PFE Options History — September 2024

In September 2024, PFE traded between $28.23 and $30.02. ATM implied volatility averaged 22.0%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 3.1% (HV 20d: 18.9%). Max pain ranged from $29.00 to $29.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.62.

Notable Days

2024-09-25: Highest Volume — 159,215 contracts
2024-09-30: Largest IV spike — 8.7% change
2024-09-30: Highest IV Rank — 44.7%
2024-09-03: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.19	$28.23	$30.02	$28.23	$28.91
Max Pain	$29.00	$29.00	$29.00	$29.00	$29.00
ATM IV	22.0%	19.8%	24.9%	23.5%	24.9%
Expected Move	6.2%	5.5%	6.9%	6.9%	6.2%
HV 20d	18.9%	14.9%	20.7%	16.4%	20.6%
HV 60d	19.6%	19.0%	20.3%	19.8%	19.0%
IV Rank	24.9%	10.7%	44.7%	35.2%	44.7%
IV Percentile	15.5%	3.6%	46.8%	31.0%	46.8%
Term Structure	0.9%	-1.7%	5.0%	-0.6%	2.4%
VWIV	22.0%	19.4%	24.1%	24.1%	21.8%
Skew 25d	1.9%	0.9%	2.7%	2.3%	2.2%
Skew 10d	4.5%	2.7%	6.9%	6.4%	4.8%
Call IV 25d	21.4%	19.1%	25.1%	22.4%	25.1%
Put IV 25d	23.3%	21.0%	27.2%	24.7%	27.2%
Bid-Ask Spread %	4.76	2.29	14.99	14.99	3.34
Gamma HHI	0.12	0.09	0.16	0.09	0.10
Net GEX	5.6M	-25.8M	32.3M	-24.6M	-3.9M
Net DEX	-92.6M	-601.2M	465.9M	465.9M	66.6M
Net VEX	-13.0M	-13.5M	-12.5M	-13.2M	-12.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.26	1.46	0.69	0.82
Total Volume	98,540.9	65,584	159,215	116,437	86,973
Total OI	2,927,963.55	2,638,901	3,123,255	2,935,968	2,733,405

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
2024-09-03	$28.23	$29.00	23.5%	6.9%	16.4%	35.2%	24.1%	2.3%	-0.6%	-24.6M	465.9M	-13.2M	0.69	14.99	68,734	47,703	1,376,647	1,559,321
2024-09-04	$28.30	$29.00	22.7%	6.4%	16.1%	30.1%	22.8%	1.7%	-0.8%	-25.8M	458.1M	-13.1M	0.34	6.96	51,438	17,442	1,393,029	1,581,355
2024-09-05	$28.43	$29.00	23.4%	6.7%	14.9%	34.7%	23.9%	1.6%	-0.1%	-22.1M	345.0M	-13.2M	0.69	8.93	38,818	26,766	1,407,803	1,587,590
2024-09-06	$28.51	$29.00	22.1%	6.6%	14.9%	25.9%	24.0%	1.7%	-1.7%	-16.8M	288.8M	-13.2M	0.68	3.73	50,585	34,266	1,412,528	1,585,426
2024-09-09	$29.48	$29.00	23.4%	6.7%	19.0%	34.2%	23.3%	0.9%	-0.2%	14.1M	-304.5M	-13.4M	0.33	2.46	88,299	29,477	1,383,046	1,546,512
2024-09-10	$29.66	$29.00	22.5%	6.6%	18.9%	28.4%	23.3%	1.8%	0.3%	27.0M	-441.4M	-13.4M	0.51	2.29	46,406	23,800	1,415,133	1,554,217
2024-09-11	$29.52	$29.00	22.0%	6.3%	18.2%	25.1%	22.7%	1.8%	-0.1%	25.9M	-372.9M	-13.4M	1.18	3.62	42,631	50,465	1,424,787	1,556,693
2024-09-12	$29.20	$29.00	22.0%	6.3%	18.6%	25.2%	23.2%	2.6%	-0.1%	13.2M	-133.9M	-13.5M	1.31	3.23	50,297	66,034	1,434,064	1,585,973
2024-09-13	$29.21	$29.00	21.1%	6.1%	18.3%	19.4%	21.9%	1.9%	0.6%	3.1M	-129.5M	-13.2M	0.54	2.60	64,852	35,041	1,439,945	1,635,978
2024-09-16	$30.02	$29.00	22.1%	6.3%	20.1%	25.5%	22.0%	1.1%	-0.1%	29.5M	-601.2M	-13.3M	0.30	2.95	118,413	35,034	1,420,281	1,584,357
2024-09-17	$29.80	$29.00	21.9%	6.3%	19.7%	24.7%	22.2%	2.7%	0.5%	28.3M	-473.1M	-13.3M	0.42	4.40	62,919	26,628	1,463,139	1,596,872
2024-09-18	$29.77	$29.00	21.5%	6.2%	19.7%	22.0%	22.3%	1.8%	0.6%	32.3M	-463.5M	-13.0M	0.53	9.36	70,770	37,539	1,475,899	1,607,347
2024-09-19	$29.55	$29.00	20.6%	5.9%	20.0%	15.9%	21.0%	2.3%	-0.0%	25.8M	-305.3M	-13.0M	0.44	2.44	54,673	24,176	1,491,451	1,612,908
2024-09-20	$29.43	$29.00	20.3%	5.8%	19.8%	14.0%	19.7%	1.9%	1.2%	19.6M	-207.0M	-12.7M	0.62	7.79	61,202	38,177	1,506,247	1,617,008
2024-09-23	$29.29	$29.00	19.8%	5.5%	19.9%	10.7%	19.4%	1.9%	3.5%	6.1M	-97.2M	-12.5M	0.26	2.90	56,060	14,468	1,291,815	1,347,086
2024-09-24	$29.41	$29.00	20.3%	5.6%	19.9%	13.7%	19.6%	2.0%	3.0%	14.0M	-134.9M	-12.7M	0.36	2.80	55,095	19,572	1,318,636	1,354,189
2024-09-25	$28.95	$29.00	20.1%	5.9%	20.6%	12.7%	22.1%	1.7%	5.0%	-3.0M	78.9M	-12.6M	1.46	2.76	64,609	94,606	1,331,047	1,360,681
2024-09-26	$28.94	$29.00	21.8%	5.8%	20.6%	24.2%	20.2%	2.6%	3.1%	-21.5M	128.6M	-12.8M	0.50	4.48	69,857	34,705	1,353,711	1,413,074
2024-09-27	$29.11	$29.00	22.9%	6.2%	20.7%	31.4%	21.1%	1.4%	2.5%	-8.9M	-19.2M	-12.9M	0.43	3.18	78,376	33,912	1,379,870	1,420,201
2024-09-30	$28.91	$29.00	24.9%	6.2%	20.6%	44.7%	21.8%	2.2%	2.4%	-3.9M	66.6M	-12.8M	0.82	3.34	47,873	39,100	1,352,221	1,381,184