PFE Options History — September 2023

In September 2023, PFE traded between $32.05 and $35.78. ATM implied volatility averaged 21.8%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.9% (HV 20d: 17.9%). Max pain ranged from $30.00 to $37.50. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.65.

Notable Days

2023-09-19: Highest Volume — 217,020 contracts
2023-09-26: Largest IV spike — 11.0% change
2023-09-26: Highest IV Rank — 41.0%
2023-09-27: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.70	$32.05	$35.78	$35.78	$33.13
Max Pain	$33.25	$30.00	$37.50	$35.00	$30.00
ATM IV	21.8%	19.0%	25.1%	19.0%	25.1%
Expected Move	6.3%	5.1%	7.2%	5.1%	6.9%
HV 20d	17.9%	14.2%	21.5%	19.7%	21.4%
HV 60d	18.6%	17.4%	20.3%	19.4%	18.7%
IV Rank	22.3%	7.1%	41.0%	7.1%	40.9%
IV Percentile	31.9%	4.8%	73.4%	4.8%	73.4%
Term Structure	1.0%	-0.7%	5.0%	0.3%	4.5%
VWIV	22.3%	18.3%	28.8%	18.3%	24.3%
Skew 25d	1.8%	0.9%	2.7%	0.9%	2.1%
Skew 10d	3.5%	1.5%	5.4%	1.5%	4.0%
Call IV 25d	21.0%	19.0%	23.9%	19.0%	22.6%
Put IV 25d	22.8%	19.8%	26.3%	19.8%	24.7%
Bid-Ask Spread %	2.33	1.62	3.18	2.28	2.74
Gamma HHI	0.15	0.10	0.24	0.20	0.10
Net GEX	-13.3M	-31.8M	8.7M	-15.4M	8.7M
Net DEX	646.6M	276.0M	806.1M	276.0M	403.8M
Net VEX	-8.6M	-9.2M	-8.1M	-8.8M	-9.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.23	1.40	0.23	0.24
Total Volume	115,188.9	55,370	217,020	166,230	131,559
Total OI	1,850,486.3	1,489,080	2,044,499	1,857,442	1,933,336

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
2023-09-01	$35.78	$35.00	19.0%	5.1%	19.7%	7.1%	18.3%	0.9%	0.3%	-15.4M	276.0M	-8.8M	0.23	2.28	135,091	31,139	1,013,953	843,489
2023-09-05	$35.53	$37.50	20.3%	6.3%	18.4%	14.3%	22.4%	1.3%	0.2%	-16.1M	292.2M	-8.9M	0.73	2.61	71,454	52,395	1,022,564	827,018
2023-09-06	$34.44	$37.50	21.5%	6.1%	21.5%	20.7%	22.7%	1.3%	0.3%	-31.8M	640.8M	-8.6M	0.73	1.63	91,642	66,553	1,056,087	847,069
2023-09-07	$34.33	$35.00	22.2%	6.3%	20.9%	24.6%	23.1%	1.3%	0.3%	-27.0M	639.5M	-8.7M	0.75	2.45	60,583	45,368	1,084,808	856,222
2023-09-08	$34.19	$35.00	20.7%	6.0%	20.7%	16.2%	21.9%	1.3%	0.3%	-24.8M	682.9M	-8.6M	1.18	1.93	43,459	51,297	1,116,596	858,868
2023-09-11	$33.97	$35.00	21.6%	6.2%	20.0%	21.7%	22.2%	1.7%	0.0%	-24.0M	703.3M	-8.5M	1.12	2.16	70,017	78,448	1,086,893	855,480
2023-09-12	$34.16	$35.00	21.3%	6.2%	20.2%	19.9%	21.9%	1.7%	0.3%	-19.2M	625.1M	-8.7M	1.40	1.75	36,382	50,856	1,110,119	867,865
2023-09-13	$34.05	$35.00	20.3%	6.0%	18.9%	14.5%	21.4%	1.3%	0.7%	-17.5M	666.3M	-8.6M	1.35	1.91	64,482	87,201	1,115,819	877,712
2023-09-14	$34.20	$35.00	19.8%	5.8%	19.0%	11.2%	20.3%	1.2%	0.4%	-8.7M	657.5M	-8.6M	0.64	2.18	51,847	33,147	1,128,753	885,097
2023-09-15	$33.94	$35.00	20.3%	5.9%	14.3%	14.3%	20.9%	1.4%	0.6%	-3.3M	733.6M	-8.6M	0.34	1.62	45,284	15,543	1,155,080	889,419
2023-09-18	$33.56	$35.00	20.8%	6.0%	14.2%	17.0%	20.8%	1.3%	-0.4%	-11.8M	780.8M	-8.1M	0.62	2.12	55,443	34,613	786,421	702,659
2023-09-19	$33.98	$35.00	20.1%	5.8%	15.0%	13.0%	22.9%	2.5%	-0.3%	-7.4M	702.2M	-8.5M	0.67	3.18	130,331	86,689	808,893	724,349
2023-09-20	$33.66	$30.00	20.4%	5.9%	15.1%	15.1%	19.4%	2.4%	-0.7%	-10.3M	578.2M	-8.4M	0.52	2.75	53,813	28,213	898,051	803,072
2023-09-21	$32.89	$30.00	22.1%	6.3%	16.4%	24.2%	21.4%	2.6%	-0.2%	-16.4M	762.2M	-8.2M	0.41	2.82	70,606	28,906	915,565	807,620
2023-09-22	$32.72	$30.00	22.0%	6.4%	16.1%	23.9%	21.9%	2.5%	-0.7%	-12.8M	786.1M	-8.2M	0.40	2.50	112,186	44,648	952,814	815,996
2023-09-25	$32.91	$30.00	22.6%	6.6%	16.2%	27.2%	23.0%	2.7%	3.5%	-4.4M	637.4M	-8.8M	0.53	2.54	36,249	19,121	968,694	819,872
2023-09-26	$32.44	$30.00	25.1%	7.1%	16.6%	41.0%	28.8%	2.2%	2.5%	-7.8M	766.9M	-8.6M	0.52	2.70	59,404	31,020	978,922	829,302
2023-09-27	$32.09	$30.00	24.6%	7.2%	16.5%	38.3%	24.9%	2.6%	4.2%	-10.2M	806.1M	-8.6M	0.36	2.27	85,725	30,819	1,013,505	851,856
2023-09-28	$32.05	$30.00	25.1%	7.1%	16.6%	41.0%	24.2%	2.4%	5.0%	-6.3M	791.9M	-8.5M	0.33	2.54	62,046	20,199	1,041,167	858,721
2023-09-29	$33.13	$30.00	25.1%	6.9%	21.4%	40.9%	24.3%	2.1%	4.5%	8.7M	403.8M	-9.2M	0.24	2.74	105,949	25,610	1,069,247	864,089