PFE Options History — June 2007

In June 2007, PFE traded between $24.08 and $26.26. ATM implied volatility averaged 17.0%. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.6% (HV 20d: 13.4%). Max pain ranged from $23.72 to $26.09. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2007-06-21: Highest Volume — 70,717 contracts
  • 2007-06-07: Largest IV spike — 50.6% change
  • 2007-06-12: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.90$24.08$26.26$26.26$24.26
Max Pain$25.53$23.72$26.09$26.09$23.72
ATM IV17.0%11.4%20.1%14.5%18.8%
Expected Move5.0%3.4%5.8%4.2%5.4%
HV 20d13.4%9.9%16.1%10.1%15.4%
HV 60d13.6%12.5%14.4%12.5%14.0%
Term Structure0.2%-1.1%2.2%2.2%0.5%
VWIV17.6%14.5%19.9%14.5%19.0%
Skew 25d1.3%-3.4%6.4%1.5%-3.4%
Skew 10d1.7%-5.6%10.2%2.7%-5.4%
Call IV 25d17.2%11.9%21.8%13.8%21.8%
Put IV 25d18.5%15.3%20.2%15.3%18.4%
Bid-Ask Spread %5.863.609.165.764.29
Gamma HHI0.260.220.410.390.22
Net GEX22.4M7.5M56.3M55.8M9.2M
Net DEX-503.8M-1.25B-136.9M-1.24B-216.9M
Net VEX-15.0M-15.7M-14.1M-14.3M-15.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.081.781.010.79
Total Volume30,744.66711,24670,71731,88717,836
Total OI2,527,175.192,322,6312,656,3842,577,1882,507,570

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$26.26$26.0914.5%4.2%10.1%0.0%14.5%1.5%2.2%55.8M-1.24B-14.3M1.015.7615,82816,0591,366,5901,210,598
2007-06-04$26.11$26.0916.0%4.7%10.2%0.0%16.5%2.1%-0.4%56.3M-1.25B-14.9M1.053.6613,00113,6691,374,8121,215,965
2007-06-05$25.88$26.0915.3%4.7%9.9%0.0%16.5%6.4%-0.4%56.0M-985.4M-15.1M0.363.6015,4895,6021,373,3751,222,705
2007-06-06$25.42$26.0913.3%4.9%11.8%0.0%18.0%4.8%-0.2%39.7M-659.3M-15.5M0.866.5215,09012,9891,377,8661,224,398
2007-06-07$24.94$26.0920.1%5.2%13.3%0.0%18.5%2.6%-0.8%19.4M-432.3M-15.4M0.595.3414,4128,4661,382,5051,230,647
2007-06-08$25.16$26.0911.4%5.0%13.0%0.0%18.1%3.8%-0.3%24.6M-489.9M-15.2M0.675.996,7364,5101,381,8661,232,795
2007-06-11$25.02$26.0915.8%5.2%12.6%0.0%18.8%2.2%-1.1%19.4M-443.7M-15.2M1.265.4510,18512,8761,382,6411,233,628
2007-06-12$24.77$26.0918.5%5.8%12.6%0.0%17.2%2.6%-0.6%12.0M-358.5M-15.1M0.086.5239,5983,0851,387,1221,243,138
2007-06-13$25.00$26.0919.5%4.4%13.1%0.0%16.6%4.0%1.0%19.6M-441.5M-15.1M0.436.6319,6518,5371,412,1031,240,619
2007-06-14$25.04$26.0916.7%4.8%12.7%0.0%16.8%1.9%-0.5%20.5M-509.3M-15.0M0.247.5012,3672,9311,411,4741,244,910
2007-06-15$25.11$26.0914.6%4.2%12.8%0.0%15.2%3.6%1.3%22.1M-505.9M-15.0M0.488.1711,5635,5881,409,6211,239,595
2007-06-18$24.91$26.0911.8%3.4%12.8%0.0%14.7%1.9%0.1%17.5M-492.7M-14.9M0.409.1629,90511,8221,232,8691,089,762
2007-06-19$24.87$26.0917.2%4.9%12.8%0.0%16.4%1.3%2.1%17.9M-462.2M-14.8M0.759.1016,40912,3281,245,2611,100,714
2007-06-20$24.39$26.0918.2%5.2%14.2%0.0%17.5%0.4%0.4%12.5M-370.3M-14.2M1.135.0721,95524,7171,256,4011,106,852
2007-06-21$24.59$26.0918.7%5.4%14.7%0.0%17.7%1.6%-0.8%14.9M-416.6M-14.4M0.944.5436,44534,2721,264,6081,117,112
2007-06-22$24.08$26.0919.5%5.6%16.1%0.0%19.5%-2.0%-0.1%7.5M-136.9M-14.1M0.453.8933,07314,8161,288,2441,139,108
2007-06-25$24.10$23.7220.0%5.7%15.5%0.0%19.9%-2.8%-0.1%10.5M-214.4M-14.9M0.564.1516,6139,3691,309,2011,138,316
2007-06-26$24.28$23.7219.6%5.6%15.9%0.0%19.6%-1.5%0.4%11.8M-311.0M-15.2M0.596.1939,15423,2851,315,5961,143,160
2007-06-27$24.30$23.7219.2%5.5%16.0%0.0%19.3%-1.7%-0.1%11.9M-309.5M-15.7M0.924.979,0818,3941,346,0311,157,564
2007-06-28$24.32$23.7218.7%5.4%15.9%0.0%18.8%-2.1%0.6%12.4M-340.1M-15.5M1.786.516,44011,4921,344,4771,168,860
2007-06-29$24.26$23.7218.8%5.4%15.4%0.0%19.0%-3.4%0.5%9.2M-216.9M-15.6M0.794.299,9887,8481,334,5701,173,000