PFE Options History — April 2007

In April 2007, PFE traded between $24.04 and $25.68. ATM implied volatility averaged 16.7%. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.5% (HV 20d: 13.2%). 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 5 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2007-04-19: Highest Volume — 90,887 contracts
  • 2007-04-12: Largest IV drop — 45.4% change
  • 2007-04-19: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.00$24.04$25.68$24.04$25.10
Max Pain$23.72$23.72$23.72$23.72$23.72
ATM IV16.7%11.7%23.5%17.6%14.5%
Expected Move4.7%3.3%5.6%5.0%4.2%
HV 20d13.2%11.2%15.1%14.1%14.7%
HV 60d14.7%14.1%15.1%14.6%14.5%
Term Structure-0.5%-1.8%2.5%0.4%-1.6%
VWIV17.9%13.0%22.5%17.4%18.0%
Skew 25d2.5%-1.9%5.9%3.0%-0.9%
Skew 10d4.3%0.6%10.0%4.5%1.7%
Call IV 25d15.6%11.8%19.1%14.2%19.1%
Put IV 25d18.1%15.6%22.6%17.2%18.2%
Bid-Ask Spread %6.062.7011.615.003.64
Gamma HHI0.250.210.300.210.26
Net GEX21.6M8.2M37.1M8.2M23.3M
Net DEX-670.0M-998.1M-247.4M-247.4M-617.7M
Net VEX-14.8M-15.8M-14.1M-14.6M-15.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.183.561.700.52
Total Volume37,8366,10590,88732,5269,866
Total OI2,468,707.72,337,0022,600,1152,337,0022,536,327

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-04-02$24.04$23.7217.6%5.0%14.1%0.0%17.4%3.0%0.4%8.2M-247.4M-14.6M1.705.0012,05620,4701,252,5941,084,408
2007-04-03$24.35$23.7216.9%4.9%13.2%0.0%16.9%4.1%1.2%10.6M-403.3M-14.1M3.566.7511,23039,9681,257,2031,099,941
2007-04-04$24.49$23.7215.8%4.5%13.2%0.0%15.6%3.8%2.5%10.6M-456.5M-14.3M0.643.305,8323,7351,257,6871,133,289
2007-04-05$24.52$23.7216.3%4.7%13.1%0.0%16.3%3.7%1.0%11.3M-514.8M-14.1M0.243.255,9721,4241,259,2351,132,013
2007-04-09$24.67$23.7219.9%5.2%13.3%0.0%18.1%3.3%-1.2%12.6M-545.0M-14.4M0.745.613,5092,5961,263,2841,132,538
2007-04-10$24.67$23.7221.1%5.3%13.2%0.0%17.7%3.3%-1.4%13.1M-565.3M-14.4M0.695.6723,81216,3831,264,0321,133,156
2007-04-11$24.71$23.7223.5%5.5%11.2%0.0%19.0%4.2%-1.8%14.8M-607.6M-14.2M0.305.6514,2934,3341,282,0821,145,045
2007-04-12$25.10$23.7212.8%3.7%12.1%0.0%16.5%0.1%-1.5%20.1M-729.2M-14.9M0.408.0338,66915,5561,286,3261,146,619
2007-04-13$25.30$23.7216.4%4.7%12.2%0.0%17.4%2.8%-0.6%26.1M-808.2M-14.6M0.596.9538,55322,6241,307,9001,155,593
2007-04-16$25.56$23.7217.0%4.9%12.3%0.0%19.3%3.4%-1.4%30.5M-921.0M-15.2M0.5211.6144,30522,9331,321,7661,166,412
2007-04-17$25.52$23.7217.5%5.0%11.7%0.0%18.7%2.1%-1.5%32.0M-920.6M-15.1M0.753.7331,06323,2321,343,7691,177,057
2007-04-18$25.41$23.7217.6%5.0%11.9%0.0%22.5%3.3%-0.4%29.8M-862.7M-15.4M1.306.5312,69116,5561,365,9711,191,022
2007-04-19$25.68$23.7219.6%5.6%11.8%0.0%20.8%5.9%-1.7%34.5M-998.1M-15.0M0.186.7876,78714,1001,369,2111,196,948
2007-04-20$25.59$23.7217.0%4.9%11.9%0.0%18.7%3.6%-1.2%37.1M-983.5M-15.3M0.784.0527,37121,3281,399,4221,200,693
2007-04-23$25.00$23.7214.8%4.2%14.8%0.0%17.4%0.4%-1.3%21.9M-577.5M-15.2M0.829.0923,06218,9501,335,0261,133,260
2007-04-24$24.81$23.7218.5%5.3%15.1%0.0%17.5%0.4%-1.0%20.0M-556.9M-14.7M1.236.2013,38916,5181,344,6341,140,868
2007-04-25$24.97$23.7213.3%3.8%14.9%0.0%18.9%-1.9%-0.7%22.2M-621.2M-14.8M1.3710.8118,58725,4661,358,2431,152,602
2007-04-26$25.35$23.7213.0%3.7%14.7%0.0%18.1%2.0%-0.4%27.4M-762.3M-15.8M0.645.9727,34417,3761,349,8361,162,994
2007-04-27$25.25$23.7211.7%3.3%14.7%0.0%13.0%3.3%1.6%26.6M-700.8M-15.4M0.332.7011,1093,6711,359,0421,176,106
2007-04-30$25.10$23.7214.5%4.2%14.7%0.0%18.0%-0.9%-1.6%23.3M-617.7M-15.3M0.523.646,5123,3541,363,7291,172,598