PFE Options History — March 2023

In March 2023, PFE traded between $39.30 and $41.06. ATM implied volatility averaged 23.2%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 7.5% (HV 20d: 15.7%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 1.11.

Notable Days

  • 2023-03-08: Highest Volume — 145,980 contracts
  • 2023-03-09: Largest IV spike — 8.9% change
  • 2023-03-10: Highest IV Rank — 29.2%
  • 2023-03-13: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.27$39.30$41.06$40.27$40.53
Max Pain$40.65$40.00$42.50$42.50$40.00
ATM IV23.2%21.0%25.9%24.2%21.0%
Expected Move6.6%5.8%7.3%6.7%5.8%
HV 20d15.7%13.5%17.1%14.5%13.5%
HV 60d21.1%19.6%23.0%22.7%19.6%
IV Rank14.2%2.6%29.2%20.0%2.6%
IV Percentile12.7%1.2%32.9%16.3%1.2%
Term Structure0.3%-3.1%3.3%-0.3%3.1%
VWIV22.5%20.6%25.4%23.3%20.6%
Skew 25d4.2%3.3%5.1%4.3%3.9%
Skew 10d8.3%6.7%10.1%8.8%7.9%
Call IV 25d21.4%19.1%24.2%22.4%19.1%
Put IV 25d25.6%23.0%28.4%26.7%23.0%
Bid-Ask Spread %3.352.374.713.762.96
Gamma HHI0.130.090.240.120.12
Net GEX-11.0M-23.8M12.1M-12.7M-16.1M
Net DEX609.4M421.5M849.9M677.5M502.8M
Net VEX-7.6M-8.0M-6.7M-6.7M-7.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.485.062.420.54
Total Volume71,533.26131,963145,98097,40545,618
Total OI1,307,957.6521,175,1011,437,7501,244,4301,300,393

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-03-01$40.27$42.5024.2%6.7%14.5%20.0%23.3%4.3%-0.3%-12.7M677.5M-6.7M2.423.7628,47468,931667,710576,720
2023-03-02$40.72$42.5022.8%6.7%15.3%12.5%23.3%3.6%0.2%-8.8M574.8M-7.1M0.633.3344,60528,052679,409585,427
2023-03-03$41.05$42.5022.0%6.2%15.5%8.0%21.1%3.4%-0.3%12.1M480.9M-7.3M0.483.9971,32934,016696,638598,722
2023-03-06$41.06$42.5022.4%6.7%15.6%9.9%21.6%3.6%0.2%-6.1M507.4M-7.3M0.512.7940,68720,684680,996597,426
2023-03-07$40.39$42.5023.4%6.6%16.2%15.3%22.5%3.4%-0.1%-10.8M617.7M-7.1M0.973.4833,23932,140699,330602,023
2023-03-08$40.09$42.5023.1%6.6%16.2%13.8%22.9%3.3%-0.2%-12.4M674.2M-7.1M2.833.4538,093107,887713,481608,733
2023-03-09$39.48$40.0025.1%6.9%16.1%25.1%24.2%4.1%-0.6%-18.6M819.0M-7.4M1.083.6636,51939,591729,998665,586
2023-03-10$39.30$40.0025.9%7.1%15.8%29.2%24.9%4.2%-1.1%-12.3M849.9M-7.4M0.962.3744,32642,744736,880670,086
2023-03-13$39.95$40.0025.8%7.3%16.1%28.4%25.4%4.3%-0.3%-15.7M742.2M-7.8M0.743.1457,14942,448713,648663,022
2023-03-14$39.75$40.0024.3%6.9%16.1%20.7%23.8%4.5%-0.3%-21.9M777.1M-7.6M0.643.3936,17823,218728,328675,570
2023-03-15$40.14$40.0025.1%7.3%16.8%25.1%24.6%4.0%0.3%-13.6M661.8M-7.9M1.082.5140,47343,644748,510676,602
2023-03-16$40.30$40.0023.4%6.5%16.8%15.3%22.4%4.1%-0.7%-17.2M637.5M-8.0M0.482.4554,30425,970752,653685,097
2023-03-17$40.22$40.0024.0%6.9%16.5%18.9%23.7%4.1%-0.2%-23.8M655.2M-7.9M0.572.8831,67217,950748,114689,011
2023-03-20$40.73$40.0022.6%6.5%17.1%11.0%21.8%4.6%0.2%-2.5M421.5M-8.0M0.493.9841,64420,217578,998596,103
2023-03-21$40.61$40.0022.4%6.4%16.9%10.0%21.7%5.1%-0.6%-2.0M443.7M-7.9M0.503.9836,88218,269597,829605,367
2023-03-22$40.28$40.0022.4%6.4%16.7%9.8%22.0%4.8%-0.5%-2.6M505.3M-7.9M0.604.6022,10313,281617,234613,456
2023-03-23$40.22$40.0023.2%6.7%16.7%14.5%22.5%5.0%-0.0%-4.3M536.4M-7.9M0.924.7123,34321,534621,017618,422
2023-03-24$40.34$40.0022.6%6.4%15.9%11.3%22.0%4.5%1.1%-1.7M505.3M-8.0M1.943.1429,00556,366626,881626,088
2023-03-27$40.30$40.0022.1%6.1%14.1%8.2%21.0%4.6%3.0%-13.8M572.7M-7.9M0.532.8226,61914,171599,632652,382
2023-03-28$39.95$40.0021.9%6.2%14.3%7.2%21.3%4.2%-3.1%-17.8M657.2M-7.8M5.063.4420,179102,112609,097658,835
2023-03-29$40.20$40.0021.4%6.1%14.3%4.6%20.8%4.3%2.8%-16.4M618.0M-7.9M0.853.5220,39217,244615,123665,586
2023-03-30$40.33$40.0021.7%5.8%13.7%6.4%20.7%4.1%3.3%-14.8M578.8M-7.9M0.652.8119,37812,585623,337667,526
2023-03-31$40.53$40.0021.0%5.8%13.5%2.6%20.6%3.9%3.1%-16.1M502.8M-7.9M0.542.9629,58216,036628,451671,942