PFE Options History — May 2007

In May 2007, PFE traded between $25.23 and $26.15. ATM implied volatility averaged 15.6%. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.2% (HV 20d: 13.4%). Max pain ranged from $23.72 to $26.09. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.56.

Notable Days

  • 2007-05-08: Highest Volume — 319,938 contracts
  • 2007-05-03: Largest IV spike — 29.8% change
  • 2007-05-03: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.82$25.23$26.15$25.23$26.08
Max Pain$25.44$23.72$26.09$23.72$26.09
ATM IV15.6%13.7%18.1%13.7%15.1%
Expected Move4.5%3.9%5.2%3.9%4.3%
HV 20d13.4%10.1%15.4%14.7%10.4%
HV 60d14.2%12.5%14.9%14.5%12.5%
Term Structure0.4%-1.8%1.8%-0.4%1.0%
VWIV16.7%15.0%26.9%16.9%15.2%
Skew 25d2.5%-5.9%7.1%3.2%0.9%
Skew 10d4.3%-6.1%11.4%4.5%1.5%
Call IV 25d14.1%12.4%19.0%16.6%14.4%
Put IV 25d16.6%13.1%20.2%19.8%15.3%
Bid-Ask Spread %4.432.6011.933.364.17
Gamma HHI0.350.260.580.260.39
Net GEX47.6M25.0M107.9M25.0M53.1M
Net DEX-993.1M-1.18B-652.3M-652.3M-1.13B
Net VEX-15.2M-16.0M-14.6M-15.6M-14.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.021.200.870.92
Total Volume46,137.4098,283319,93815,63035,163
Total OI2,557,437.6822,522,0952,579,2122,536,8792,571,828

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$25.23$23.7213.7%3.9%14.7%0.0%16.9%3.2%-0.4%25.0M-652.3M-15.6M0.873.368,3717,2591,363,5041,173,375
2007-05-02$25.24$23.7214.0%4.0%14.2%0.0%26.9%2.3%-1.3%26.1M-673.6M-15.2M0.322.6018,6745,8931,367,7681,178,623
2007-05-03$25.49$23.7218.1%5.2%14.5%0.0%18.5%-5.9%-1.8%33.4M-837.3M-15.4M0.506.2815,4337,6901,374,3711,174,687
2007-05-04$25.69$23.7216.5%4.7%14.6%0.0%17.2%3.7%0.2%37.5M-885.0M-14.9M1.0711.9314,59115,6451,378,6091,178,592
2007-05-07$25.98$23.7216.5%4.6%14.9%0.0%16.4%5.1%0.5%43.2M-1.07B-15.6M0.414.4432,64013,2951,383,9411,186,233
2007-05-08$25.95$23.7217.1%4.8%14.9%0.0%19.3%5.3%-0.2%43.9M-1.04B-15.8M0.023.87313,4316,5071,390,7291,188,483
2007-05-09$25.77$26.0914.3%4.6%15.3%0.0%16.9%5.9%0.4%46.3M-983.0M-14.8M0.293.8164,66919,0571,331,3221,190,773
2007-05-10$25.43$26.0916.5%4.7%15.3%0.0%17.6%3.0%-0.0%36.9M-845.7M-16.0M0.814.187,2165,8491,373,8181,200,949
2007-05-11$25.65$26.0915.4%4.4%15.4%0.0%16.3%5.1%1.1%45.1M-919.3M-15.7M0.723.304,8213,4621,368,4951,196,461
2007-05-14$25.83$26.0916.5%4.7%15.1%0.0%16.7%6.6%-0.1%51.6M-1.03B-15.5M0.552.8614,7888,2031,368,5401,200,104
2007-05-15$25.71$26.0916.1%4.6%15.2%0.0%16.4%5.9%0.4%49.8M-935.1M-15.5M0.224.7078,90917,1881,370,4581,204,230
2007-05-16$25.92$26.0915.9%4.6%15.4%0.0%16.1%7.1%0.9%56.0M-995.6M-15.4M0.704.008,0785,6931,354,6501,216,030
2007-05-17$25.96$26.0915.8%4.5%14.9%0.0%15.8%1.4%0.2%63.4M-1.04B-14.7M0.423.3234,61914,5741,349,1901,209,954
2007-05-18$26.03$26.0915.3%4.4%14.9%0.0%15.0%1.0%1.8%107.9M-1.09B-14.7M1.203.5121,69826,0031,351,7171,219,831
2007-05-21$26.02$26.0915.2%4.3%11.9%0.0%15.2%1.0%1.3%43.6M-1.11B-15.0M0.053.7948,0902,2391,324,3771,203,647
2007-05-22$25.97$26.0914.6%4.2%11.4%0.0%15.0%-0.0%0.9%47.7M-1.10B-15.6M0.603.8922,82413,7671,354,3141,191,593
2007-05-23$25.94$26.0915.3%4.4%11.4%0.0%15.3%0.5%0.6%44.8M-1.04B-15.5M0.414.4511,2874,6651,337,9691,197,962
2007-05-24$25.88$26.0915.2%4.4%10.3%0.0%15.2%0.1%1.2%46.7M-1.06B-14.8M1.154.1912,68714,6321,349,1431,199,866
2007-05-25$26.12$26.0915.2%4.4%10.5%0.0%15.2%1.1%0.9%47.9M-1.12B-14.6M0.545.4210,4755,6071,354,5401,204,772
2007-05-29$26.15$26.0915.7%4.5%10.1%0.0%15.6%1.4%0.5%49.7M-1.18B-15.1M0.285.337,3042,0781,354,7131,208,919
2007-05-30$26.01$26.0915.7%4.5%10.4%0.0%15.7%0.7%0.4%48.8M-1.11B-15.0M0.314.0022,8737,0761,355,1101,209,439
2007-05-31$26.08$26.0915.1%4.3%10.4%0.0%15.2%0.9%1.0%53.1M-1.13B-14.9M0.924.1718,36216,8011,364,1171,207,711