PFE Options History — March 2024

In March 2024, PFE traded between $25.84 and $28.30. ATM implied volatility averaged 24.3%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 1.6% (HV 20d: 25.9%). Max pain ranged from $27.50 to $27.50. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.44.

Notable Days

2024-03-04: Highest Volume — 287,362 contracts
2024-03-04: Largest IV spike — 11.3% change
2024-03-05: Highest IV Rank — 54.5%
2024-03-05: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.45	$25.84	$28.30	$26.56	$27.80
Max Pain	$27.50	$27.50	$27.50	$27.50	$27.50
ATM IV	24.3%	22.3%	26.2%	23.4%	22.3%
Expected Move	6.9%	6.2%	7.5%	6.8%	6.2%
HV 20d	25.9%	18.5%	28.9%	18.5%	26.2%
HV 60d	24.6%	21.4%	28.9%	25.4%	21.4%
IV Rank	42.7%	29.4%	54.5%	36.7%	29.4%
IV Percentile	55.6%	31.3%	75.4%	46.4%	31.3%
Term Structure	0.7%	-0.8%	4.3%	0.2%	4.3%
VWIV	24.4%	21.9%	26.2%	23.9%	21.9%
Skew 25d	0.6%	0.1%	1.3%	0.3%	0.4%
Skew 10d	1.1%	0.0%	2.7%	1.1%	0.8%
Call IV 25d	24.4%	22.0%	26.7%	23.7%	22.0%
Put IV 25d	25.0%	22.5%	27.0%	24.0%	22.5%
Bid-Ask Spread %	2.63	1.69	4.04	2.55	2.54
Gamma HHI	0.12	0.09	0.19	0.15	0.09
Net GEX	9.9M	-36.4M	42.1M	-36.4M	11.7M
Net DEX	254.4M	-217.6M	1.13B	791.7M	117.0M
Net VEX	-13.6M	-14.2M	-11.7M	-12.0M	-13.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.21	0.97	0.48	0.38
Total Volume	179,728.05	84,671	287,362	282,370	209,758
Total OI	2,804,988.6	2,601,484	3,018,424	2,767,367	2,797,923

Daily Data (20 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
2024-03-01	$26.56	$27.50	23.4%	6.8%	18.5%	36.7%	23.9%	0.3%	0.2%	-36.4M	791.7M	-12.0M	0.48	2.55	191,332	91,038	1,463,540	1,303,827
2024-03-04	$25.84	$27.50	26.1%	7.4%	20.3%	53.8%	26.2%	0.8%	0.4%	-18.0M	1.13B	-11.7M	0.56	2.09	184,404	102,958	1,412,187	1,279,713
2024-03-05	$26.02	$27.50	26.2%	7.5%	20.4%	54.5%	25.9%	0.3%	-0.1%	-8.1M	935.6M	-12.6M	0.36	3.32	144,441	52,243	1,503,863	1,312,471
2024-03-06	$27.18	$27.50	25.7%	7.2%	24.0%	51.7%	25.7%	0.1%	-0.8%	6.7M	291.0M	-13.6M	0.38	2.53	184,043	69,256	1,542,924	1,329,181
2024-03-07	$26.88	$27.50	25.6%	7.2%	24.2%	51.0%	25.6%	0.4%	-0.0%	-2.8M	483.5M	-13.3M	0.57	2.03	75,149	42,694	1,544,338	1,341,477
2024-03-08	$27.18	$27.50	25.7%	7.3%	24.5%	51.2%	25.5%	0.4%	0.1%	-2.5M	334.9M	-13.5M	0.26	2.69	171,589	44,498	1,559,584	1,354,664
2024-03-11	$28.30	$27.50	25.7%	7.2%	28.5%	51.4%	25.5%	0.7%	-0.5%	23.9M	-211.7M	-14.1M	0.32	1.69	201,394	65,381	1,526,207	1,319,644
2024-03-12	$27.98	$27.50	25.1%	7.2%	28.9%	47.8%	25.3%	0.5%	-0.2%	21.6M	-28.0M	-14.0M	0.36	2.13	144,663	51,904	1,539,028	1,352,429
2024-03-13	$28.27	$27.50	24.9%	7.0%	27.6%	46.4%	24.9%	0.6%	-0.3%	31.0M	-217.6M	-14.2M	0.40	2.75	140,534	55,934	1,573,932	1,372,294
2024-03-14	$28.07	$27.50	25.2%	7.3%	27.8%	48.2%	24.9%	1.3%	0.3%	27.7M	-103.9M	-14.2M	0.38	2.15	88,787	33,973	1,594,164	1,379,703
2024-03-15	$27.98	$27.50	24.6%	7.1%	27.6%	44.5%	24.7%	0.1%	0.2%	42.1M	-140.3M	-14.1M	0.36	3.47	152,173	55,025	1,624,919	1,393,505
2024-03-18	$27.73	$27.50	24.3%	7.0%	27.8%	42.2%	24.1%	0.7%	-0.2%	14.3M	174.2M	-13.9M	0.54	3.46	72,620	39,060	1,337,713	1,263,771
2024-03-19	$27.63	$27.50	23.7%	6.8%	27.8%	38.5%	23.9%	1.0%	1.2%	17.2M	211.5M	-13.8M	0.57	4.04	53,910	30,761	1,369,267	1,287,500
2024-03-20	$27.70	$27.50	23.4%	6.7%	27.8%	36.8%	23.5%	1.0%	-0.4%	17.9M	178.5M	-13.7M	0.97	2.30	55,119	53,600	1,385,097	1,307,161
2024-03-21	$27.71	$27.50	23.2%	6.6%	27.8%	35.0%	23.4%	0.8%	0.3%	11.7M	137.0M	-13.9M	0.44	2.59	70,084	30,727	1,405,483	1,335,325
2024-03-22	$27.37	$27.50	22.7%	6.5%	28.0%	32.2%	23.0%	0.8%	0.3%	-12.2M	336.2M	-13.7M	0.21	2.62	234,500	49,018	1,418,380	1,341,837
2024-03-25	$27.44	$27.50	23.4%	6.6%	27.0%	36.6%	23.4%	0.8%	3.2%	19.0M	332.6M	-13.7M	0.66	3.11	54,235	36,049	1,392,475	1,313,059
2024-03-26	$27.59	$27.50	23.2%	6.7%	26.7%	35.2%	23.0%	0.9%	3.7%	18.2M	215.9M	-13.8M	0.38	2.23	95,701	36,011	1,414,356	1,335,560
2024-03-27	$27.79	$27.50	22.4%	6.4%	26.8%	30.1%	22.6%	0.6%	3.5%	14.2M	116.1M	-13.8M	0.24	2.31	104,738	25,257	1,426,936	1,344,335
2024-03-28	$27.80	$27.50	22.3%	6.2%	26.2%	29.4%	21.9%	0.4%	4.3%	11.7M	117.0M	-13.9M	0.38	2.54	151,458	58,300	1,444,556	1,353,367