PFE Options History — November 2024

In November 2024, PFE traded between $24.84 and $28.09. ATM implied volatility averaged 23.9%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 3.4% (HV 20d: 20.5%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.72.

Notable Days

2024-11-15: Highest Volume — 591,980 contracts
2024-11-06: Largest IV drop — 17.5% change
2024-11-15: Highest IV Rank — 58.5%
2024-11-01: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.22	$24.84	$28.09	$28.09	$26.19
Max Pain	$27.90	$27.00	$29.00	$29.00	$27.00
ATM IV	23.9%	20.0%	26.8%	23.7%	23.6%
Expected Move	7.0%	6.1%	7.7%	7.7%	7.0%
HV 20d	20.5%	13.3%	26.6%	21.2%	26.6%
HV 60d	20.2%	18.2%	22.3%	18.2%	22.2%
IV Rank	38.9%	12.4%	58.5%	37.8%	37.2%
IV Percentile	39.3%	4.0%	72.2%	34.5%	35.7%
Term Structure	0.2%	-1.4%	2.6%	0.5%	-0.0%
VWIV	24.8%	21.8%	27.8%	27.8%	24.2%
Skew 25d	0.5%	-1.0%	1.9%	0.7%	0.2%
Skew 10d	2.3%	-12.9%	13.6%	5.2%	2.4%
Call IV 25d	24.1%	20.0%	27.3%	23.7%	23.8%
Put IV 25d	24.6%	20.2%	28.3%	24.4%	24.0%
Bid-Ask Spread %	4.61	2.41	13.23	13.23	8.51
Gamma HHI	0.12	0.09	0.17	0.13	0.11
Net GEX	-24.7M	-48.1M	10.7M	-31.6M	10.7M
Net DEX	749.3M	227.9M	1.47B	382.2M	227.9M
Net VEX	-12.6M	-14.0M	-11.6M	-12.4M	-13.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.28	1.93	0.59	0.44
Total Volume	211,693.45	89,111	591,980	152,678	89,111
Total OI	3,225,807.9	2,993,512	3,392,569	3,164,235	3,392,569

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
2024-11-01	$28.09	$29.00	23.7%	7.7%	21.2%	37.8%	27.8%	0.7%	0.5%	-31.6M	382.2M	-12.4M	0.59	13.23	95,975	56,703	1,669,377	1,494,858
2024-11-04	$27.80	$29.00	24.4%	7.1%	20.0%	42.3%	25.2%	1.1%	0.9%	-23.0M	512.2M	-12.1M	0.90	2.63	98,857	88,886	1,539,870	1,453,642
2024-11-05	$27.86	$29.00	24.8%	7.2%	19.9%	44.8%	25.7%	0.6%	0.9%	-23.6M	469.9M	-12.3M	0.49	3.18	71,752	35,282	1,571,917	1,505,686
2024-11-06	$27.45	$29.00	20.4%	6.4%	15.9%	15.0%	22.8%	-0.1%	2.6%	-42.2M	728.3M	-11.6M	0.50	5.46	121,663	60,396	1,595,183	1,525,595
2024-11-07	$27.41	$29.00	20.0%	6.3%	13.3%	12.4%	21.8%	-0.4%	2.5%	-45.8M	752.6M	-11.6M	0.28	2.77	155,102	44,061	1,624,171	1,529,807
2024-11-08	$26.77	$29.00	20.6%	6.1%	15.1%	16.6%	22.1%	0.2%	1.9%	-43.9M	989.8M	-11.9M	0.74	2.50	93,570	69,314	1,643,286	1,533,845
2024-11-11	$26.26	$29.00	21.8%	6.6%	15.9%	24.6%	23.6%	0.1%	0.3%	-48.1M	1.10B	-11.8M	1.15	2.68	148,840	170,758	1,604,297	1,468,027
2024-11-12	$26.23	$28.00	22.5%	6.4%	15.0%	29.2%	22.5%	0.1%	-0.3%	-46.9M	890.1M	-12.0M	0.47	2.41	119,077	56,192	1,660,847	1,461,702
2024-11-13	$26.68	$28.00	23.0%	6.6%	15.9%	32.6%	23.5%	-0.1%	-0.1%	-31.0M	605.6M	-12.5M	0.44	2.49	94,986	41,852	1,710,666	1,475,948
2024-11-14	$25.95	$28.00	24.5%	7.1%	17.6%	42.9%	25.5%	-1.0%	0.1%	-42.6M	991.2M	-12.2M	1.93	4.18	78,220	151,096	1,729,796	1,488,597
2024-11-15	$24.84	$28.00	26.8%	7.5%	22.0%	58.5%	26.7%	0.8%	-0.8%	-44.2M	1.47B	-11.7M	0.75	2.93	338,799	253,181	1,764,868	1,517,815
2024-11-18	$24.87	$27.00	26.5%	7.6%	22.3%	56.8%	27.0%	0.9%	-0.6%	-27.5M	1.15B	-12.3M	0.78	12.25	156,632	121,612	1,683,101	1,498,749
2024-11-19	$24.94	$27.00	25.2%	7.2%	22.5%	47.6%	25.8%	0.8%	-0.2%	-24.6M	1.05B	-12.8M	0.46	2.92	112,045	51,577	1,746,494	1,530,365
2024-11-20	$24.94	$27.00	26.7%	7.6%	22.6%	57.8%	26.8%	1.9%	-1.4%	-20.6M	1.06B	-12.9M	0.60	8.17	98,650	58,726	1,782,465	1,549,564
2024-11-21	$25.05	$27.00	25.9%	7.5%	22.9%	52.7%	25.4%	1.8%	-1.1%	-18.3M	932.8M	-13.2M	0.89	3.07	133,404	119,052	1,798,324	1,551,002
2024-11-22	$25.56	$27.00	25.5%	7.4%	24.8%	50.0%	26.2%	0.3%	-1.0%	9.1M	505.4M	-13.8M	0.33	3.02	302,061	100,397	1,828,184	1,528,206
2024-11-25	$26.07	$27.00	24.6%	7.3%	25.6%	44.0%	25.5%	0.9%	0.3%	6.8M	253.6M	-14.0M	0.57	3.01	109,971	63,170	1,818,857	1,511,315
2024-11-26	$25.74	$27.00	24.2%	7.2%	25.5%	40.7%	25.0%	1.0%	-0.6%	-4.2M	455.7M	-13.8M	0.93	3.18	76,040	71,080	1,829,325	1,521,798
2024-11-27	$25.77	$27.00	23.2%	6.8%	25.5%	33.9%	24.0%	0.2%	-0.2%	-3.6M	452.1M	-13.7M	1.13	3.66	59,121	66,658	1,847,613	1,528,427
2024-11-29	$26.19	$27.00	23.6%	7.0%	26.6%	37.2%	24.2%	0.2%	-0.0%	10.7M	227.9M	-13.7M	0.44	8.51	61,741	27,370	1,860,350	1,532,219