PFE Options History — October 2024

In October 2024, PFE traded between $28.36 and $30.16. ATM implied volatility averaged 29.2%, placing in the 73.4% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 9.3% (HV 20d: 19.9%). Max pain ranged from $29.00 to $29.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.46.

Notable Days

2024-10-29: Highest Volume — 450,668 contracts
2024-10-29: Largest IV drop — 18.7% change
2024-10-10: Highest IV Rank — 97.4%
2024-10-28: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.95	$28.36	$30.16	$28.70	$28.48
Max Pain	$29.00	$29.00	$29.00	$29.00	$29.00
ATM IV	29.2%	24.5%	32.8%	25.8%	25.1%
Expected Move	8.7%	6.4%	10.4%	6.4%	8.6%
HV 20d	19.9%	16.1%	22.0%	18.6%	20.8%
HV 60d	19.3%	18.0%	20.2%	19.0%	18.0%
IV Rank	73.4%	41.8%	97.4%	50.6%	47.3%
IV Percentile	81.2%	42.5%	98.8%	57.5%	49.6%
Term Structure	-0.8%	-3.1%	3.5%	1.3%	0.3%
VWIV	29.5%	22.0%	35.5%	22.0%	29.9%
Skew 25d	1.9%	0.3%	2.8%	2.1%	0.3%
Skew 10d	3.8%	0.4%	7.8%	5.9%	0.6%
Call IV 25d	27.7%	23.1%	30.8%	25.6%	25.2%
Put IV 25d	29.6%	24.3%	33.3%	27.7%	25.5%
Bid-Ask Spread %	7.51	2.45	14.03	2.70	11.61
Gamma HHI	0.11	0.08	0.16	0.11	0.09
Net GEX	9.2M	-31.7M	50.4M	-14.5M	-3.1M
Net DEX	-19.0M	-723.1M	358.4M	208.7M	142.9M
Net VEX	-12.6M	-13.1M	-12.2M	-12.6M	-12.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.23	0.93	0.55	0.66
Total Volume	137,206.217	59,193	450,668	59,193	86,722
Total OI	2,888,115.696	2,694,916	3,150,606	2,776,640	3,150,606

Daily Data (23 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
2024-10-01	$28.70	$29.00	25.8%	6.4%	18.6%	50.6%	22.0%	2.1%	1.3%	-14.5M	208.7M	-12.6M	0.55	2.70	38,284	20,909	1,366,036	1,410,604
2024-10-02	$28.57	$29.00	26.3%	6.4%	18.7%	54.2%	22.1%	2.1%	3.4%	-18.8M	276.1M	-12.7M	0.46	3.40	47,171	21,895	1,375,324	1,421,234
2024-10-03	$28.36	$29.00	28.3%	8.7%	18.8%	67.4%	29.2%	2.2%	3.5%	-31.7M	358.4M	-12.5M	0.33	2.95	71,187	23,574	1,380,919	1,430,171
2024-10-04	$28.55	$29.00	27.4%	8.2%	19.0%	61.2%	27.7%	2.2%	2.6%	-18.8M	236.9M	-12.5M	0.93	2.56	60,252	56,312	1,400,055	1,433,997
2024-10-07	$29.12	$29.00	31.2%	8.8%	16.2%	86.8%	30.3%	1.8%	-1.1%	9.8M	-100.5M	-12.8M	0.37	13.72	178,176	65,765	1,383,700	1,387,660
2024-10-08	$29.23	$29.00	31.7%	8.7%	16.1%	89.9%	30.0%	1.9%	-2.1%	17.4M	-142.4M	-12.9M	0.47	8.01	62,180	29,148	1,435,008	1,405,670
2024-10-09	$30.16	$29.00	32.1%	8.6%	19.6%	92.4%	29.4%	2.1%	-1.4%	47.0M	-723.1M	-13.1M	0.23	7.93	222,390	52,184	1,450,518	1,420,563
2024-10-10	$29.32	$29.00	32.8%	8.9%	21.9%	97.4%	30.0%	2.5%	-2.4%	25.1M	-217.6M	-13.0M	0.38	12.81	98,479	37,415	1,494,219	1,427,400
2024-10-11	$29.09	$29.00	31.8%	8.7%	22.0%	90.9%	30.0%	2.8%	-2.0%	10.6M	-90.5M	-12.8M	0.66	7.74	104,708	68,990	1,512,309	1,440,491
2024-10-14	$29.07	$29.00	30.3%	8.5%	19.5%	80.3%	29.8%	2.7%	-1.4%	12.7M	-49.9M	-12.5M	0.53	3.21	57,295	30,209	1,487,575	1,460,361
2024-10-15	$29.36	$29.00	30.6%	8.7%	19.8%	82.4%	29.2%	2.5%	-1.6%	32.7M	-258.3M	-12.5M	0.32	2.45	80,268	25,343	1,511,095	1,477,131
2024-10-16	$29.70	$29.00	30.6%	8.8%	20.2%	82.9%	29.6%	2.0%	-1.6%	50.4M	-476.7M	-12.7M	0.34	6.25	61,670	20,929	1,520,708	1,478,522
2024-10-17	$29.31	$29.00	30.4%	8.8%	20.6%	81.3%	29.8%	2.2%	-1.8%	32.9M	-233.0M	-12.5M	0.53	13.13	46,758	24,829	1,534,886	1,477,632
2024-10-18	$29.23	$29.00	29.8%	8.7%	20.6%	77.2%	29.2%	2.1%	-2.1%	21.4M	-166.6M	-12.4M	0.63	7.73	63,499	40,232	1,542,730	1,490,896
2024-10-21	$28.94	$29.00	29.8%	9.1%	20.8%	77.0%	30.8%	1.6%	-2.1%	7.4M	22.3M	-12.3M	0.38	14.03	88,643	33,927	1,385,121	1,309,795
2024-10-22	$28.88	$29.00	29.2%	9.0%	20.8%	73.1%	30.4%	2.2%	-1.4%	12.7M	34.7M	-12.4M	0.40	2.75	98,362	39,080	1,425,135	1,328,238
2024-10-23	$28.82	$29.00	29.3%	9.3%	20.0%	74.1%	31.6%	2.0%	-2.0%	10.3M	56.0M	-12.4M	0.37	12.63	47,503	17,756	1,449,521	1,350,843
2024-10-24	$28.59	$29.00	29.6%	9.7%	20.2%	76.0%	32.4%	1.5%	-2.0%	996.4K	174.4M	-12.4M	0.41	10.32	58,661	24,262	1,463,517	1,356,755
2024-10-25	$28.48	$29.00	29.9%	9.7%	20.1%	78.0%	32.4%	1.6%	-3.1%	-18.0M	211.1M	-12.4M	0.30	6.19	140,784	42,006	1,484,707	1,369,321
2024-10-28	$28.86	$29.00	30.1%	10.4%	20.6%	79.5%	35.5%	1.2%	-0.8%	12.6M	-35.0M	-12.6M	0.34	6.76	134,855	45,863	1,466,194	1,344,649
2024-10-29	$28.46	$29.00	24.5%	8.3%	21.0%	41.8%	28.4%	1.2%	0.3%	6.6M	196.1M	-12.2M	0.57	10.78	287,946	162,722	1,516,995	1,363,729
2024-10-30	$28.48	$29.00	25.0%	8.5%	21.0%	46.2%	29.9%	1.3%	0.1%	5.2M	138.3M	-12.7M	0.42	3.09	95,925	40,675	1,636,930	1,467,191
2024-10-31	$28.48	$29.00	25.1%	8.6%	20.8%	47.3%	29.9%	0.3%	0.3%	-3.1M	142.9M	-12.7M	0.66	11.61	52,216	34,506	1,664,735	1,485,871