I heard that Pyrex glass can explode if temperature changes abruptly.
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It depends on if it's the old Pyrex or the new Pyrex. If it has a slightly blue-green tint it's the newer type that is prone to exploding. The old Pyrex, which is perfectly clear, can withstand more drastic temperature changes.
you can also chill a cookie sheet and put that beneath your frozen pie as you put it into the oven—that should temper the heat a little bit, and decrease the shock to your pie plate.