PFE Options History — February 2023

In February 2023, PFE traded between $40.53 and $44.36. ATM implied volatility averaged 21.8%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 3.0% (HV 20d: 18.8%). Max pain ranged from $42.50 to $47.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.90.

Notable Days

  • 2023-02-02: Highest Volume — 114,131 contracts
  • 2023-02-15: Largest IV spike — 6.7% change
  • 2023-02-27: Highest IV Rank — 16.0%
  • 2023-02-28: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.11$40.53$44.36$44.08$40.53
Max Pain$44.74$42.50$47.50$47.50$42.50
ATM IV21.8%20.6%23.5%21.2%23.2%
Expected Move6.2%5.9%6.7%6.3%6.7%
HV 20d18.8%14.3%27.6%27.6%15.5%
HV 60d24.0%23.2%25.3%25.3%23.4%
IV Rank5.9%0.0%16.0%0.8%14.2%
IV Percentile3.7%0.0%10.7%0.4%9.9%
Term Structure0.2%-0.6%1.5%0.1%0.2%
VWIV21.9%20.5%23.5%22.0%23.2%
Skew 25d3.7%3.1%4.5%4.0%4.3%
Skew 10d7.2%5.2%8.7%7.9%8.7%
Call IV 25d20.5%19.6%22.3%19.8%22.3%
Put IV 25d24.3%23.2%26.6%23.8%26.6%
Bid-Ask Spread %3.221.677.737.734.10
Gamma HHI0.100.070.190.090.11
Net GEX-16.3M-34.3M-5.1M-27.5M-13.9M
Net DEX506.9M342.7M649.3M592.9M649.3M
Net VEX-7.1M-7.5M-6.7M-7.1M-6.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.522.361.210.93
Total Volume79,714.78939,516114,131104,42488,295
Total OI1,301,364.7891,081,9691,422,2821,388,2431,207,442

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-02-01$44.08$47.5021.2%6.3%27.6%0.8%22.0%4.0%0.1%-27.5M592.9M-7.1M1.217.7347,19757,227634,757753,486
2023-02-02$44.36$45.0022.5%6.2%27.1%7.6%22.1%3.6%0.2%-15.5M452.2M-7.2M0.532.7074,83839,293646,797760,414
2023-02-03$44.09$45.0021.2%6.0%27.1%0.8%21.5%3.7%0.4%-34.3M501.7M-7.2M0.671.8448,83332,473661,101761,181
2023-02-06$43.80$45.0021.6%6.1%25.0%2.6%22.4%3.7%-0.3%-13.2M498.8M-7.1M1.071.6750,06553,384627,120664,735
2023-02-07$43.63$45.0020.8%6.5%19.8%0.0%21.5%3.7%1.5%-19.5M530.4M-7.0M0.962.2436,42135,112645,403675,790
2023-02-08$43.94$45.0021.3%5.9%19.6%2.4%22.0%3.1%-0.6%-11.1M438.1M-7.2M0.741.8054,16640,021654,912680,885
2023-02-09$43.34$45.0022.4%6.7%19.9%8.8%22.9%3.1%1.0%-23.2M590.9M-7.1M0.782.4851,43539,954667,747682,810
2023-02-10$43.97$45.0020.9%6.0%20.8%0.7%22.4%3.3%-0.1%-20.6M431.8M-7.5M0.522.1037,49019,646680,613704,657
2023-02-13$43.84$45.0021.4%6.1%20.3%3.4%22.0%4.0%1.3%-13.0M453.8M-7.3M0.752.0522,52916,987665,442685,404
2023-02-14$43.92$45.0020.6%5.9%16.0%0.0%21.6%3.2%0.9%-10.0M417.9M-7.3M0.622.4225,43215,735673,742690,269
2023-02-15$43.39$45.0021.9%6.3%14.3%7.5%20.9%3.5%-0.0%-17.1M571.9M-7.0M2.361.8733,02777,933681,784694,100
2023-02-16$42.89$45.0021.1%6.1%14.5%3.2%20.5%3.6%-0.1%-25.9M638.6M-6.9M0.932.0937,09334,591694,314690,942
2023-02-17$43.22$45.0021.6%6.2%14.9%5.7%21.2%3.4%-0.3%-5.1M493.9M-7.1M0.912.2232,27729,469704,875693,337
2023-02-21$42.86$45.0022.0%6.2%15.1%8.0%22.1%4.2%-0.0%-9.3M342.7M-7.0M0.603.7748,06328,639553,471528,498
2023-02-22$42.36$45.0022.8%6.3%15.4%12.2%21.5%3.9%0.2%-12.4M420.3M-7.0M0.626.7846,94729,120586,021543,379
2023-02-23$42.39$45.0022.2%6.0%14.8%8.7%20.8%4.0%0.2%-12.2M421.3M-7.1M1.246.0428,92735,981608,238558,407
2023-02-24$41.66$42.5022.2%6.4%14.3%8.9%22.5%4.3%-0.0%-11.4M545.3M-6.9M0.743.7139,17428,820631,705561,389
2023-02-27$40.80$42.5023.5%6.6%15.7%16.0%23.5%4.5%-0.2%-13.8M638.5M-6.7M0.953.6050,33347,654616,384554,380
2023-02-28$40.53$42.5023.2%6.7%15.5%14.2%23.2%4.3%0.2%-13.9M649.3M-6.7M0.934.1045,80842,487642,606564,836