PFE Options History — November 2023

In November 2023, PFE traded between $29.04 and $31.34. ATM implied volatility averaged 26.7%, placing in the 57.8% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 1.7% (HV 20d: 28.4%). Max pain ranged from $30.00 to $34.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.21.

Notable Days

  • 2023-11-13: Highest Volume — 280,377 contracts
  • 2023-11-09: Largest IV spike — 6.6% change
  • 2023-11-15: Highest IV Rank — 68.8%
  • 2023-11-01: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.21$29.04$31.34$30.61$30.34
Max Pain$31.31$30.00$34.00$32.50$30.00
ATM IV26.7%25.5%28.4%27.5%26.6%
Expected Move7.9%7.5%8.4%8.4%8.0%
HV 20d28.4%24.7%32.5%28.1%25.4%
HV 60d24.5%23.4%25.4%23.6%24.8%
IV Rank57.8%50.1%68.8%62.8%57.0%
IV Percentile82.7%77.0%88.1%86.1%81.3%
Term Structure-0.2%-1.6%0.9%-0.2%-0.8%
VWIV27.3%25.5%28.8%28.7%28.2%
Skew 25d1.6%0.8%2.3%2.1%1.1%
Skew 10d2.7%0.9%4.3%3.1%2.0%
Call IV 25d26.3%25.1%28.2%27.2%26.3%
Put IV 25d27.9%26.5%29.7%29.3%27.4%
Bid-Ask Spread %2.461.694.713.123.74
Gamma HHI0.190.090.290.160.12
Net GEX-16.0M-32.2M-1.3M-8.3M-7.4M
Net DEX899.5M451.1M1.44B1.20B600.1M
Net VEX-8.4M-9.0M-7.6M-8.2M-9.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.262.220.530.74
Total Volume118,43156,120280,37767,14791,575
Total OI2,076,248.7141,947,1582,199,9232,081,7902,117,644

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-11-01$30.61$32.5027.5%8.4%28.1%62.8%28.7%2.1%-0.2%-8.3M1.20B-8.2M0.533.1243,87423,2731,132,469949,321
2023-11-02$30.45$34.0026.5%7.9%27.9%56.5%27.3%1.8%0.2%-16.5M1.27B-8.0M0.932.1131,55829,2751,130,642949,568
2023-11-03$31.34$32.5025.6%7.6%30.3%50.8%26.4%1.6%0.2%-2.5M980.0M-8.5M0.262.1972,67018,6411,139,547962,020
2023-11-06$31.16$34.0025.8%7.6%30.3%52.0%26.5%1.6%0.9%-18.2M1.06B-8.3M0.662.5039,18425,9241,083,963929,284
2023-11-07$31.26$32.5025.8%7.6%30.3%51.9%26.8%1.6%0.9%-15.6M1.05B-8.3M0.811.7430,95025,1701,099,536946,535
2023-11-08$30.74$32.5025.5%7.5%30.7%50.1%26.2%1.5%0.6%-24.7M1.20B-8.1M0.672.0868,94546,0521,113,297961,730
2023-11-09$29.74$32.5027.2%7.9%32.5%61.0%28.0%2.3%0.7%-30.4M1.44B-8.0M1.182.1566,05478,2261,136,969995,470
2023-11-10$29.48$32.5027.8%8.1%31.4%64.8%27.5%2.3%0.8%-32.2M1.24B-7.6M1.801.9783,438150,3251,178,900954,064
2023-11-13$29.04$32.5027.8%8.0%27.8%65.3%28.8%1.6%-0.5%-28.1M1.18B-7.6M1.532.00110,695169,6821,175,800912,233
2023-11-14$29.30$31.0027.9%8.0%27.9%65.7%27.5%1.9%-0.5%-26.9M1.01B-7.9M1.402.4378,266109,6671,208,178893,646
2023-11-15$30.23$31.0028.4%8.1%28.4%68.8%28.4%1.5%-0.7%-18.7M683.1M-8.8M1.402.2489,162124,6211,238,640915,718
2023-11-16$29.69$30.0027.6%7.9%28.8%63.8%27.3%1.8%-0.2%-26.0M849.5M-8.4M1.451.9155,10280,0541,276,294905,669
2023-11-17$29.84$30.0027.1%7.8%28.5%60.2%27.4%1.5%-0.4%-26.3M833.5M-8.5M1.361.6934,46246,8211,287,091912,832
2023-11-20$30.05$30.0026.4%7.8%28.5%56.1%27.0%2.0%-0.8%-8.5M648.0M-8.5M1.352.3254,65573,8791,115,960831,198
2023-11-21$30.30$30.0026.6%7.7%28.4%57.1%25.5%1.5%-1.0%-3.2M557.9M-8.8M1.942.5629,19556,5211,139,901843,181
2023-11-22$30.34$30.0026.2%7.5%28.2%54.8%26.1%1.4%-1.0%-1.4M534.6M-8.8M1.732.4528,69649,6011,150,164851,588
2023-11-24$30.59$30.0026.0%7.8%27.8%53.6%27.3%1.5%-1.6%-1.3M451.1M-9.0M0.892.8833,03329,3331,159,494867,578
2023-11-27$30.11$30.0025.7%7.9%25.0%51.4%27.7%1.4%-0.1%-10.9M648.5M-8.5M1.252.5836,78445,8161,147,188867,343
2023-11-28$29.69$30.0025.9%7.7%24.7%52.7%26.9%0.8%-0.2%-17.4M777.5M-8.4M1.422.3541,15558,3451,157,803882,832
2023-11-29$30.05$30.0026.6%8.0%25.1%57.1%27.7%1.4%-0.6%-12.6M680.3M-8.7M2.224.7139,22587,1471,172,930907,003
2023-11-30$30.34$30.0026.6%8.0%25.4%57.0%28.2%1.1%-0.8%-7.4M600.1M-9.0M0.743.7452,70238,8731,187,192930,452