91	80,543	55,377	1,073,140	952,028
2022-03-03	$47.77	$50.00	34.0%	9.9%	31.4%	73.0%	37.8%	4.5%	0.3%	3.1M	68.5M	-13.1M	1.11	3.77	42,985	47,812	1,103,725	972,345
2022-03-04	$48.56	$50.00	34.3%	10.3%	32.2%	74.3%	36.2%	4.2%	-0.4%	24.0M	-195.7M	-13.4M	0.90	4.27	63,377	56,949	1,111,270	980,719
2022-03-07	$47.95	$50.00	36.1%	11.3%	32.3%	81.9%	39.7%	4.6%	0.8%	6.4M	27.5M	-13.4M	1.22	3.44	34,813	42,377	1,084,452	965,426
2022-03-08	$47.63	$50.00	35.3%	11.2%	32.3%	78.5%	39.6%	4.1%	0.2%	3.9M	130.5M	-13.0M	1.39	3.37	38,169	52,904	1,091,418	978,533
2022-03-09	$49.08	$50.00	32.9%	10.0%	33.4%	68.6%	33.8%	3.9%	-0.5%	19.8M	-326.3M	-13.1M	0.98	4.41	104,335	101,794	1,099,496	992,359
2022-03-10	$49.17	$50.00	32.7%	9.8%	33.4%	67.7%	34.5%	3.3%	-0.4%	22.8M	-446.0M	-13.5M	0.84	3.48	33,815	28,428	1,105,380	1,009,434
2022-03-11	$50.32	$50.00	32.9%	9.8%	34.1%	68.5%	35.4%	4.0%	-0.1%	26.5M	-917.1M	-13.4M	0.58	3.06	104,566	60,213	1,110,149	1,020,551
2022-03-14	$52.07	$50.00	35.3%	9.9%	36.2%	78.5%	35.0%	3.3%	-0.7%	40.7M	-1.45B	-14.0M	0.29	4.41	194,912	55,922	1,106,158	1,011,643
2022-03-15	$52.23	$50.00	34.6%	9.8%	35.5%	75.5%	35.0%	3.7%	-0.5%	47.1M	-1.55B	-13.7M	0.53	6.23	88,821	46,963	1,142,205	1,028,787
2022-03-16	$52.86	$50.00	32.7%	9.5%	35.6%	67.7%	32.6%	4.0%	-0.6%	54.4M	-1.82B	-13.6M	0.69	7.21	113,555	77,940	1,154,014	1,040,405
2022-03-17	$53.99	$50.00	28.9%	8.8%	36.2%	51.4%	31.6%	3.3%	0.4%	69.4M	-2.18B	-13.8M	0.45	6.86	133,743	60,029	1,172,247	1,047,768
2022-03-18	$54.27	$50.00	27.7%	8.4%	35.3%	46.0%	30.6%	2.5%	0.2%	44.4M	-2.29B	-13.0M	0.59	6.81	98,188	57,635	1,171,118	1,065,880
2022-03-21	$54.47	$50.00	27.9%	8.4%	35.1%	47.2%	30.1%	3.0%	0.8%	54.3M	-1.84B	-13.2M	0.79	5.51	65,878	52,090	902,451	831,215
2022-03-22	$53.20	$50.00	27.8%	8.7%	35.2%	46.4%	31.9%	2.5%	0.2%	46.9M	-1.46B	-13.3M	1.02	6.56	59,751	61,161	925,905	851,567
2022-03-23	$52.33	$50.00	28.5%	8.7%	35.3%	49.6%	30.9%	3.2%	0.2%	40.1M	-1.19B	-13.2M	1.08	3.01	29,993	32,295	942,914	883,954
2022-03-24	$52.60	$50.00	27.1%	8.6%	33.6%	43.6%	31.1%	2.7%	0.3%	43.2M	-1.27B	-13.2M	0.54	6.61	38,921	21,042	947,593	891,353
2022-03-25	$52.79	$50.00	26.9%	8.7%	31.0%	42.9%	31.6%	2.1%	0.1%	49.9M	-1.31B	-13.4M	0.70	4.18	55,442	38,729	955,006	895,915
2022-03-28	$53.26	$50.00	27.3%	8.7%	29.3%	44.4%	31.6%	2.9%	3.2%	45.7M	-1.43B	-12.8M	0.54	3.32	63,443	34,286	920,084	887,237
2022-03-29	$52.94	$50.00	26.3%	8.4%	27.3%	40.4%	31.1%	1.9%	2.8%	44.3M	-1.34B	-12.9M	0.68	3.21	54,195	37,019	932,868	895,196
2022-03-30	$52.30	$50.00	26.2%	8.2%	24.2%	39.9%	29.3%	2.5%	2.9%	32.9M	-1.11B	-12.6M	0.70	3.29	56,004	38,963	946,180	911,527
2022-03-31	$51.98	$50.00	26.4%	8.3%	24.5%	40.7%	30.6%	2.5%	3.5%	26.6M	-959.3M	-12.9M	0.52	2.65	51,714	26,664	954,503	917,081