PFE Options History — November 2022

In November 2022, PFE traded between $46.68 and $49.89. ATM implied volatility averaged 24.7%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 2.6% (HV 20d: 27.3%). Max pain ranged from $45.00 to $47.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.78.

Notable Days

2022-11-14: Highest Volume — 235,405 contracts
2022-11-10: Largest IV drop — 7.0% change
2022-11-02: Highest IV Rank — 18.3%
2022-11-02: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.20	$46.68	$49.89	$47.91	$49.89
Max Pain	$46.52	$45.00	$47.50	$46.00	$47.50
ATM IV	24.7%	22.3%	26.4%	25.0%	22.3%
Expected Move	7.2%	6.5%	7.7%	7.5%	6.6%
HV 20d	27.3%	22.1%	31.4%	29.6%	22.1%
HV 60d	25.3%	24.2%	26.3%	26.1%	24.8%
IV Rank	7.9%	0.0%	18.3%	10.3%	0.0%
IV Percentile	4.6%	0.0%	12.3%	3.6%	0.0%
Term Structure	0.1%	-1.5%	1.9%	0.2%	0.2%
VWIV	25.4%	22.8%	27.5%	26.5%	23.7%
Skew 25d	3.3%	2.4%	4.0%	2.6%	3.3%
Skew 10d	6.7%	4.5%	8.3%	5.2%	7.2%
Call IV 25d	23.3%	21.0%	25.4%	24.3%	21.0%
Put IV 25d	26.6%	24.3%	28.3%	26.9%	24.3%
Bid-Ask Spread %	3.64	2.44	6.92	4.43	3.14
Gamma HHI	0.12	0.09	0.18	0.11	0.18
Net GEX	47.5M	26.5M	73.7M	47.5M	66.1M
Net DEX	-664.3M	-1.19B	-260.6M	-678.0M	-1.01B
Net VEX	-8.4M	-8.8M	-8.1M	-8.5M	-8.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.25	2.17	0.79	1.22
Total Volume	85,489.714	26,715	235,405	162,163	51,273
Total OI	1,618,540.905	1,510,398	1,731,021	1,624,787	1,569,037

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
2022-11-01	$47.91	$46.00	25.0%	7.5%	29.6%	10.3%	26.5%	2.6%	0.2%	47.5M	-678.0M	-8.5M	0.79	4.43	90,805	71,358	851,535	773,252
2022-11-02	$47.07	$46.00	26.4%	7.7%	30.4%	18.3%	26.9%	2.4%	0.1%	34.2M	-424.8M	-8.3M	0.65	5.19	66,069	43,110	867,167	774,697
2022-11-03	$46.68	$45.00	25.7%	7.5%	28.9%	14.6%	27.5%	2.7%	0.3%	26.5M	-260.6M	-8.4M	0.75	2.60	42,686	31,955	849,425	773,916
2022-11-04	$47.18	$45.00	25.6%	7.5%	27.3%	13.5%	26.5%	3.0%	0.1%	35.6M	-469.0M	-8.3M	0.60	2.48	72,396	43,156	856,850	777,858
2022-11-07	$47.23	$45.00	25.9%	7.5%	27.0%	13.0%	26.2%	3.1%	0.3%	40.7M	-458.9M	-8.6M	0.47	2.96	49,099	23,248	852,417	747,904
2022-11-08	$47.52	$45.00	25.7%	7.5%	26.9%	11.6%	25.6%	3.6%	0.5%	51.3M	-552.0M	-8.6M	2.17	3.01	31,243	67,727	869,237	754,332
2022-11-09	$46.80	$45.00	25.9%	7.5%	28.0%	13.0%	26.7%	3.3%	0.5%	34.8M	-287.2M	-8.5M	1.34	3.46	22,287	29,854	879,241	769,968
2022-11-10	$47.53	$45.00	24.1%	7.3%	27.9%	2.1%	26.3%	3.5%	1.7%	57.8M	-544.8M	-8.6M	0.52	4.30	48,190	25,207	882,501	771,642
2022-11-11	$47.65	$45.00	23.7%	7.2%	27.8%	0.0%	25.3%	3.8%	1.9%	46.8M	-544.3M	-8.4M	1.00	2.44	43,398	43,310	890,012	773,230
2022-11-14	$49.57	$47.50	25.4%	7.4%	29.9%	9.9%	26.0%	3.2%	-0.4%	73.7M	-1.19B	-8.7M	0.25	2.60	188,366	47,039	867,461	751,582
2022-11-15	$48.54	$47.50	26.2%	7.6%	31.4%	15.0%	26.1%	3.8%	-1.0%	64.7M	-828.9M	-8.7M	0.82	4.88	59,688	48,860	903,852	774,839
2022-11-16	$48.19	$47.50	26.1%	7.5%	30.3%	14.6%	25.4%	4.0%	-0.5%	58.5M	-704.5M	-8.7M	0.89	3.15	33,916	30,192	915,158	789,119
2022-11-17	$48.38	$47.50	26.2%	7.5%	30.1%	15.1%	26.5%	3.2%	-0.4%	62.3M	-769.1M	-8.8M	0.52	2.71	47,339	24,626	921,409	793,205
2022-11-18	$48.16	$47.50	24.8%	7.1%	25.7%	6.8%	24.3%	3.6%	-0.3%	27.2M	-758.2M	-8.5M	0.64	2.77	40,736	25,928	932,763	798,258
2022-11-21	$48.14	$47.50	24.1%	6.8%	25.5%	2.6%	23.7%	3.3%	-0.2%	28.1M	-508.6M	-8.2M	0.76	3.56	28,012	21,174	800,135	710,263
2022-11-22	$49.06	$47.50	24.0%	6.7%	26.1%	1.6%	23.3%	3.0%	-1.5%	48.5M	-789.0M	-8.3M	0.99	6.92	43,764	43,210	814,570	718,108
2022-11-23	$48.79	$47.50	23.0%	6.5%	26.0%	0.0%	22.8%	3.5%	-0.1%	44.4M	-689.0M	-8.3M	0.53	4.33	35,975	18,966	825,683	732,911
2022-11-25	$49.00	$47.50	23.1%	6.7%	25.9%	0.8%	24.3%	3.3%	-0.3%	48.9M	-751.4M	-8.3M	0.82	4.86	14,700	12,015	830,932	733,549
2022-11-28	$49.55	$47.50	23.2%	7.1%	24.1%	1.3%	24.4%	3.6%	0.3%	46.0M	-897.5M	-8.2M	0.26	3.22	61,680	15,977	811,562	719,282
2022-11-29	$49.36	$47.50	23.4%	6.8%	23.4%	2.8%	25.3%	2.8%	0.3%	53.8M	-834.9M	-8.3M	0.51	3.39	37,502	19,248	832,932	727,565
2022-11-30	$49.89	$47.50	22.3%	6.6%	22.1%	0.0%	23.7%	3.3%	0.2%	66.1M	-1.01B	-8.1M	1.22	3.14	23,119	28,154	835,786	733,251