PFE Options History — June 2023

In June 2023, PFE traded between $36.06 and $40.27. ATM implied volatility averaged 19.7%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 7.8% (HV 20d: 27.5%). Max pain ranged from $37.50 to $40.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2023-06-26: Highest Volume — 206,841 contracts
  • 2023-06-26: Largest IV spike — 6.8% change
  • 2023-06-01: Highest IV Rank — 23.7%
  • 2023-06-01: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.48$36.06$40.27$37.95$36.66
Max Pain$39.33$37.50$40.00$39.00$38.00
ATM IV19.7%17.7%22.7%22.7%20.6%
Expected Move5.5%5.1%6.7%6.7%5.1%
HV 20d27.5%22.6%30.9%28.9%23.6%
HV 60d22.0%20.9%23.7%21.1%23.4%
IV Rank9.5%0.0%23.7%23.7%15.8%
IV Percentile6.6%0.0%18.7%18.7%10.7%
Term Structure0.7%-0.9%2.4%-0.4%1.5%
VWIV19.4%17.8%24.1%24.1%17.8%
Skew 25d1.8%1.0%2.6%2.1%1.2%
Skew 10d3.6%1.8%5.2%4.0%1.8%
Call IV 25d19.0%17.1%22.6%22.6%19.2%
Put IV 25d20.9%18.7%24.7%24.7%20.4%
Bid-Ask Spread %3.042.155.152.392.28
Gamma HHI0.130.090.270.100.13
Net GEX6.5M-38.5M52.6M-6.8M-24.7M
Net DEX300.8M-407.3M968.2M430.4M811.0M
Net VEX-8.9M-9.4M-8.2M-9.4M-8.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.263.291.170.27
Total Volume91,712.33329,738206,84193,12996,801
Total OI1,581,685.6191,212,7171,790,3141,773,1511,562,857

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-06-01$37.95$39.0022.7%6.7%28.9%23.7%24.1%2.1%-0.4%-6.8M430.4M-9.4M1.172.3942,88450,245966,538806,613
2023-06-02$38.42$39.0021.7%5.9%29.2%18.1%21.0%1.8%-0.5%19.2M278.0M-9.4M0.762.9953,89740,897975,322814,992
2023-06-05$38.64$37.5020.6%6.1%29.2%11.7%20.7%1.9%0.6%7.9M232.2M-9.1M0.783.2749,86338,764924,930795,160
2023-06-06$38.36$37.5019.5%5.9%29.3%5.2%19.0%1.8%0.5%-3.3M338.2M-8.9M3.293.4934,993115,090924,265803,197
2023-06-07$38.88$40.0019.5%5.4%29.7%5.1%19.6%1.9%0.2%19.8M169.2M-9.1M1.904.4228,49054,037933,813776,054
2023-06-08$39.14$40.0018.4%5.2%29.7%0.0%19.6%1.9%0.6%31.3M70.4M-9.1M1.493.6311,94817,790937,990779,020
2023-06-09$39.06$40.0018.0%5.1%28.6%0.0%18.5%1.8%0.5%38.3M127.8M-9.1M0.953.7524,91623,610945,734788,163
2023-06-12$39.91$40.0018.7%5.4%29.3%3.8%19.5%1.6%-0.0%40.9M-169.6M-9.1M0.612.8273,13244,885905,759764,618
2023-06-13$40.22$40.0018.8%5.3%29.1%4.3%19.3%1.8%-0.2%52.6M-317.3M-9.2M0.812.1562,14850,382910,424778,902
2023-06-14$39.45$40.0019.2%5.3%30.2%6.6%18.7%2.0%-0.9%31.0M27.9M-9.1M1.592.2539,53962,890909,123788,529
2023-06-15$39.75$40.0018.1%5.2%30.0%0.8%18.6%1.7%0.1%51.9M-68.7M-9.1M0.493.8433,18516,254916,778803,421
2023-06-16$40.27$40.0017.7%5.4%29.8%0.0%18.8%1.0%2.1%20.9M-407.3M-9.2M0.265.1563,32516,256925,895797,424
2023-06-20$39.58$40.0018.3%5.3%30.9%3.3%18.5%1.8%0.4%12.3M95.7M-8.9M0.322.5951,10516,382612,513600,204
2023-06-21$38.95$40.0018.2%5.2%25.4%2.8%18.1%2.6%1.8%2.3M258.5M-8.8M0.323.0957,60518,471637,614610,798
2023-06-22$38.70$40.0019.1%5.4%23.7%7.3%19.9%2.1%1.2%1.4M326.2M-8.6M1.902.5442,74481,355667,125618,762
2023-06-23$38.39$40.0019.6%5.4%22.6%10.1%18.5%2.1%2.4%-13.0M449.3M-8.7M0.732.2228,14420,571687,752689,990
2023-06-26$36.95$39.5020.9%5.6%25.1%17.5%20.1%2.0%0.8%-38.5M820.5M-8.2M0.712.75120,91285,929659,944701,690
2023-06-27$36.42$39.0021.6%5.5%25.4%21.5%20.0%1.8%1.3%-37.5M916.7M-8.3M0.592.5553,98232,082718,381745,216
2023-06-28$36.27$38.5021.4%5.5%24.9%20.5%19.2%1.9%1.5%-35.8M959.4M-8.3M0.682.9158,65139,917743,646756,818
2023-06-29$36.06$38.0021.5%5.4%22.6%21.1%19.0%1.9%1.5%-33.7M968.2M-8.5M0.612.7344,76427,124766,578762,846
2023-06-30$36.66$38.0020.6%5.1%23.6%15.8%17.8%1.2%1.5%-24.7M811.0M-8.6M0.272.2876,43120,370783,772779,085