PFE Options History — January 2007

Name: PFE Options Analytics - January 2007
Creator: Options Analysis Suite

In January 2007, PFE traded between $24.72 and $25.83. ATM implied volatility averaged 18.6%. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.8% (HV 20d: 15.7%). Max pain ranged from $23.72 to $23.72. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.73.

Notable Days

2007-01-23: Highest Volume — 132,043 contracts
2007-01-08: Largest IV spike — 55.4% change
2007-01-30: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.13	$24.72	$25.83	$24.94	$24.90
Max Pain	$23.72	$23.72	$23.72	$23.72	$23.72
ATM IV	18.6%	12.9%	23.5%	14.7%	22.8%
Expected Move	5.5%	3.7%	6.7%	4.2%	6.5%
HV 20d	15.7%	15.1%	16.5%	16.5%	15.1%
Term Structure	-1.0%	-4.1%	1.2%	1.2%	-3.8%
VWIV	20.0%	16.5%	23.1%	18.3%	21.4%
Skew 25d	3.8%	-1.4%	10.3%	1.3%	10.1%
Skew 10d	4.9%	0.3%	11.7%	3.0%	11.7%
Call IV 25d	17.3%	11.7%	21.1%	18.1%	11.7%
Put IV 25d	21.1%	17.2%	23.2%	19.3%	21.8%
Bid-Ask Spread %	6.19	2.12	11.61	2.59	5.79
Gamma HHI	0.26	0.23	0.41	0.24	0.25
Net GEX	19.9M	7.5M	55.9M	16.5M	9.9M
Net DEX	-805.2M	-1.37B	-377.6M	-883.1M	-442.0M
Net VEX	-14.8M	-15.8M	-13.8M	-15.7M	-14.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.23	1.91	0.58	1.23
Total Volume	43,786.75	9,314	132,043	48,485	14,917
Total OI	3,038,776	2,243,833	3,548,921	3,478,025	2,373,286

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
2007-01-03	$24.94	$23.72	14.7%	4.2%	0.0%	0.0%	18.3%	1.3%	1.2%	16.5M	-883.1M	-15.7M	0.58	2.59	30,767	17,718	1,936,255	1,541,770
2007-01-04	$25.03	$23.72	18.4%	5.3%	0.0%	0.0%	18.4%	4.2%	0.7%	18.9M	-935.1M	-15.8M	0.33	2.12	15,954	5,258	1,949,707	1,540,855
2007-01-05	$24.95	$23.72	15.0%	5.5%	0.0%	0.0%	19.7%	3.3%	-0.8%	18.9M	-953.8M	-15.4M	0.84	6.55	11,915	10,048	1,951,172	1,537,504
2007-01-08	$24.82	$23.72	23.4%	6.3%	0.0%	0.0%	21.0%	3.0%	-1.7%	14.7M	-781.3M	-15.5M	0.77	8.59	22,024	17,001	1,955,680	1,536,678
2007-01-09	$24.83	$23.72	18.9%	6.3%	0.0%	0.0%	22.1%	2.1%	-2.0%	13.1M	-788.1M	-15.4M	0.48	9.31	6,307	3,007	1,966,258	1,561,182
2007-01-10	$24.86	$23.72	19.4%	6.5%	0.0%	0.0%	22.7%	2.6%	-2.1%	13.6M	-793.8M	-15.5M	1.91	8.71	12,734	24,370	1,961,256	1,557,735
2007-01-11	$25.10	$23.72	18.4%	5.3%	0.0%	0.0%	18.9%	4.4%	1.0%	19.6M	-945.4M	-15.5M	0.33	5.81	21,647	7,121	1,966,939	1,570,799
2007-01-12	$25.28	$23.72	18.1%	5.2%	0.0%	0.0%	19.0%	4.5%	0.2%	21.3M	-1.01B	-15.0M	0.64	5.94	20,150	12,913	1,964,180	1,561,893
2007-01-16	$25.40	$23.72	20.7%	5.9%	0.0%	0.0%	21.1%	4.9%	-1.7%	28.3M	-1.14B	-14.9M	0.54	5.91	25,868	14,066	1,967,333	1,565,999
2007-01-17	$25.51	$23.72	19.9%	5.7%	0.0%	0.0%	21.9%	3.5%	-2.1%	24.0M	-1.12B	-14.6M	0.25	7.05	34,614	8,818	1,980,354	1,568,032
2007-01-18	$25.78	$23.72	19.5%	5.6%	0.0%	0.0%	19.8%	6.6%	-1.1%	50.7M	-1.29B	-14.6M	0.45	7.82	31,634	14,108	1,979,827	1,568,153
2007-01-19	$25.83	$23.72	20.4%	5.9%	0.0%	0.0%	20.7%	4.1%	-1.5%	55.9M	-1.37B	-14.6M	0.55	3.66	58,394	31,999	1,976,453	1,572,468
2007-01-22	$25.57	$23.72	17.1%	4.9%	0.0%	0.0%	18.0%	3.4%	0.6%	19.0M	-767.6M	-14.3M	0.41	4.75	41,786	17,292	1,181,784	1,062,049
2007-01-23	$25.02	$23.72	12.9%	3.7%	0.0%	0.0%	16.5%	3.1%	1.2%	12.5M	-477.7M	-14.6M	1.04	5.85	64,742	67,301	1,206,307	1,062,290
2007-01-24	$25.45	$23.72	17.3%	5.0%	0.0%	0.0%	17.8%	2.4%	-1.7%	18.2M	-655.9M	-14.9M	0.31	5.72	50,667	15,678	1,216,702	1,087,590
2007-01-25	$25.01	$23.72	14.0%	4.0%	16.5%	0.0%	17.3%	-1.4%	-0.6%	12.2M	-484.9M	-14.3M	0.23	11.61	24,034	5,550	1,225,697	1,086,718
2007-01-26	$24.94	$23.72	14.8%	4.2%	15.9%	0.0%	20.1%	2.5%	0.3%	14.4M	-499.5M	-13.8M	1.32	5.93	16,362	21,619	1,235,186	1,084,664
2007-01-29	$24.72	$23.72	22.3%	6.4%	15.8%	0.0%	22.1%	0.9%	-2.4%	8.5M	-377.6M	-14.0M	1.90	5.52	20,911	39,777	1,245,348	1,099,285
2007-01-30	$24.76	$23.72	23.5%	6.7%	15.4%	0.0%	23.1%	10.3%	-4.1%	7.5M	-393.4M	-14.0M	0.43	4.68	11,690	4,974	1,255,051	1,115,081
2007-01-31	$24.90	$23.72	22.8%	6.5%	15.1%	0.0%	21.4%	10.1%	-3.8%	9.9M	-442.0M	-14.0M	1.23	5.79	6,684	8,233	1,256,203	1,117,083