PFE Options History — July 2023

In July 2023, PFE traded between $35.55 and $37.53. ATM implied volatility averaged 22.6%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.9% (HV 20d: 19.7%). Max pain ranged from $37.50 to $38.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.58.

Notable Days

2023-07-31: Highest Volume — 140,272 contracts
2023-07-05: Largest IV spike — 10.4% change
2023-07-10: Highest IV Rank — 33.4%
2023-07-31: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.35	$35.55	$37.53	$36.67	$36.03
Max Pain	$37.55	$37.50	$38.00	$38.00	$37.50
ATM IV	22.6%	21.3%	23.8%	21.3%	23.5%
Expected Move	6.4%	5.0%	7.6%	5.0%	7.6%
HV 20d	19.7%	14.0%	23.5%	23.0%	15.2%
HV 60d	23.0%	22.8%	23.2%	23.0%	22.9%
IV Rank	26.9%	19.8%	33.4%	19.8%	32.0%
IV Percentile	27.4%	15.1%	40.5%	15.1%	40.5%
Term Structure	-0.4%	-1.3%	0.9%	-0.5%	-0.7%
VWIV	22.6%	17.4%	26.8%	17.4%	26.8%
Skew 25d	1.4%	0.1%	2.7%	2.2%	1.8%
Skew 10d	2.7%	0.8%	11.3%	3.1%	3.2%
Call IV 25d	22.5%	21.1%	24.1%	21.1%	22.5%
Put IV 25d	23.9%	22.5%	25.7%	23.3%	24.4%
Bid-Ask Spread %	2.46	1.84	3.23	2.92	2.65
Gamma HHI	0.17	0.12	0.26	0.15	0.14
Net GEX	-25.3M	-50.2M	13.0M	-30.1M	-12.6M
Net DEX	782.6M	326.9M	1.10B	799.4M	584.3M
Net VEX	-8.6M	-8.9M	-8.2M	-8.5M	-8.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.16	1.33	0.53	0.82
Total Volume	76,706.3	36,714	140,272	36,714	140,272
Total OI	1,578,270.75	1,477,864	1,672,593	1,507,552	1,535,990

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2023-07-03	$36.67	$38.00	21.3%	5.0%	23.0%	19.8%	17.4%	2.2%	-0.5%	-30.1M	799.4M	-8.5M	0.53	2.92	23,938	12,776	746,041	761,511
2023-07-05	$36.41	$38.00	23.5%	5.3%	22.8%	32.1%	18.6%	2.5%	-0.9%	-32.1M	831.5M	-8.6M	0.52	2.47	48,443	25,201	753,834	768,578
2023-07-06	$35.72	$37.50	23.7%	6.6%	23.5%	33.3%	23.2%	2.4%	-0.4%	-40.6M	1.06B	-8.3M	0.49	2.78	52,844	25,841	769,091	780,501
2023-07-07	$35.55	$37.50	23.3%	6.4%	22.6%	30.8%	22.5%	2.7%	-1.0%	-40.4M	1.10B	-8.2M	0.85	2.21	41,234	34,895	786,484	792,521
2023-07-10	$35.61	$37.50	23.8%	6.6%	22.4%	33.4%	23.2%	1.7%	0.1%	-38.5M	1.06B	-8.4M	0.49	1.86	30,863	15,257	779,535	799,005
2023-07-11	$35.89	$37.50	22.9%	6.5%	22.8%	28.6%	22.6%	1.8%	0.4%	-36.2M	960.5M	-8.7M	0.58	2.00	29,674	17,348	789,838	807,339
2023-07-12	$35.95	$37.50	22.1%	6.4%	20.8%	24.5%	22.4%	1.6%	0.6%	-40.4M	994.5M	-8.4M	0.33	2.04	30,946	10,354	796,099	816,939
2023-07-13	$36.08	$37.50	22.3%	6.6%	20.6%	25.5%	22.8%	1.2%	0.9%	-39.0M	958.4M	-8.5M	0.29	2.02	44,725	12,899	804,243	818,707
2023-07-14	$36.30	$37.50	22.3%	6.3%	20.3%	25.1%	22.6%	1.2%	-0.3%	-36.4M	847.6M	-8.7M	0.39	3.23	48,047	18,542	814,345	821,064
2023-07-17	$36.00	$37.50	22.7%	6.5%	19.8%	27.4%	22.6%	1.9%	-1.3%	-50.2M	1.01B	-8.2M	1.16	2.00	31,972	37,074	790,050	813,102
2023-07-18	$36.28	$37.50	22.4%	6.4%	19.3%	25.8%	22.7%	1.1%	-0.4%	-46.1M	899.8M	-8.5M	0.72	2.92	43,849	31,606	802,112	831,408
2023-07-19	$36.45	$37.50	22.6%	6.5%	19.0%	26.8%	23.0%	1.8%	-0.4%	-29.5M	795.3M	-8.6M	1.33	1.84	39,789	52,931	820,211	830,403
2023-07-20	$36.80	$37.50	22.7%	6.5%	19.1%	27.4%	23.3%	0.3%	-0.8%	-4.0M	639.9M	-8.7M	0.37	1.98	55,620	20,768	829,516	826,856
2023-07-21	$37.34	$37.50	22.7%	6.6%	20.0%	27.4%	23.3%	0.1%	-0.5%	-4.3M	445.9M	-8.9M	0.16	2.53	98,383	15,361	838,209	834,384
2023-07-24	$37.53	$37.50	21.8%	6.3%	20.0%	22.8%	22.5%	0.5%	-0.4%	13.0M	326.9M	-8.9M	0.33	2.89	78,774	26,376	743,516	734,348
2023-07-25	$37.09	$37.50	21.9%	6.4%	15.0%	23.0%	22.5%	0.3%	-0.6%	-1.3M	476.6M	-8.7M	0.45	2.69	40,504	18,176	759,422	748,056
2023-07-26	$37.09	$37.50	21.7%	6.5%	14.0%	21.9%	22.6%	0.5%	-0.0%	2.5M	496.2M	-8.6M	0.38	2.76	74,728	28,614	772,268	755,937
2023-07-27	$36.22	$37.50	22.6%	6.8%	16.5%	26.9%	24.0%	1.3%	-0.5%	-16.2M	696.8M	-8.6M	0.83	2.79	50,583	41,857	782,251	759,920
2023-07-28	$36.06	$37.50	22.1%	6.8%	16.4%	24.1%	24.1%	1.0%	-0.6%	-24.5M	665.1M	-8.5M	0.50	2.66	55,331	27,731	803,319	748,462
2023-07-31	$36.03	$37.50	23.5%	7.6%	15.2%	32.0%	26.8%	1.8%	-0.7%	-12.6M	584.3M	-8.6M	0.82	2.65	76,860	63,412	798,285	737,705