PFE Options History — October 2023

In October 2023, PFE traded between $30.05 and $34.02. ATM implied volatility averaged 31.0%, placing in the 80.2% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 5.3% (HV 20d: 25.7%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.59.

Notable Days

2023-10-18: Highest Volume — 176,416 contracts
2023-10-31: Largest IV drop — 8.8% change
2023-10-27: Highest IV Rank — 100.0%
2023-10-27: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.08	$30.05	$34.02	$33.80	$30.62
Max Pain	$33.75	$30.00	$35.00	$30.00	$32.50
ATM IV	31.0%	28.4%	33.2%	28.7%	28.4%
Expected Move	9.0%	7.5%	10.5%	7.5%	8.9%
HV 20d	25.7%	21.4%	29.7%	22.6%	28.8%
HV 60d	21.2%	19.2%	24.0%	19.2%	23.6%
IV Rank	80.2%	60.8%	100.0%	60.8%	68.9%
IV Percentile	95.5%	88.1%	100.0%	88.1%	88.1%
Term Structure	-0.8%	-2.8%	1.1%	0.1%	0.3%
VWIV	30.9%	25.9%	35.6%	25.9%	31.4%
Skew 25d	3.3%	2.5%	4.1%	3.6%	2.9%
Skew 10d	5.2%	3.5%	6.9%	4.6%	4.8%
Call IV 25d	29.1%	27.1%	32.0%	27.1%	27.8%
Put IV 25d	32.4%	30.6%	35.0%	30.8%	30.8%
Bid-Ask Spread %	2.84	2.05	3.51	3.02	2.86
Gamma HHI	0.13	0.08	0.29	0.10	0.13
Net GEX	-6.2M	-24.4M	19.8M	15.0M	-2.5M
Net DEX	773.4M	81.2M	1.34B	167.2M	1.19B
Net VEX	-8.7M	-9.9M	-7.7M	-9.6M	-8.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.19	1.47	0.31	0.56
Total Volume	105,041.727	46,291	176,416	104,930	150,532
Total OI	1,987,318.227	1,825,971	2,111,894	1,916,959	2,069,104

Daily Data (22 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
2023-10-02	$33.80	$30.00	28.7%	7.5%	22.6%	60.8%	25.9%	3.6%	0.1%	15.0M	167.2M	-9.6M	0.31	3.02	80,259	24,671	1,054,781	862,178
2023-10-03	$34.02	$30.00	29.7%	7.9%	22.7%	66.5%	26.8%	4.1%	-0.3%	19.8M	81.2M	-9.9M	0.24	3.25	65,594	15,794	1,080,863	874,498
2023-10-04	$33.25	$30.00	30.6%	7.6%	21.5%	71.7%	26.4%	2.8%	-1.0%	12.9M	383.7M	-9.3M	0.87	2.92	37,930	32,932	1,094,898	881,826
2023-10-05	$33.45	$35.00	29.8%	8.3%	21.7%	67.1%	28.5%	3.1%	1.1%	12.4M	326.1M	-9.3M	0.60	2.24	28,874	17,417	1,102,216	896,438
2023-10-06	$33.28	$35.00	30.2%	8.3%	21.7%	69.4%	28.9%	3.2%	1.1%	-711.5K	401.3M	-9.2M	0.52	2.35	56,807	29,492	1,108,815	902,923
2023-10-09	$33.13	$35.00	31.1%	8.8%	21.6%	74.3%	29.0%	3.5%	-0.4%	-2.0M	506.8M	-9.0M	0.32	2.72	40,831	13,041	1,044,479	892,336
2023-10-10	$33.17	$35.00	31.0%	8.7%	21.5%	73.9%	30.9%	4.1%	-0.2%	818.5K	503.9M	-9.0M	0.80	2.59	49,875	39,733	1,055,521	898,565
2023-10-11	$33.09	$35.00	31.6%	8.8%	21.5%	77.1%	30.6%	3.9%	-0.2%	3.1M	534.1M	-9.0M	0.27	3.13	71,338	19,426	1,075,644	915,087
2023-10-12	$33.00	$35.00	31.8%	9.0%	21.4%	78.3%	30.8%	2.5%	-0.4%	7.7M	510.9M	-9.1M	0.19	2.70	78,515	15,294	1,112,759	922,727
2023-10-13	$32.09	$35.00	33.0%	9.1%	23.3%	84.5%	32.2%	3.1%	-2.1%	-16.9M	828.4M	-8.6M	0.71	2.54	47,817	34,183	1,136,489	926,270
2023-10-16	$33.25	$35.00	30.3%	8.7%	26.7%	78.4%	29.0%	3.1%	-2.8%	-3.9M	439.9M	-9.0M	0.71	2.82	98,827	70,276	1,070,742	923,281
2023-10-17	$32.59	$35.00	30.3%	8.7%	27.1%	78.2%	30.4%	3.5%	-2.2%	-19.9M	722.4M	-8.7M	1.47	2.84	36,682	53,785	1,085,388	945,608
2023-10-18	$31.46	$35.00	32.6%	9.4%	29.5%	94.4%	32.2%	4.0%	-2.1%	-22.8M	1.00B	-8.0M	0.36	2.05	129,504	46,912	1,094,641	938,502
2023-10-19	$31.13	$35.00	31.5%	9.1%	28.7%	88.3%	31.3%	3.5%	-1.9%	-22.6M	1.04B	-8.1M	0.54	2.38	62,532	33,461	1,118,618	952,659
2023-10-20	$30.64	$34.00	30.9%	9.0%	29.0%	84.4%	32.1%	3.5%	-1.7%	-20.1M	1.13B	-7.7M	0.90	2.57	86,500	77,511	1,150,813	961,081
2023-10-23	$30.84	$34.00	30.5%	9.2%	29.1%	84.0%	32.0%	3.6%	-0.6%	-19.3M	1.19B	-8.0M	0.53	3.07	43,406	23,013	976,301	849,670
2023-10-24	$30.48	$34.00	30.6%	9.2%	29.0%	84.5%	31.2%	3.5%	-0.6%	-21.3M	1.29B	-7.8M	0.76	3.03	38,865	29,626	995,070	866,380
2023-10-25	$30.76	$34.00	32.1%	10.0%	29.1%	94.5%	34.6%	2.5%	-1.1%	-17.4M	1.20B	-8.3M	0.41	3.51	110,251	44,704	1,018,088	884,268
2023-10-26	$31.20	$34.00	32.9%	10.3%	29.7%	99.7%	35.2%	2.9%	-1.3%	-4.9M	1.03B	-8.8M	0.78	3.47	50,245	39,093	1,075,024	903,541
2023-10-27	$30.05	$32.50	33.2%	10.5%	29.4%	100.0%	35.6%	3.0%	-0.9%	-24.4M	1.34B	-8.1M	0.66	3.16	66,454	44,117	1,088,180	924,923
2023-10-30	$30.55	$32.50	31.1%	10.2%	29.0%	86.6%	34.9%	3.0%	-0.5%	-10.4M	1.19B	-8.3M	0.41	3.36	123,932	50,867	1,075,067	914,739
2023-10-31	$30.62	$32.50	28.4%	8.9%	28.8%	68.9%	31.4%	2.9%	0.3%	-2.5M	1.19B	-8.3M	0.56	2.86	96,770	53,762	1,129,510	939,594