PFE Options History — March 2007 In March 2007, PFE traded between $23.43 and $24.53. ATM implied volatility averaged 17.2%. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 1.7% (HV 20d: 15.6%). Max pain ranged from $23.72 to $23.72. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.82.
Notable Days 2007-03-05 : Highest Volume — 125,558 contracts2007-03-12 : Largest IV spike — 18.2% change2007-03-05 : Largest Expected Move — 5.6%Monthly Statistics Metric Avg Min Max Open Close Price $23.99 $23.43 $24.53 $23.76 $23.97 Max Pain $23.72 $23.72 $23.72 $23.72 $23.72 ATM IV 17.2% 14.9% 19.0% 17.7% 15.8% Expected Move 5.0% 4.5% 5.6% 5.1% 4.5% HV 20d 15.6% 13.0% 17.6% 14.7% 14.2% HV 60d 14.8% 14.6% 15.1% 14.9% 14.6% Term Structure 0.3% -1.8% 2.2% 0.8% 2.2% VWIV 17.3% 13.0% 20.1% 17.7% 15.8% Skew 25d 2.1% -5.3% 7.6% 1.5% 2.6% Skew 10d 2.1% -8.7% 7.7% 2.2% 3.6% Call IV 25d 14.3% 9.5% 20.0% 16.1% 13.2% Put IV 25d 16.4% 13.6% 21.3% 17.6% 15.8% Bid-Ask Spread % 4.41 3.03 6.67 4.78 5.77 Gamma HHI 0.29 0.21 0.74 0.30 0.21 Net GEX -12.2M -169.5M 13.2M -13.3M 7.7M Net DEX -201.5M -467.0M 113.0M -33.8M -175.3M Net VEX -14.4M -14.8M -13.9M -14.2M -13.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.82 0.24 1.87 0.89 1.87 Total Volume 36,461.455 4,783 125,558 52,961 20,350 Total OI 2,416,003.545 2,251,639 2,555,410 2,459,660 2,328,135
Daily Data (22 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 2007-03-01 $23.76 $23.72 17.7% 5.1% 14.7% 0.0% 17.7% 1.5% 0.8% -13.3M -33.8M -14.2M 0.89 4.78 28,002 24,959 1,306,232 1,153,428 2007-03-02 $23.52 $23.72 18.9% 5.4% 13.5% 0.0% 18.8% -0.4% 0.7% -13.9M 51.4M -14.4M 0.53 6.67 27,669 14,594 1,320,317 1,161,566 2007-03-05 $23.43 $23.72 18.5% 5.6% 13.0% 0.0% 20.1% 0.3% -1.1% -17.1M 113.0M -14.7M 0.55 3.34 80,785 44,773 1,333,355 1,169,265 2007-03-06 $23.90 $23.72 17.6% 5.5% 15.3% 0.0% 19.2% 3.4% -1.8% -18.9M -144.3M -14.6M 0.59 3.44 10,787 6,375 1,340,053 1,203,649 2007-03-07 $23.98 $23.72 16.4% 5.2% 15.5% 0.0% 18.0% -2.0% -0.8% -15.9M -207.5M -14.3M 0.51 4.34 31,614 16,223 1,337,450 1,172,873 2007-03-08 $24.11 $23.72 17.7% 5.1% 15.4% 0.0% 17.6% -0.8% -0.6% -9.0M -291.9M -14.7M 0.84 4.35 12,370 10,396 1,351,481 1,168,967 2007-03-09 $24.11 $23.72 14.9% 4.7% 15.4% 0.0% 16.3% -1.3% 0.7% -9.5M -297.1M -14.5M 0.28 4.57 7,359 2,087 1,353,737 1,162,890 2007-03-12 $24.08 $23.72 17.7% 5.1% 15.4% 0.0% 17.7% -1.8% -0.8% -12.3M -285.7M -14.3M 0.39 3.05 7,621 2,959 1,353,945 1,165,216 2007-03-13 $23.66 $23.72 19.0% 5.1% 16.3% 0.0% 17.9% -5.3% -0.2% -21.9M 13.9M -14.5M 1.13 3.59 10,783 12,207 1,355,502 1,163,601 2007-03-14 $23.59 $23.72 17.0% 5.1% 16.0% 0.0% 18.6% -0.2% 0.3% -27.4M 82.4M -14.4M 1.67 3.03 20,369 33,940 1,357,520 1,163,547 2007-03-15 $23.71 $23.72 17.9% 5.1% 15.9% 0.0% 18.1% 1.7% -0.7% -40.4M -64.8M -14.7M 1.57 3.79 19,924 31,208 1,368,164 1,187,246 2007-03-16 $23.71 $23.72 18.9% 5.4% 15.9% 0.0% 18.1% 2.3% -0.8% -169.5M -46.9M -14.4M 1.12 3.74 49,457 55,629 1,355,880 1,181,715 2007-03-19 $24.06 $23.72 17.1% 4.9% 16.9% 0.0% 17.1% 4.3% 0.8% 6.8M -241.1M -14.4M 0.27 3.27 21,975 5,988 1,191,023 1,060,616 2007-03-20 $24.23 $23.72 16.1% 4.6% 17.2% 0.0% 13.0% 5.2% 1.4% 9.5M -351.7M -14.1M 0.67 3.95 29,122 19,561 1,202,368 1,062,132 2007-03-21 $24.53 $23.72 17.2% 4.9% 17.6% 0.0% 17.1% 7.6% 0.3% 13.2M -467.0M -14.8M 0.62 4.81 18,328 11,354 1,226,529 1,067,720 2007-03-22 $24.47 $23.72 16.9% 4.9% 17.4% 0.0% 16.9% 6.9% 0.6% 13.0M -454.0M -14.6M 1.05 5.59 14,394 15,067 1,231,985 1,065,693 2007-03-23 $24.35 $23.72 15.9% 4.6% 17.1% 0.0% 15.3% 5.4% 1.9% 12.0M -393.2M -14.5M 0.24 5.06 9,176 2,219 1,235,792 1,066,792 2007-03-26 $24.35 $23.72 16.5% 4.7% 16.9% 0.0% 15.9% 5.5% 1.4% 12.2M -409.9M -14.2M 0.57 4.95 6,367 3,612 1,232,580 1,066,992 2007-03-27 $24.18 $23.72 17.2% 4.9% 13.8% 0.0% 17.2% 4.9% 0.6% 10.8M -358.2M -14.3M 0.69 4.95 2,834 1,949 1,233,316 1,066,499 2007-03-28 $23.89 $23.72 17.4% 5.0% 14.3% 0.0% 17.4% 2.8% 0.7% 7.7M -201.7M -14.1M 1.50 4.68 14,722 22,093 1,234,724 1,067,051 2007-03-29 $24.11 $23.72 16.6% 4.8% 14.6% 0.0% 16.6% 3.8% 1.7% 8.7M -268.7M -14.4M 0.54 5.21 13,645 7,306 1,243,080 1,081,452 2007-03-30 $23.97 $23.72 15.8% 4.5% 14.2% 0.0% 15.8% 2.6% 2.2% 7.7M -175.3M -13.9M 1.87 5.77 7,082 13,268 1,247,433 1,080,702
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