PFE Options History — May 2023

In May 2023, PFE traded between $36.50 and $39.70. ATM implied volatility averaged 21.0%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.8% (HV 20d: 19.2%). Max pain ranged from $38.00 to $42.50. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.07.

Notable Days

  • 2023-05-22: Highest Volume — 303,559 contracts
  • 2023-05-22: Largest IV spike — 23.3% change
  • 2023-05-24: Highest IV Rank — 35.7%
  • 2023-05-24: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.01$36.50$39.70$39.34$38.11
Max Pain$40.55$38.00$42.50$40.00$39.50
ATM IV21.0%18.6%24.7%22.1%23.9%
Expected Move6.3%5.3%7.2%7.1%7.0%
HV 20d19.2%14.2%29.5%19.0%29.5%
HV 60d17.4%15.8%21.4%16.0%21.4%
IV Rank12.4%0.0%35.7%8.7%30.9%
IV Percentile10.9%0.0%37.3%8.3%29.0%
Term Structure0.6%-0.6%2.5%-0.2%-0.6%
VWIV22.1%19.0%26.7%24.5%26.7%
Skew 25d2.6%1.0%3.6%3.2%2.6%
Skew 10d5.2%2.6%7.9%4.7%6.2%
Call IV 25d20.5%17.9%24.7%20.1%23.4%
Put IV 25d23.1%20.3%26.5%23.2%26.0%
Bid-Ask Spread %2.531.249.003.292.50
Gamma HHI0.260.090.530.180.11
Net GEX-33.6M-79.4M40.7M-31.4M5.5M
Net DEX790.4M-274.7M1.29B768.8M333.5M
Net VEX-7.7M-9.5M-6.7M-7.7M-9.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.222.620.462.32
Total Volume118,855.59137,570303,559124,028233,160
Total OI1,519,648.0451,307,9061,732,2511,417,3741,681,155

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-05-01$39.34$40.0022.1%7.1%19.0%8.7%24.5%3.2%-0.2%-31.4M768.8M-7.7M0.463.2984,96839,060680,081737,293
2023-05-02$39.06$40.0019.3%5.9%17.0%0.0%20.2%2.8%0.9%-34.7M856.2M-7.5M0.462.9398,98545,916720,996758,503
2023-05-03$38.41$40.0020.0%6.1%17.3%3.7%21.3%2.4%0.4%-47.4M1.07B-7.3M0.573.2344,42825,340733,876771,663
2023-05-04$38.22$42.5021.3%6.5%15.1%12.6%22.1%3.0%0.4%-53.5M1.12B-7.4M1.041.8932,86634,074750,505780,660
2023-05-05$38.44$42.5019.6%6.1%15.5%2.2%20.9%2.5%0.6%-61.9M1.07B-7.3M0.731.6029,37021,303763,099786,879
2023-05-08$38.61$42.5018.7%6.1%15.4%0.0%20.6%2.5%2.5%-59.8M957.9M-7.3M0.421.4349,11420,392716,293762,243
2023-05-09$38.52$42.5018.8%6.0%15.1%0.4%20.8%2.3%2.2%-64.7M978.1M-7.3M1.431.4815,49122,079733,070769,651
2023-05-10$38.36$42.5019.1%5.8%14.8%2.1%19.1%2.4%1.3%-79.4M1.06B-7.1M0.351.3862,82822,183741,867781,665
2023-05-11$37.58$42.5019.1%5.8%15.3%2.4%21.2%3.4%1.6%-67.1M1.29B-7.1M1.611.2529,12747,038738,958791,403
2023-05-12$37.34$40.0020.0%5.8%15.1%7.5%20.0%3.3%0.3%-68.6M1.14B-7.0M1.381.3927,34237,769749,794738,618
2023-05-15$37.16$40.0018.9%5.5%14.8%1.2%19.0%3.2%0.9%-77.9M1.01B-6.7M1.821.5027,35749,663741,310687,919
2023-05-16$37.02$40.0019.4%5.6%14.4%3.8%19.5%2.8%0.6%-74.6M1.02B-6.8M1.351.4026,70236,079755,413689,402
2023-05-17$36.75$40.0018.6%5.3%14.4%0.0%19.6%3.3%0.9%-51.1M1.08B-6.8M2.621.2440,176105,242769,542687,450
2023-05-18$36.50$40.0019.3%5.4%14.3%3.7%19.2%3.6%2.3%-29.2M1.06B-6.7M1.781.4738,96869,438784,568686,111
2023-05-19$36.70$40.0019.1%5.5%14.2%2.9%20.3%2.0%-0.0%-19.2M988.5M-6.9M1.381.3644,62361,425802,877691,558
2023-05-22$38.72$40.0023.6%6.9%25.0%28.9%24.6%1.0%-0.1%3.8M225.2M-8.0M0.223.94248,58854,971698,969608,937
2023-05-23$39.70$38.0024.2%7.1%26.3%32.5%24.9%1.7%0.0%40.7M-274.7M-8.9M0.242.91183,56043,699829,133634,722
2023-05-24$38.84$40.0024.7%7.2%26.4%35.7%25.8%1.5%-0.5%26.5M86.0M-9.5M0.709.0060,88442,414902,773708,731
2023-05-25$37.95$40.0023.9%7.0%27.6%30.9%24.8%2.4%-0.1%12.1M392.9M-9.2M1.092.84114,668125,499961,909714,405
2023-05-26$37.70$40.0023.5%6.9%27.7%28.4%25.0%2.1%-0.3%7.8M462.1M-9.2M0.692.4265,59145,274996,615735,636
2023-05-30$37.09$39.5024.3%7.1%27.5%33.3%26.1%3.1%0.6%-13.7M678.7M-8.8M0.965.3354,73152,438937,196718,809
2023-05-31$38.11$39.5023.9%7.0%29.5%30.9%26.7%2.6%-0.6%5.5M333.5M-9.4M2.322.5070,251162,909951,919729,236