PFE Options History — September 2022

In September 2022, PFE traded between $43.94 and $47.97. ATM implied volatility averaged 29.2%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 4.6% (HV 20d: 24.6%). Max pain ranged from $46.00 to $50.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.75.

Notable Days

2022-09-22: Highest Volume — 85,129 contracts
2022-09-13: Largest IV spike — 8.7% change
2022-09-27: Highest IV Rank — 56.8%
2022-09-27: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.48	$43.94	$47.97	$46.47	$44.08
Max Pain	$47.38	$46.00	$50.00	$50.00	$46.00
ATM IV	29.2%	25.2%	32.3%	28.8%	32.1%
Expected Move	8.4%	7.4%	9.4%	8.2%	8.8%
HV 20d	24.6%	20.7%	26.6%	25.1%	23.4%
HV 60d	24.2%	21.7%	27.5%	27.3%	21.7%
IV Rank	40.0%	19.5%	56.8%	38.6%	52.0%
IV Percentile	41.2%	12.3%	62.3%	39.7%	60.7%
Term Structure	0.9%	-1.3%	4.4%	0.3%	4.4%
VWIV	28.4%	25.4%	32.3%	29.9%	29.0%
Skew 25d	4.6%	3.8%	5.8%	4.2%	5.1%
Skew 10d	9.3%	7.1%	10.9%	7.1%	9.0%
Call IV 25d	27.2%	23.7%	29.6%	27.1%	28.5%
Put IV 25d	31.8%	27.5%	35.4%	31.3%	33.6%
Bid-Ask Spread %	3.72	2.17	7.94	3.32	3.51
Gamma HHI	0.08	0.06	0.11	0.09	0.06
Net GEX	1.1M	-12.4M	27.4M	-12.4M	4.9M
Net DEX	209.1M	-285.9M	404.3M	175.8M	330.4M
Net VEX	-8.4M	-9.0M	-7.6M	-9.0M	-8.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.32	1.36	0.66	0.70
Total Volume	67,822.476	47,743	85,129	82,340	60,656
Total OI	1,540,763.048	1,294,412	1,707,281	1,646,899	1,482,498

Daily Data (21 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
2022-09-01	$46.47	$50.00	28.8%	8.2%	25.1%	38.6%	29.9%	4.2%	0.3%	-12.4M	175.8M	-9.0M	0.66	3.32	49,746	32,594	853,444	793,455
2022-09-02	$45.60	$50.00	28.5%	8.4%	25.5%	37.2%	28.3%	4.3%	0.0%	-9.5M	394.9M	-8.5M	0.98	2.57	37,238	36,520	864,273	799,904
2022-09-06	$45.82	$47.50	29.5%	8.7%	25.5%	42.4%	28.9%	4.4%	-0.3%	-8.2M	282.7M	-8.5M	0.87	2.72	39,164	34,045	852,454	788,002
2022-09-07	$46.08	$47.50	28.4%	8.3%	25.6%	36.5%	27.2%	4.2%	-1.3%	-5.6M	240.1M	-8.7M	0.78	2.81	37,189	29,020	863,613	792,104
2022-09-08	$46.94	$47.50	27.4%	7.7%	26.6%	31.2%	26.9%	4.7%	0.2%	9.2M	-5.5M	-8.7M	0.41	2.36	40,685	16,531	868,662	794,890
2022-09-09	$47.97	$47.50	25.2%	7.4%	25.1%	19.5%	25.4%	3.8%	-0.3%	27.4M	-285.9M	-8.8M	0.38	2.17	53,447	20,561	876,057	799,607
2022-09-12	$47.81	$47.50	26.3%	7.5%	20.7%	25.3%	26.2%	4.1%	0.1%	19.3M	-195.2M	-8.6M	0.90	2.89	42,701	38,559	861,810	784,940
2022-09-13	$46.10	$47.50	28.6%	8.4%	24.0%	37.4%	28.6%	4.3%	0.6%	-3.5M	202.1M	-8.2M	0.91	3.21	24,932	22,811	866,155	793,290
2022-09-14	$46.17	$47.50	29.1%	8.4%	24.0%	40.3%	26.3%	4.7%	-0.3%	-5.1M	218.1M	-8.5M	0.32	4.16	49,924	16,219	868,223	800,642
2022-09-15	$45.93	$47.50	27.5%	8.2%	23.7%	31.9%	26.5%	4.2%	0.3%	-6.1M	253.9M	-8.5M	0.58	7.94	42,165	24,480	894,185	803,452
2022-09-16	$46.19	$47.50	28.5%	8.3%	23.8%	37.3%	27.5%	3.8%	0.5%	10.2M	147.4M	-8.4M	0.91	5.63	41,021	37,207	900,235	807,046
2022-09-19	$45.39	$47.50	28.3%	8.1%	24.1%	36.0%	27.2%	5.1%	0.7%	2.9M	177.6M	-8.0M	0.63	3.41	43,750	27,382	697,804	596,608
2022-09-20	$44.88	$47.50	29.2%	8.4%	24.2%	40.9%	28.7%	5.0%	-0.4%	326.9K	253.2M	-8.0M	0.93	4.94	28,130	26,057	717,371	611,897
2022-09-21	$43.99	$47.50	29.1%	8.4%	24.6%	40.5%	27.8%	4.8%	-0.2%	-5.5M	404.3M	-7.6M	0.81	5.88	29,895	24,199	731,232	626,299
2022-09-22	$44.80	$47.50	28.4%	8.2%	25.6%	36.7%	27.9%	3.9%	-0.4%	1.6M	255.8M	-8.1M	0.39	3.06	61,166	23,963	745,576	636,452
2022-09-23	$44.07	$47.50	30.6%	8.8%	25.8%	48.5%	29.6%	4.6%	-0.2%	-8.7M	370.3M	-8.0M	0.98	3.38	40,931	39,929	774,897	644,751
2022-09-26	$43.94	$46.00	31.9%	9.3%	24.8%	55.1%	32.1%	5.1%	3.4%	1.4M	335.7M	-8.0M	1.36	3.47	27,354	37,238	767,505	635,627
2022-09-27	$44.13	$46.00	32.3%	9.4%	24.9%	56.8%	32.3%	5.8%	4.3%	1.8M	316.3M	-8.3M	0.60	3.89	37,219	22,278	776,110	654,961
2022-09-28	$44.58	$46.00	30.8%	9.0%	25.1%	44.1%	29.8%	5.5%	3.2%	5.9M	214.1M	-8.4M	0.75	2.94	43,053	32,319	795,455	659,345
2022-09-29	$44.21	$46.00	32.2%	9.1%	25.0%	52.3%	31.4%	5.1%	3.5%	3.2M	304.8M	-8.7M	0.86	3.94	27,928	24,066	808,703	666,490
2022-09-30	$44.08	$46.00	32.1%	8.8%	23.4%	52.0%	29.0%	5.1%	4.4%	4.9M	330.4M	-8.6M	0.70	3.51	35,696	24,960	812,358	670,140