PFE Options History — February 2024

In February 2024, PFE traded between $26.64 and $27.80. ATM implied volatility averaged 24.2%, placing in the 42.0% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 5.1% (HV 20d: 19.1%). Max pain ranged from $27.50 to $29.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.93.

Notable Days

  • 2024-02-23: Highest Volume — 232,191 contracts
  • 2024-02-14: Largest IV drop — 7.6% change
  • 2024-02-13: Highest IV Rank — 54.8%
  • 2024-02-13: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.29$26.64$27.80$27.23$26.71
Max Pain$27.80$27.50$29.00$29.00$27.50
ATM IV24.2%23.3%26.2%23.7%23.3%
Expected Move7.1%6.8%7.5%6.8%6.8%
HV 20d19.1%16.6%20.8%18.4%18.5%
HV 60d27.7%25.6%29.0%28.5%25.6%
IV Rank42.0%35.8%54.8%38.4%35.8%
IV Percentile58.8%43.7%75.8%56.0%43.7%
Term Structure-0.2%-2.1%1.2%1.2%0.2%
VWIV24.6%22.7%26.5%24.0%24.2%
Skew 25d0.5%-0.8%1.5%0.4%0.2%
Skew 10d1.2%0.1%2.4%0.9%1.4%
Call IV 25d24.4%23.4%26.2%23.7%23.7%
Put IV 25d24.9%23.4%27.0%24.0%23.8%
Bid-Ask Spread %2.181.652.972.212.38
Gamma HHI0.090.080.120.100.10
Net GEX-8.5M-27.0M4.3M-24.6M-19.2M
Net DEX529.5M233.4M971.5M803.9M687.8M
Net VEX-12.0M-12.4M-11.6M-11.7M-11.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.272.330.550.75
Total Volume150,240.95104,392232,191166,801144,960
Total OI2,626,834.252,464,9812,734,1592,690,4482,692,138

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-02-01$27.23$29.0023.7%6.8%18.4%38.4%24.0%0.4%1.2%-24.6M803.9M-11.7M0.552.21107,47159,3301,380,6491,309,799
2024-02-02$26.84$29.0023.4%6.8%18.0%36.5%23.8%0.5%0.1%-27.0M971.5M-11.6M0.602.52108,92165,6241,410,2521,315,565
2024-02-05$26.64$29.0024.2%7.0%17.5%41.5%24.4%0.7%0.3%-25.5M937.6M-11.6M0.591.8865,72638,6661,324,1191,249,583
2024-02-06$27.36$29.0024.6%7.0%20.4%44.4%24.8%0.4%-0.2%-4.7M529.7M-12.1M0.361.97139,65550,8361,348,6481,243,555
2024-02-07$27.55$27.5023.6%7.0%20.8%38.1%22.7%0.6%0.4%3.2M420.8M-12.3M1.541.9262,49396,2431,378,9341,256,591
2024-02-08$27.55$27.5024.1%6.9%20.3%40.9%22.7%0.7%0.3%-423.9K449.3M-12.2M1.871.8536,47068,3571,378,6671,268,356
2024-02-09$27.55$27.5023.8%6.9%19.1%38.9%23.8%0.8%0.4%2.2M421.5M-12.3M0.881.9557,03650,0241,381,6641,269,619
2024-02-12$27.59$27.5024.7%7.1%18.4%45.2%24.3%0.9%-0.6%-4.2M431.1M-12.1M0.641.6577,00249,2031,361,5011,237,927
2024-02-13$26.95$27.5026.2%7.5%19.4%54.8%26.5%0.8%-1.0%-14.3M712.3M-11.8M1.121.9872,37380,7871,389,6911,243,750
2024-02-14$27.12$27.5024.2%6.9%19.6%41.9%23.6%1.0%1.0%-13.5M616.6M-11.8M2.332.1851,728120,5141,414,1191,267,010
2024-02-15$27.44$27.5024.9%7.2%20.2%46.5%24.6%1.0%0.1%-2.1M375.4M-12.2M1.241.8163,83479,4051,442,3321,260,485
2024-02-16$27.56$27.5023.7%7.4%20.0%38.7%25.9%0.5%-2.1%-9.1M318.1M-12.2M0.491.87107,68153,2211,456,9681,277,191
2024-02-20$27.55$27.5025.2%7.4%19.9%48.0%25.8%0.4%0.1%-1.8M331.4M-12.1M0.392.44105,65941,5591,293,8311,171,150
2024-02-21$27.55$27.5024.9%7.4%19.9%46.0%25.5%1.5%-0.4%-1.3M332.9M-12.2M1.372.3050,88569,6001,325,7381,192,474
2024-02-22$27.59$27.5024.2%7.2%19.9%41.9%25.0%0.7%-0.5%-2.7M322.9M-12.2M0.502.41109,95554,5221,339,2531,215,324
2024-02-23$27.80$27.5024.1%7.0%16.6%40.8%24.5%0.1%-1.0%4.3M233.4M-12.4M0.272.97183,33148,8601,360,3071,242,053
2024-02-26$27.23$27.5024.4%7.2%18.2%43.4%25.3%0.1%-0.5%-5.8M516.9M-12.0M0.882.4175,35166,2271,340,1611,210,144
2024-02-27$26.93$27.5024.1%7.2%18.6%41.5%25.3%0.0%-0.4%-13.1M639.6M-12.0M0.512.7286,81344,5041,373,7151,249,919
2024-02-28$27.07$27.5023.4%7.1%17.9%36.4%24.7%-0.8%-1.1%-11.3M536.6M-12.1M1.622.2861,02398,9701,405,7381,257,765
2024-02-29$26.71$27.5023.3%6.8%18.5%35.8%24.2%0.2%0.2%-19.2M687.8M-11.9M0.752.3882,66362,2971,423,0291,269,109