PFE Options History — February 2007 In February 2007, PFE traded between $23.68 and $25.50. ATM implied volatility averaged 16.7%. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.8% (HV 20d: 14.9%). Max pain ranged from $23.72 to $26.09. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.11.
Notable Days 2007-02-06 : Highest Volume — 297,083 contracts2007-02-08 : Largest IV spike — 61.7% change2007-02-01 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $24.88 $23.68 $25.50 $25.26 $23.68 Max Pain $25.22 $23.72 $26.09 $23.72 $23.72 ATM IV 16.7% 10.3% 19.1% 19.1% 18.4% Expected Move 4.9% 4.4% 5.5% 5.5% 5.3% HV 20d 14.9% 11.1% 16.2% 15.5% 14.8% Term Structure -0.3% -2.1% 0.6% -1.1% -0.0% VWIV 18.0% 15.8% 25.2% 22.8% 18.4% Skew 25d 2.4% -2.1% 6.2% 2.6% 1.2% Skew 10d 4.0% -2.0% 8.9% 4.0% 1.8% Call IV 25d 16.1% 12.0% 19.3% 19.3% 16.3% Put IV 25d 18.4% 16.8% 21.9% 21.9% 17.6% Bid-Ask Spread % 7.20 2.46 10.82 3.01 4.26 Gamma HHI 0.26 0.24 0.30 0.25 0.30 Net GEX 11.8M -14.6M 25.4M 15.4M -14.6M Net DEX -500.1M -738.0M -14.4M -559.7M -14.4M Net VEX -14.7M -15.7M -14.0M -14.8M -14.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.11 0.03 2.63 0.41 0.74 Total Volume 49,343.053 7,429 297,083 31,215 59,414 Total OI 2,447,637.789 2,377,087 2,499,959 2,377,087 2,433,281
Daily Data (19 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 2007-02-01 $25.26 $23.72 19.1% 5.5% 15.5% 0.0% 22.8% 2.6% -1.1% 15.4M -559.7M -14.8M 0.41 3.01 22,123 9,092 1,257,720 1,119,367 2007-02-02 $25.43 $23.72 16.9% 4.7% 15.7% 0.0% 17.5% 4.5% 0.5% 20.8M -646.2M -14.6M 0.56 7.52 43,677 24,544 1,268,161 1,124,951 2007-02-05 $25.50 $23.72 16.3% 4.7% 15.6% 0.0% 17.2% 3.3% 0.3% 25.1M -738.0M -14.9M 0.90 8.18 39,829 35,879 1,293,778 1,139,170 2007-02-06 $25.46 $23.72 15.5% 4.8% 15.5% 0.0% 25.2% 3.1% -0.3% 25.4M -708.3M -15.7M 0.03 7.60 287,351 9,732 1,330,628 1,159,814 2007-02-07 $25.16 $26.09 10.3% 4.6% 16.1% 0.0% 18.0% 2.7% 0.3% 21.5M -563.8M -15.2M 1.02 8.38 19,716 20,197 1,296,165 1,166,447 2007-02-08 $25.09 $26.09 16.6% 4.8% 16.2% 0.0% 16.5% 2.1% -0.5% 18.4M -569.4M -15.2M 1.72 7.47 10,743 18,482 1,301,681 1,175,971 2007-02-09 $25.03 $26.09 16.8% 4.8% 15.8% 0.0% 16.9% 1.9% -0.7% 18.0M -591.1M -15.1M 0.40 8.62 5,308 2,121 1,309,528 1,179,922 2007-02-12 $24.88 $26.09 17.8% 5.1% 15.7% 0.0% 17.3% 0.9% 0.6% 13.2M -525.1M -14.6M 0.24 8.97 7,790 1,835 1,308,440 1,174,676 2007-02-13 $25.04 $26.09 16.5% 4.7% 15.8% 0.0% 17.2% 2.2% -0.8% 16.4M -581.3M -15.1M 2.11 9.34 11,205 23,616 1,311,468 1,171,409 2007-02-14 $25.22 $26.09 15.3% 4.4% 16.0% 0.0% 16.6% 2.2% 0.3% 22.5M -647.5M -15.2M 1.10 5.59 8,441 9,328 1,313,755 1,178,924 2007-02-15 $25.17 $26.09 16.0% 4.6% 15.4% 0.0% 16.4% 1.6% 0.0% 20.0M -630.8M -15.2M 1.01 5.45 9,712 9,829 1,317,411 1,178,881 2007-02-16 $24.95 $26.09 15.5% 4.4% 15.6% 0.0% 17.3% 2.4% -0.5% 13.1M -580.0M -14.7M 1.11 10.25 10,859 12,084 1,318,809 1,181,150 2007-02-20 $24.95 $26.09 16.5% 4.7% 15.3% 0.0% 19.2% 2.2% -1.4% 12.7M -592.5M -14.8M 2.11 9.71 13,433 28,344 1,249,710 1,136,072 2007-02-21 $24.73 $26.09 17.6% 5.1% 13.6% 0.0% 15.8% -0.3% 0.1% 7.6M -512.8M -14.0M 0.23 2.46 10,075 2,315 1,258,742 1,148,032 2007-02-22 $24.54 $26.09 17.2% 4.9% 12.1% 0.0% 16.9% -2.1% -0.1% 2.0M -374.2M -14.5M 2.63 7.15 10,371 27,247 1,263,130 1,146,178 2007-02-23 $24.31 $26.09 17.6% 5.1% 11.1% 0.0% 17.4% 5.5% -0.0% -3.8M -267.8M -14.1M 2.05 5.23 21,705 44,588 1,270,427 1,155,290 2007-02-26 $24.52 $23.72 18.7% 5.4% 11.6% 0.0% 17.2% 6.2% -2.1% 828.0K -325.9M -14.4M 0.55 6.68 7,421 4,053 1,283,707 1,164,017 2007-02-27 $23.85 $23.72 18.4% 5.3% 14.8% 0.0% 18.5% 2.7% 0.5% -11.4M -73.1M -14.2M 2.09 10.82 17,834 37,225 1,275,676 1,142,630 2007-02-28 $23.68 $23.72 18.4% 5.3% 14.8% 0.0% 18.4% 1.2% -0.0% -14.6M -14.4M -14.0M 0.74 4.26 34,189 25,225 1,282,911 1,150,370
« Jan 2007 | All History | Mar 2007 » Home PFE History February 2007