PFE Options History — January 2023

In January 2023, PFE traded between $43.50 and $51.22. ATM implied volatility averaged 27.6%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 0.7% (HV 20d: 26.9%). Max pain ranged from $47.00 to $50.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 1.27.

Notable Days

  • 2023-01-26: Highest Volume — 251,693 contracts
  • 2023-01-31: Largest IV drop — 23.6% change
  • 2023-01-09: Highest IV Rank — 48.9%
  • 2023-01-30: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.60$43.50$51.22$51.22$44.00
Max Pain$48.83$47.00$50.00$47.00$47.50
ATM IV27.6%22.5%30.5%28.0%22.5%
Expected Move7.9%6.9%9.4%7.2%6.9%
HV 20d26.9%23.4%29.1%23.4%27.6%
HV 60d26.4%24.6%28.4%24.6%25.3%
IV Rank34.1%7.6%48.9%36.0%7.6%
IV Percentile34.6%1.6%56.0%34.9%1.6%
Term Structure-0.7%-1.9%-0.1%-0.3%-0.1%
VWIV28.0%24.5%32.7%25.0%24.5%
Skew 25d3.8%2.9%4.8%4.7%3.9%
Skew 10d6.7%4.6%8.8%8.2%8.2%
Call IV 25d26.1%21.3%28.0%25.7%21.3%
Put IV 25d29.9%25.1%32.3%30.3%25.1%
Bid-Ask Spread %3.401.7810.513.973.11
Gamma HHI0.120.070.250.130.14
Net GEX-22.5M-51.8M27.6M27.6M-51.8M
Net DEX269.3M-958.5M836.6M-958.5M744.3M
Net VEX-7.0M-7.9M-6.3M-7.9M-7.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.403.470.520.85
Total Volume114,223.839,275251,69339,275220,323
Total OI1,515,580.91,074,0961,754,6581,554,9081,406,860

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-01-03$51.22$47.0028.0%7.2%23.4%36.0%25.0%4.7%-0.3%27.6M-958.5M-7.9M0.523.9725,91913,356794,261760,647
2023-01-04$49.89$47.0028.7%7.2%25.2%40.0%25.5%3.6%-0.7%10.6M-551.1M-7.6M1.033.6029,08429,846808,042765,610
2023-01-05$49.75$50.0028.9%8.0%24.4%40.8%31.0%3.6%-0.8%9.7M-499.4M-7.7M3.172.6322,99172,831820,180777,706
2023-01-06$50.83$50.0028.3%8.1%25.4%37.9%27.7%3.6%-0.6%20.4M-841.9M-7.9M0.402.8872,04128,482822,438805,952
2023-01-09$48.42$50.0030.5%8.6%28.6%48.9%30.6%4.3%-0.4%-9.0M-65.9M-7.5M0.982.1653,11851,851823,006816,288
2023-01-10$47.53$50.0029.1%8.2%29.1%42.0%29.3%4.4%-0.4%-19.6M254.3M-7.2M0.998.9257,84357,365843,262843,912
2023-01-11$47.34$50.0029.4%8.0%28.8%43.3%28.4%4.7%-1.4%-24.7M313.1M-7.2M1.531.7831,24547,655859,272858,139
2023-01-12$47.50$50.0028.8%7.9%27.4%40.3%27.4%4.8%-1.3%-25.9M251.8M-7.1M0.792.1737,36529,539866,680855,821
2023-01-13$47.89$50.0026.5%7.5%25.9%28.4%25.7%3.8%-0.3%-39.9M84.3M-6.9M0.972.0633,42832,568873,038860,645
2023-01-17$46.09$50.0028.7%8.2%28.1%39.9%28.1%3.5%-1.9%-30.2M485.6M-6.4M1.242.0863,45078,524836,128822,017
2023-01-18$45.00$50.0028.3%8.1%27.1%37.8%28.4%3.3%-0.6%-36.0M759.4M-6.3M2.082.0652,900109,948855,768843,642
2023-01-19$45.25$50.0027.5%7.9%27.4%33.3%28.1%3.4%-0.5%-41.1M648.9M-6.7M1.301.9638,16749,808876,653856,379
2023-01-20$45.05$50.0027.1%7.8%27.1%31.3%27.6%2.9%-0.8%-38.0M663.1M-6.6M0.661.8676,56850,331890,499864,159
2023-01-23$44.91$47.5026.0%7.7%26.9%25.9%26.6%3.4%-0.5%-25.5M579.9M-6.4M0.613.1750,58130,836511,835562,261
2023-01-24$44.64$47.5025.7%7.7%26.9%23.9%27.1%3.1%-0.5%-24.3M622.1M-6.4M1.293.3639,74351,366538,242574,942
2023-01-25$45.05$47.5025.2%7.5%27.2%21.5%26.0%3.0%-0.5%-29.1M528.0M-6.7M0.743.5451,41838,077555,541603,860
2023-01-26$44.13$47.5026.9%8.1%27.6%30.5%30.6%4.6%-1.1%-34.1M737.9M-6.9M3.473.1156,268195,425570,443630,290
2023-01-27$43.98$47.5026.7%8.1%27.7%29.5%28.8%3.7%-0.8%-45.2M794.1M-7.1M1.533.0446,19670,489588,887753,629
2023-01-30$43.50$47.5029.5%9.4%26.7%43.7%32.7%4.3%-0.9%-44.6M836.6M-7.1M1.1710.5186,280101,251567,381747,303
2023-01-31$44.00$47.5022.5%6.9%27.6%7.6%24.5%3.9%-0.1%-51.8M744.3M-7.0M0.853.11119,269101,054610,012796,848