PFE Options History — July 2022

In July 2022, PFE traded between $50.54 and $53.36. ATM implied volatility averaged 29.9%, placing in the 55.6% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 1.1% (HV 20d: 28.8%). Max pain ranged from $50.00 to $52.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.84.

Notable Days

2022-07-28: Highest Volume — 263,995 contracts
2022-07-28: Largest IV drop — 7.4% change
2022-07-05: Highest IV Rank — 70.5%
2022-07-05: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.80	$50.54	$53.36	$52.31	$50.68
Max Pain	$50.67	$50.00	$52.50	$51.00	$50.00
ATM IV	29.9%	24.7%	33.4%	32.7%	24.7%
Expected Move	8.4%	7.2%	9.0%	8.1%	7.2%
HV 20d	28.8%	19.8%	37.3%	36.0%	19.8%
HV 60d	28.3%	26.8%	30.7%	30.7%	26.8%
IV Rank	55.6%	33.5%	70.5%	67.7%	33.5%
IV Percentile	46.4%	13.1%	70.2%	63.9%	13.1%
Term Structure	-0.5%	-1.6%	0.5%	-1.4%	0.2%
VWIV	30.1%	25.5%	32.7%	28.8%	25.5%
Skew 25d	4.2%	3.2%	4.8%	3.9%	3.2%
Skew 10d	8.1%	6.5%	9.8%	6.5%	7.1%
Call IV 25d	28.6%	23.5%	31.6%	31.3%	23.7%
Put IV 25d	32.8%	26.9%	36.2%	35.2%	26.9%
Bid-Ask Spread %	3.66	2.55	5.67	3.83	3.41
Gamma HHI	0.09	0.08	0.12	0.09	0.09
Net GEX	24.1M	11.4M	46.0M	29.7M	17.8M
Net DEX	-841.8M	-1.35B	-409.5M	-1.06B	-409.5M
Net VEX	-10.6M	-11.3M	-9.8M	-11.0M	-9.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.41	1.33	0.73	0.56
Total Volume	93,201.85	46,459	263,995	62,403	144,802
Total OI	1,536,985.4	1,460,928	1,599,705	1,528,255	1,595,046

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
2022-07-01	$52.31	$51.00	32.7%	8.1%	36.0%	67.7%	28.8%	3.9%	-1.4%	29.7M	-1.06B	-11.0M	0.73	3.83	36,140	26,263	765,643	762,612
2022-07-05	$51.57	$50.00	33.4%	9.0%	36.0%	70.5%	32.2%	4.5%	-1.0%	24.1M	-816.7M	-10.7M	0.68	3.20	36,332	24,881	743,598	738,951
2022-07-06	$52.93	$50.00	31.5%	8.7%	37.3%	62.5%	29.2%	4.1%	-0.6%	37.4M	-1.20B	-10.6M	0.45	4.21	88,329	39,945	751,693	744,583
2022-07-07	$53.36	$52.50	31.7%	8.8%	37.2%	63.4%	29.9%	4.4%	-1.1%	46.0M	-1.34B	-11.2M	0.93	2.68	49,567	46,207	787,330	760,331
2022-07-08	$53.35	$52.50	31.2%	8.7%	37.2%	61.3%	31.6%	3.5%	-1.6%	37.3M	-1.35B	-11.3M	1.15	5.67	37,240	42,638	797,933	771,804
2022-07-11	$52.84	$52.50	31.6%	8.8%	35.8%	62.6%	31.1%	4.6%	-0.5%	32.7M	-1.12B	-11.0M	0.68	2.55	57,808	39,216	782,439	765,583
2022-07-12	$51.95	$52.50	32.1%	8.9%	34.1%	65.1%	32.7%	4.5%	-0.9%	25.3M	-827.9M	-11.1M	0.89	2.56	24,635	21,824	798,448	772,368
2022-07-13	$51.80	$52.50	31.5%	8.8%	28.3%	62.4%	32.4%	4.3%	-0.9%	23.1M	-811.0M	-10.8M	0.83	3.36	56,842	47,097	800,566	776,472
2022-07-14	$51.51	$50.00	30.8%	8.6%	28.5%	59.6%	31.8%	4.8%	-1.2%	12.4M	-745.5M	-10.7M	1.33	5.24	32,150	42,826	802,888	786,750
2022-07-15	$51.63	$50.00	29.8%	8.4%	28.3%	55.1%	30.7%	4.4%	-0.4%	20.1M	-783.4M	-10.7M	0.81	2.71	41,049	33,213	808,174	791,531
2022-07-18	$50.54	$50.00	31.0%	8.9%	28.1%	60.3%	31.5%	4.6%	-0.7%	11.4M	-525.6M	-10.4M	0.78	4.92	39,754	30,906	736,561	724,367
2022-07-19	$51.41	$50.00	29.2%	8.3%	27.3%	52.8%	29.3%	4.3%	-0.2%	20.2M	-720.1M	-10.4M	0.82	3.66	31,230	25,457	751,729	739,506
2022-07-20	$50.90	$50.00	29.2%	8.4%	25.6%	52.5%	30.0%	4.7%	-0.1%	11.6M	-566.7M	-10.5M	1.15	3.29	23,442	26,995	758,198	745,867
2022-07-21	$51.02	$50.00	29.4%	8.4%	24.7%	53.4%	30.9%	4.6%	-0.4%	12.6M	-622.8M	-10.3M	1.25	4.00	39,686	49,669	766,639	754,050
2022-07-22	$51.16	$50.00	28.8%	8.3%	24.1%	50.8%	30.0%	4.2%	-0.4%	21.0M	-689.7M	-10.3M	0.74	2.84	30,827	22,672	774,212	762,754
2022-07-25	$51.57	$50.00	28.3%	8.2%	21.8%	49.0%	29.6%	4.4%	0.2%	26.0M	-792.6M	-10.1M	0.86	3.43	30,298	26,043	760,039	739,125
2022-07-26	$52.30	$50.00	28.9%	8.3%	22.2%	51.3%	30.1%	3.3%	0.1%	31.1M	-994.3M	-10.1M	0.92	3.64	38,763	35,532	767,667	754,985
2022-07-27	$52.11	$50.00	27.0%	8.0%	20.8%	43.2%	27.4%	3.7%	0.2%	29.5M	-940.4M	-10.0M	0.41	4.14	127,060	52,704	776,935	765,595
2022-07-28	$51.01	$50.00	25.0%	7.3%	22.2%	34.7%	26.5%	3.6%	0.5%	12.5M	-514.2M	-9.9M	0.76	3.76	150,262	113,733	775,640	781,096
2022-07-29	$50.68	$50.00	24.7%	7.2%	19.8%	33.5%	25.5%	3.2%	0.2%	17.8M	-409.5M	-9.8M	0.56	3.41	92,664	52,138	800,607	794,439