PFE Options History — December 2022

In December 2022, PFE traded between $49.77 and $54.45. ATM implied volatility averaged 24.1%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 0.7% (HV 20d: 23.4%). Max pain ranged from $47.00 to $47.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2022-12-14: Highest Volume — 157,596 contracts
  • 2022-12-06: Largest IV spike — 9.9% change
  • 2022-12-30: Highest IV Rank — 24.2%
  • 2022-12-19: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.59$49.77$54.45$51.09$51.14
Max Pain$47.05$47.00$47.50$47.50$47.00
ATM IV24.1%21.1%25.7%21.6%25.7%
Expected Move6.8%6.4%7.1%6.4%6.8%
HV 20d23.4%19.6%25.3%22.1%23.5%
HV 60d24.9%23.8%25.3%25.2%25.3%
IV Rank15.5%0.0%24.2%0.0%24.2%
IV Percentile7.3%0.0%19.0%0.0%19.0%
Term Structure0.9%-0.6%2.6%-0.0%2.6%
VWIV24.6%22.5%27.4%23.2%24.8%
Skew 25d2.4%1.5%4.7%1.9%4.7%
Skew 10d4.8%3.1%6.6%4.6%6.6%
Call IV 25d23.0%20.6%24.7%20.6%23.0%
Put IV 25d25.4%22.4%27.6%22.6%27.6%
Bid-Ask Spread %3.471.956.333.444.92
Gamma HHI0.130.100.160.130.13
Net GEX51.5M20.9M83.8M70.9M20.9M
Net DEX-1.31B-2.32B-820.6M-1.35B-912.1M
Net VEX-8.2M-8.5M-8.0M-8.3M-8.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.302.270.611.08
Total Volume69,402.47633,994157,59675,66445,785
Total OI1,599,987.9521,500,2051,742,5771,588,5901,589,743

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-12-01$51.09$47.5021.6%6.4%22.1%0.0%23.2%1.9%-0.0%70.9M-1.35B-8.3M0.613.4446,85228,812835,885752,705
2022-12-02$50.80$47.5021.1%6.4%21.9%0.0%22.7%1.7%0.2%68.2M-1.27B-8.2M0.443.0536,84716,303840,479761,404
2022-12-05$50.67$47.0021.9%6.6%21.9%4.3%26.7%2.3%0.7%56.1M-1.16B-8.1M0.722.9821,18415,303825,511752,881
2022-12-06$49.77$47.0024.0%7.0%23.2%15.5%24.6%3.0%0.8%42.0M-877.4M-8.1M1.034.2932,87533,712830,745755,919
2022-12-07$50.30$47.0024.2%7.0%23.3%16.5%25.2%2.3%0.6%46.4M-1.07B-8.2M0.502.4344,25522,149832,928772,877
2022-12-08$51.75$47.0024.0%6.9%24.0%15.4%27.4%1.5%0.4%73.2M-1.59B-8.1M0.681.9556,55138,524845,635781,092
2022-12-09$51.78$47.0024.2%7.0%23.7%16.2%25.3%1.7%1.0%83.8M-1.63B-8.2M0.574.6856,95032,637861,817800,201
2022-12-12$52.17$47.0024.6%7.0%23.7%18.2%25.0%2.1%0.0%59.5M-1.67B-8.0M0.382.2075,69628,447844,401784,896
2022-12-13$53.25$47.0024.1%7.0%20.8%15.7%24.9%1.8%0.2%70.7M-2.01B-8.0M0.822.7151,39541,971857,882794,770
2022-12-14$54.45$47.0024.0%6.7%19.6%15.1%24.2%1.5%-0.4%74.7M-2.32B-8.1M0.303.23121,67835,918868,283814,965
2022-12-15$53.66$47.0024.4%7.1%20.4%17.5%24.3%1.7%0.3%71.7M-2.07B-8.5M0.562.9155,49731,120895,502828,073
2022-12-16$51.89$47.0024.8%7.0%24.7%19.3%24.7%1.7%-0.6%57.2M-1.49B-8.5M0.772.5557,95244,677906,127836,450
2022-12-19$51.20$47.0024.9%7.1%25.3%20.1%24.9%2.8%1.6%34.2M-980.6M-8.4M0.652.9738,59625,049783,851716,354
2022-12-20$51.45$47.0024.4%7.0%25.2%17.5%24.5%2.8%2.3%37.0M-1.07B-8.4M0.792.8523,75818,735791,043724,625
2022-12-21$51.55$47.0022.9%6.6%24.5%9.8%22.5%2.9%0.9%41.0M-1.11B-8.2M0.852.5728,54924,297798,325730,151
2022-12-22$51.50$47.0024.6%7.0%24.4%18.3%24.9%2.9%2.0%42.6M-1.08B-8.5M2.273.4919,37443,916808,656741,284
2022-12-23$51.69$47.0023.9%6.7%24.4%14.6%23.7%2.5%0.8%38.1M-1.12B-8.3M0.774.0719,16014,834815,115759,199
2022-12-27$51.13$47.0025.4%6.9%24.6%22.4%24.5%2.8%2.0%31.7M-944.4M-8.2M0.703.0325,31917,632790,830746,654
2022-12-28$50.75$47.0025.3%6.9%24.8%22.3%24.1%2.8%2.0%25.1M-820.6M-8.2M1.106.3317,72919,452800,252753,964
2022-12-29$51.38$47.0025.3%6.6%24.9%22.2%24.0%3.2%2.2%35.6M-986.8M-8.2M1.226.1921,61426,348806,865761,408
2022-12-30$51.14$47.0025.7%6.8%23.5%24.2%24.8%4.7%2.6%20.9M-912.1M-8.1M1.084.9221,99123,794816,159773,584