PFE Options History — December 2023

In December 2023, PFE traded between $26.11 and $29.23. ATM implied volatility averaged 25.3%, placing in the 49.1% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 8.2% (HV 20d: 33.5%). Max pain ranged from $29.00 to $32.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.88.

Notable Days

  • 2023-12-13: Highest Volume — 931,812 contracts
  • 2023-12-12: Largest IV spike — 17.2% change
  • 2023-12-26: Highest IV Rank — 68.2%
  • 2023-12-01: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.18$26.11$29.23$28.87$28.66
Max Pain$30.43$29.00$32.00$30.00$29.50
ATM IV25.3%22.9%28.3%24.7%27.7%
Expected Move7.2%6.7%7.8%7.8%6.8%
HV 20d33.5%26.3%38.6%30.8%37.7%
HV 60d29.3%26.7%31.9%26.7%30.4%
IV Rank49.1%33.7%68.2%45.1%64.3%
IV Percentile69.3%48.8%86.9%67.1%84.5%
Term Structure1.3%-1.0%4.7%-0.5%4.7%
VWIV25.1%23.8%27.6%27.6%24.2%
Skew 25d0.4%-0.7%1.3%1.0%1.3%
Skew 10d0.6%-1.1%2.4%1.9%1.0%
Call IV 25d25.2%22.5%27.8%24.6%25.3%
Put IV 25d25.6%23.3%28.1%25.6%26.6%
Bid-Ask Spread %2.731.724.354.353.01
Gamma HHI0.110.090.190.130.09
Net GEX-16.7M-36.3M4.8M-27.9M-5.0M
Net DEX913.5M396.0M1.58B1.09B449.7M
Net VEX-10.0M-12.0M-7.5M-8.0M-11.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.401.791.070.40
Total Volume245,230101,033931,812352,080112,326
Total OI2,545,351.62,151,8022,958,6292,151,8022,772,909

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-12-01$28.87$30.0024.7%7.8%30.8%45.1%27.6%1.0%-0.5%-27.9M1.09B-8.0M1.074.35170,011182,0691,205,262946,540
2023-12-04$29.23$32.0024.3%7.2%29.1%42.6%24.5%0.2%-0.9%-24.3M935.6M-8.8M0.983.3872,11570,8161,225,5351,016,569
2023-12-05$29.16$32.0023.9%7.3%29.1%39.8%24.8%0.8%1.6%-24.7M947.8M-8.8M0.833.2159,20849,0261,247,6611,030,565
2023-12-06$28.74$32.0023.1%7.0%29.2%34.6%24.0%0.3%1.5%-29.4M1.05B-8.7M1.793.0456,448100,9061,266,9301,038,368
2023-12-07$28.63$31.0023.5%7.1%28.8%37.0%24.7%1.1%1.3%-30.0M1.07B-8.6M0.732.6969,25350,7891,286,7071,039,490
2023-12-08$28.80$31.0022.9%7.0%26.8%33.7%24.7%0.8%1.1%-26.4M1.03B-8.8M0.943.0752,10448,9291,310,8601,051,065
2023-12-11$28.56$31.0023.3%6.9%26.8%36.2%24.5%1.2%0.4%-28.1M1.09B-8.7M1.092.9465,75571,8511,290,0281,040,421
2023-12-12$28.59$31.0027.4%7.6%26.3%62.1%27.0%0.3%-0.9%-24.4M1.01B-9.1M0.592.80151,54588,7391,319,6461,062,410
2023-12-13$26.68$31.0023.8%6.7%35.5%39.2%23.8%0.5%-0.3%-36.3M1.58B-7.5M1.232.46416,935514,8771,390,2661,091,780
2023-12-14$26.11$30.0025.1%7.1%33.3%47.7%25.3%0.2%-0.4%-24.3M1.56B-8.7M0.662.74238,253156,3801,596,3881,215,286
2023-12-15$26.57$30.0024.4%6.8%34.1%43.2%24.6%-0.7%-1.0%-1.9M1.31B-9.6M0.651.72186,196121,0361,708,6471,249,982
2023-12-18$26.95$30.0024.5%7.0%34.7%43.8%24.6%0.2%2.7%-19.7M1.15B-10.1M0.512.33172,06688,2691,365,7711,162,313
2023-12-19$28.05$30.0025.4%7.2%38.0%49.3%25.5%-0.6%2.5%-8.3M642.8M-11.5M0.482.25237,516115,1051,428,6731,193,494
2023-12-20$27.73$30.0026.0%7.5%37.9%53.4%25.2%-0.2%1.9%-13.6M822.5M-11.6M1.532.78137,675210,8831,460,5021,238,868
2023-12-21$28.21$29.0026.2%7.4%38.6%54.9%24.9%0.1%2.3%-3.5M559.1M-11.9M0.662.5595,88963,4341,499,1691,252,507
2023-12-22$28.39$29.5026.6%7.4%38.5%57.1%25.7%0.3%3.3%-808.5K476.8M-12.0M0.412.41144,31759,1211,501,0051,265,390
2023-12-26$28.41$30.0028.3%7.5%38.3%68.2%26.3%0.6%1.7%-6.4M585.0M-11.9M0.452.2471,36331,9981,446,8741,232,584
2023-12-27$28.55$30.0027.5%7.1%38.1%63.0%24.7%0.0%2.2%-3.1M519.0M-11.8M1.712.4582,294141,0041,466,1831,244,302
2023-12-28$28.79$29.5027.9%7.1%38.0%66.0%25.7%0.1%2.1%4.8M396.0M-11.9M0.852.1379,89168,2081,489,9531,256,129
2023-12-29$28.66$29.5027.7%6.8%37.7%64.3%24.2%1.3%4.7%-5.0M449.7M-11.9M0.403.0180,41431,9121,508,0711,264,838