PFE Options History — August 2023

In August 2023, PFE traded between $34.92 and $37.05. ATM implied volatility averaged 21.0%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 2.3% (HV 20d: 18.7%). Max pain ranged from $35.00 to $37.50. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.89.

Notable Days

2023-08-01: Highest Volume — 278,980 contracts
2023-08-25: Largest IV drop — 8.9% change
2023-08-24: Highest IV Rank — 28.5%
2023-08-17: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.95	$34.92	$37.05	$35.45	$35.47
Max Pain	$35.22	$35.00	$37.50	$37.50	$35.00
ATM IV	21.0%	19.4%	22.9%	20.3%	19.6%
Expected Move	6.1%	5.3%	6.6%	5.9%	5.4%
HV 20d	18.7%	14.9%	22.0%	16.1%	19.5%
HV 60d	21.9%	19.4%	23.8%	23.1%	19.5%
IV Rank	17.9%	9.3%	28.5%	14.2%	10.2%
IV Percentile	19.1%	7.9%	40.5%	10.3%	10.3%
Term Structure	0.6%	-0.7%	7.6%	0.2%	0.5%
VWIV	21.1%	19.4%	23.3%	20.9%	19.4%
Skew 25d	1.4%	0.7%	2.6%	1.5%	1.0%
Skew 10d	2.5%	1.5%	5.1%	2.0%	1.9%
Call IV 25d	20.8%	19.2%	23.6%	19.7%	19.2%
Put IV 25d	22.1%	20.2%	24.5%	21.1%	20.3%
Bid-Ask Spread %	2.20	1.50	2.92	2.92	2.55
Gamma HHI	0.17	0.10	0.31	0.19	0.24
Net GEX	-4.6M	-34.7M	26.6M	-30.9M	-30.3M
Net DEX	248.5M	-180.4M	797.1M	797.1M	401.1M
Net VEX	-8.8M	-9.2M	-8.3M	-8.4M	-8.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.20	2.69	0.45	0.80
Total Volume	113,682.478	63,497	278,980	278,980	73,716
Total OI	1,762,795.348	1,618,046	1,860,459	1,618,046	1,833,335

Daily Data (23 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
2023-08-01	$35.45	$37.50	20.3%	5.9%	16.1%	14.2%	20.9%	1.5%	0.2%	-30.9M	797.1M	-8.4M	0.45	2.92	191,764	87,216	843,996	774,050
2023-08-02	$35.36	$37.50	20.3%	5.8%	16.0%	14.3%	20.6%	1.3%	-0.3%	-28.1M	619.7M	-8.8M	1.20	2.77	76,700	92,159	908,240	804,600
2023-08-03	$35.00	$35.00	20.2%	6.0%	15.0%	13.9%	20.9%	1.3%	-0.2%	-32.6M	720.2M	-8.3M	1.16	1.67	57,444	66,495	919,958	796,169
2023-08-04	$34.92	$35.00	19.5%	5.8%	14.9%	10.0%	20.0%	1.5%	-0.1%	-34.7M	755.3M	-8.3M	1.06	2.21	56,023	59,399	943,953	808,108
2023-08-07	$35.66	$35.00	19.5%	6.0%	16.8%	9.8%	20.5%	1.1%	1.5%	-10.5M	411.3M	-8.6M	1.26	1.59	86,596	108,757	893,828	766,339
2023-08-08	$35.53	$35.00	20.0%	6.1%	16.6%	12.6%	20.8%	1.5%	1.3%	-12.7M	363.0M	-8.5M	0.88	2.26	56,833	49,971	938,283	812,971
2023-08-09	$35.95	$35.00	20.4%	6.1%	17.2%	15.1%	20.8%	1.5%	0.7%	3.9M	179.7M	-8.9M	1.79	2.20	42,052	75,225	954,328	822,345
2023-08-10	$35.61	$35.00	20.1%	6.0%	17.4%	13.3%	21.0%	0.8%	1.0%	-9.9M	303.1M	-8.6M	1.42	1.77	26,191	37,306	963,060	826,793
2023-08-11	$36.06	$35.00	20.2%	6.1%	17.9%	13.8%	20.7%	1.2%	1.4%	22.9M	139.3M	-8.8M	1.08	1.50	44,595	48,187	968,936	831,624
2023-08-14	$36.16	$35.00	21.6%	6.3%	17.7%	21.4%	21.2%	1.5%	0.1%	-311.1K	150.0M	-8.8M	0.66	1.83	48,398	31,969	937,944	818,078
2023-08-15	$35.39	$35.00	22.6%	6.5%	19.0%	27.3%	22.6%	2.2%	-0.7%	-25.7M	407.3M	-8.4M	1.32	1.86	35,251	46,414	949,596	826,183
2023-08-16	$35.50	$35.00	22.3%	6.4%	19.0%	25.1%	19.9%	2.6%	-0.3%	-27.5M	393.8M	-8.5M	2.69	1.99	47,018	126,684	957,010	838,478
2023-08-17	$36.64	$35.00	22.8%	6.6%	22.0%	28.2%	23.1%	1.0%	-0.6%	21.9M	-82.2M	-9.1M	0.33	1.99	113,137	37,836	969,886	870,693
2023-08-18	$36.81	$35.00	22.2%	6.4%	21.4%	24.8%	23.0%	1.8%	-0.1%	13.6M	-146.9M	-9.0M	0.45	1.65	67,162	29,929	984,655	875,804
2023-08-21	$37.05	$35.00	22.4%	6.5%	21.5%	25.9%	22.7%	1.5%	0.1%	19.1M	-180.4M	-9.1M	0.20	2.53	105,406	20,696	891,573	791,442
2023-08-22	$36.80	$35.00	22.4%	6.6%	21.2%	25.9%	23.3%	1.5%	-0.3%	26.6M	-131.2M	-9.2M	0.26	2.41	67,309	17,802	934,446	800,236
2023-08-23	$36.70	$35.00	21.6%	6.4%	21.2%	21.6%	22.5%	1.1%	0.2%	21.1M	-88.4M	-9.1M	0.44	2.71	51,206	22,510	941,271	810,542
2023-08-24	$36.20	$35.00	22.9%	6.4%	20.0%	28.5%	22.4%	1.2%	7.6%	7.7M	110.6M	-9.1M	0.45	2.32	50,031	22,527	953,454	817,739
2023-08-25	$36.36	$35.00	20.8%	5.8%	20.0%	17.2%	20.2%	1.0%	0.1%	7.7M	40.7M	-9.1M	0.36	2.86	62,269	22,597	971,738	829,482
2023-08-28	$36.13	$35.00	20.7%	5.9%	20.2%	16.6%	20.7%	1.1%	0.7%	-3.1M	157.1M	-8.9M	0.59	2.18	49,299	29,021	947,247	810,004
2023-08-29	$36.14	$35.00	20.2%	5.7%	19.2%	13.8%	20.0%	1.2%	0.5%	4.7M	159.8M	-8.8M	0.51	2.12	54,929	27,946	973,057	818,883
2023-08-30	$35.92	$35.00	19.4%	5.3%	19.3%	9.3%	19.4%	0.7%	-0.6%	-7.7M	234.2M	-8.7M	1.07	2.61	43,928	46,794	984,239	829,697
2023-08-31	$35.47	$35.00	19.6%	5.4%	19.5%	10.2%	19.4%	1.0%	0.5%	-30.3M	401.1M	-8.5M	0.80	2.55	40,981	32,735	997,322	836,013