PFE Options History — January 2024

In January 2024, PFE traded between $27.07 and $29.77. ATM implied volatility averaged 27.9%, placing in the 65.7% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 0.5% (HV 20d: 28.4%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.79.

Notable Days

2024-01-24: Highest Volume — 457,517 contracts
2024-01-30: Largest IV drop — 10.9% change
2024-01-04: Highest IV Rank — 88.9%
2024-01-26: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.46	$27.07	$29.77	$29.77	$27.16
Max Pain	$28.17	$28.00	$30.00	$29.50	$28.00
ATM IV	27.9%	24.4%	31.5%	30.8%	24.4%
Expected Move	8.0%	7.1%	9.0%	7.5%	7.1%
HV 20d	28.4%	18.3%	37.4%	36.1%	18.3%
HV 60d	30.3%	29.0%	31.8%	31.5%	29.1%
IV Rank	65.7%	43.2%	88.9%	84.1%	43.2%
IV Percentile	83.7%	62.7%	97.2%	95.2%	62.7%
Term Structure	-0.8%	-1.8%	-0.2%	-0.9%	-0.2%
VWIV	27.7%	20.4%	32.1%	26.5%	25.0%
Skew 25d	0.6%	-0.4%	1.5%	1.4%	0.3%
Skew 10d	0.3%	-0.9%	1.5%	1.2%	-0.1%
Call IV 25d	27.8%	24.4%	30.8%	30.5%	24.4%
Put IV 25d	28.4%	24.7%	32.3%	31.8%	24.7%
Bid-Ask Spread %	2.66	2.02	3.75	2.56	2.90
Gamma HHI	0.09	0.07	0.15	0.07	0.09
Net GEX	-9.9M	-38.2M	12.4M	12.4M	-22.9M
Net DEX	581.7M	-43.0M	989.0M	-43.0M	837.1M
Net VEX	-11.6M	-12.2M	-11.1M	-12.2M	-11.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.07	2.74	0.30	0.78
Total Volume	192,411.524	89,776	457,517	346,120	190,682
Total OI	2,707,011.762	2,311,871	3,021,968	2,717,086	2,670,211

Daily Data (21 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
2024-01-02	$29.77	$29.50	30.8%	7.5%	36.1%	84.1%	26.5%	1.4%	-0.9%	12.4M	-43.0M	-12.2M	0.30	2.56	266,014	80,106	1,474,317	1,242,769
2024-01-03	$29.73	$30.00	31.1%	7.5%	35.9%	86.7%	27.1%	1.1%	-1.0%	11.9M	29.9M	-12.2M	0.67	2.40	100,638	66,944	1,486,607	1,254,949
2024-01-04	$29.16	$28.00	31.5%	8.4%	36.6%	88.9%	30.2%	1.5%	-1.0%	1.2M	334.6M	-12.0M	0.81	2.81	94,884	77,143	1,507,636	1,275,965
2024-01-05	$29.37	$28.00	30.3%	8.2%	36.2%	81.2%	28.7%	1.4%	-1.8%	4.9M	239.7M	-12.0M	0.41	2.74	85,567	34,958	1,531,624	1,294,514
2024-01-08	$29.57	$28.00	29.2%	8.2%	36.3%	74.2%	28.8%	0.5%	-0.8%	5.9M	159.7M	-11.9M	0.39	2.38	69,151	27,284	1,495,112	1,271,209
2024-01-09	$29.41	$28.00	28.9%	8.0%	36.3%	72.0%	27.9%	1.1%	-0.7%	7.9M	224.8M	-11.7M	0.38	2.30	111,581	41,898	1,515,949	1,280,186
2024-01-10	$28.96	$28.00	27.6%	7.7%	36.6%	63.9%	26.7%	1.3%	-0.8%	-3.5M	457.0M	-11.5M	1.58	3.29	95,837	151,539	1,551,831	1,298,318
2024-01-11	$28.37	$28.00	27.5%	7.7%	37.4%	63.0%	26.8%	0.5%	-0.9%	-19.3M	779.5M	-11.4M	0.79	2.02	94,956	74,774	1,577,932	1,330,035
2024-01-12	$28.74	$28.00	25.8%	7.3%	27.4%	52.0%	25.6%	1.3%	-0.6%	-10.7M	589.5M	-11.5M	0.88	2.42	68,559	60,411	1,593,903	1,358,472
2024-01-16	$28.30	$28.00	26.4%	7.5%	26.7%	56.0%	26.5%	0.6%	-0.6%	-22.3M	820.6M	-11.1M	1.05	2.25	58,366	61,463	1,548,548	1,340,702
2024-01-17	$28.14	$28.00	26.6%	7.6%	26.4%	57.4%	26.8%	1.0%	-1.0%	-30.8M	919.1M	-11.1M	2.74	2.18	61,294	167,932	1,563,968	1,367,215
2024-01-18	$28.05	$28.00	26.9%	7.8%	26.2%	59.5%	27.5%	0.4%	-1.0%	-38.2M	938.9M	-11.1M	0.87	2.59	86,251	75,258	1,577,968	1,376,663
2024-01-19	$28.24	$28.00	27.2%	7.9%	22.1%	61.5%	28.2%	0.1%	-0.9%	-12.0M	763.9M	-11.5M	0.60	2.52	75,263	44,824	1,618,300	1,403,668
2024-01-22	$28.38	$28.00	27.2%	8.1%	21.7%	61.3%	28.8%	0.1%	-0.4%	-4.2M	608.1M	-11.3M	0.62	3.26	84,881	52,979	1,121,084	1,190,787
2024-01-23	$28.44	$28.00	26.4%	8.0%	20.9%	56.1%	28.0%	-0.1%	-0.2%	-1.1M	576.7M	-11.4M	0.34	3.05	66,780	22,996	1,155,332	1,230,585
2024-01-24	$28.41	$28.00	27.3%	8.3%	20.8%	62.0%	20.4%	-0.4%	-0.3%	1.2M	564.3M	-11.5M	0.07	3.19	428,962	28,555	1,179,102	1,241,034
2024-01-25	$27.52	$28.00	28.9%	9.0%	23.6%	72.1%	32.1%	0.4%	-0.9%	-25.7M	866.9M	-11.6M	0.89	2.30	96,991	86,237	1,191,211	1,248,737
2024-01-26	$27.49	$28.00	28.7%	9.0%	23.5%	70.8%	31.9%	0.2%	-0.9%	-23.3M	778.9M	-11.7M	1.03	2.78	67,475	69,184	1,232,972	1,262,222
2024-01-29	$27.48	$28.00	28.1%	9.0%	23.2%	67.2%	31.6%	0.0%	-1.4%	-13.5M	780.5M	-11.6M	0.84	3.75	152,500	128,479	1,195,926	1,216,168
2024-01-30	$27.07	$28.00	25.1%	7.5%	23.6%	47.3%	26.7%	0.3%	-0.2%	-25.7M	989.0M	-11.5M	0.50	2.22	220,251	110,795	1,282,043	1,291,473
2024-01-31	$27.16	$28.00	24.4%	7.1%	18.3%	43.2%	25.0%	0.3%	-0.2%	-22.9M	837.1M	-11.7M	0.78	2.90	107,350	83,332	1,358,824	1,311,387