PFE Options History — June 2024

In June 2024, PFE traded between $26.94 and $29.52. ATM implied volatility averaged 23.2%, placing in the 34.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 0.7% (HV 20d: 23.8%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.68.

Notable Days

  • 2024-06-04: Highest Volume — 184,493 contracts
  • 2024-06-26: Largest IV spike — 11.3% change
  • 2024-06-27: Highest IV Rank — 53.9%
  • 2024-06-10: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.09$26.94$29.52$29.23$27.89
Max Pain$28.16$28.00$29.00$29.00$28.00
ATM IV23.2%21.7%26.3%24.0%25.1%
Expected Move6.5%6.1%6.7%6.6%6.1%
HV 20d23.8%22.3%25.8%23.6%24.0%
HV 60d24.4%23.3%25.6%24.7%25.5%
IV Rank34.3%23.2%53.9%40.3%45.7%
IV Percentile37.6%20.2%68.7%48.8%56.7%
Term Structure0.8%-1.5%5.0%-0.6%1.1%
VWIV22.8%21.3%23.5%23.5%21.4%
Skew 25d0.2%-1.6%2.1%-0.3%1.7%
Skew 10d1.0%-1.9%7.0%-0.5%1.6%
Call IV 25d23.2%21.3%24.2%24.1%22.7%
Put IV 25d23.3%22.0%26.0%23.8%24.5%
Bid-Ask Spread %5.752.7714.988.794.29
Gamma HHI0.120.090.230.150.09
Net GEX-7.9M-57.3M39.9M32.8M7.3M
Net DEX130.1M-741.8M838.5M-631.9M175.8M
Net VEX-13.7M-14.4M-13.0M-14.3M-13.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.321.430.320.64
Total Volume129,664.73763,222184,493132,549101,874
Total OI2,995,093.6842,634,0853,215,9712,977,0132,838,150

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-06-03$29.23$29.0024.0%6.6%23.6%40.3%23.5%-0.3%-0.6%32.8M-631.9M-14.3M0.328.79100,18732,3621,512,3601,464,653
2024-06-04$29.45$29.0022.4%6.5%23.2%29.8%23.0%-1.6%-1.5%39.9M-741.8M-14.4M0.562.77118,49665,9971,530,3701,474,314
2024-06-05$29.52$29.0023.6%6.5%22.3%37.7%23.0%-0.4%-0.7%37.2M-692.3M-14.3M0.454.1682,85537,4371,519,5701,504,923
2024-06-06$28.89$28.0023.1%6.5%23.2%34.4%23.0%-0.2%-0.7%15.8M-319.9M-14.1M0.745.2364,54447,8121,536,9661,527,686
2024-06-07$28.62$28.0022.6%6.6%23.4%31.4%23.1%-0.2%0.2%2.3M-165.1M-14.0M0.575.5155,97431,7371,552,5101,536,509
2024-06-10$28.11$28.0023.1%6.7%24.3%34.6%23.4%-0.5%0.2%-14.8M167.1M-13.7M0.633.8276,39648,4001,480,0211,503,853
2024-06-11$28.02$28.0023.3%6.6%23.9%35.9%23.3%-0.7%-0.3%-14.5M240.5M-13.7M0.835.1134,46228,7601,513,4391,531,928
2024-06-12$27.61$28.0022.9%6.5%24.4%33.6%23.1%0.2%-0.2%-29.9M504.5M-13.5M0.594.0375,04344,5071,522,3811,550,698
2024-06-13$27.64$28.0023.0%6.6%23.7%34.2%23.4%0.0%0.1%-24.5M459.7M-13.6M0.534.44117,96562,0201,541,4371,562,319
2024-06-14$27.54$28.0022.8%6.6%23.5%33.0%23.3%-0.1%0.2%-12.4M504.6M-13.6M0.434.2087,20037,2921,576,1851,581,561
2024-06-17$26.94$28.0023.0%6.6%24.3%34.3%23.4%-0.2%3.6%-35.6M838.5M-13.0M0.624.4083,93551,6441,541,6391,568,590
2024-06-18$27.39$28.0022.9%6.6%25.2%33.4%22.5%0.7%1.5%-30.7M562.5M-13.3M1.433.9767,81096,6281,561,9061,574,888
2024-06-20$27.77$28.0022.6%6.5%25.8%29.3%23.0%-0.1%0.6%-21.6M283.5M-13.5M0.674.2878,51852,7551,579,7101,616,047
2024-06-21$27.64$28.0021.8%6.2%23.0%23.6%21.9%0.6%0.1%-57.3M322.6M-13.3M0.823.5869,12756,5401,588,7221,627,249
2024-06-24$28.27$28.0021.7%6.1%23.4%23.2%21.3%0.5%1.9%-2.5M16.1M-13.5M0.878.4486,70675,0311,259,1231,374,962
2024-06-25$27.96$28.0021.7%6.1%23.7%23.4%21.5%1.0%5.0%-5.9M181.5M-13.4M1.1511.2445,25251,9321,298,6521,398,440
2024-06-26$27.39$28.0024.2%6.7%23.9%39.7%23.5%1.0%2.5%-23.8M504.3M-13.5M0.5514.98119,10465,1191,313,6671,432,979
2024-06-27$27.77$28.0026.3%6.5%24.0%53.9%23.0%2.1%2.1%-11.9M261.3M-13.8M0.556.0672,27539,9341,348,7101,459,663
2024-06-28$27.89$28.0025.1%6.1%24.0%45.7%21.4%1.7%1.1%7.3M175.8M-13.7M0.644.2961,93439,9401,374,2391,463,911