PFE Options History — July 2007

In July 2007, PFE traded between $22.31 and $24.74. ATM implied volatility averaged 19.5%, placing in the 68.3% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.7% (HV 20d: 15.8%). Max pain ranged from $23.72 to $23.72. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.82.

Notable Days

2007-07-27: Highest Volume — 136,175 contracts
2007-07-31: Largest IV spike — 52.6% change
2007-07-31: Highest IV Rank — 100.0%
2007-07-31: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.91	$22.31	$24.74	$24.41	$22.31
Max Pain	$23.72	$23.72	$23.72	$23.72	$23.72
ATM IV	19.5%	15.9%	27.5%	20.3%	27.5%
Expected Move	5.6%	4.6%	7.9%	5.8%	7.9%
HV 20d	15.8%	13.0%	18.7%	15.8%	18.0%
HV 60d	14.4%	13.5%	15.5%	14.0%	15.2%
IV Rank	68.3%	42.7%	100.0%	82.9%	100.0%
IV Percentile	73.9%	29.1%	100.0%	96.0%	100.0%
Term Structure	-0.5%	-2.9%	2.3%	-1.2%	-2.7%
VWIV	19.2%	15.4%	24.7%	20.2%	24.3%
Skew 25d	2.1%	-3.2%	8.0%	-1.9%	2.5%
Skew 10d	3.9%	-3.2%	13.8%	-3.2%	0.6%
Call IV 25d	18.1%	12.6%	25.0%	22.2%	25.0%
Put IV 25d	20.2%	14.0%	27.5%	20.2%	27.5%
Bid-Ask Spread %	5.95	3.07	11.25	5.49	4.73
Gamma HHI	0.23	0.20	0.33	0.23	0.21
Net GEX	5.2M	-14.1M	16.4M	10.8M	-2.3M
Net DEX	-53.2M	-432.2M	542.6M	-266.7M	542.6M
Net VEX	-14.5M	-15.6M	-8.8M	-15.2M	-13.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.09	2.13	2.07	0.61
Total Volume	43,359.857	11,134	136,175	11,134	31,738
Total OI	2,531,505	1,131,957	2,720,368	2,512,051	2,720,368

Daily Data (21 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
2007-07-02	$24.41	$23.72	20.3%	5.8%	15.8%	0.0%	20.2%	-1.9%	-1.2%	10.8M	-266.7M	-15.2M	2.07	5.49	3,632	7,502	1,338,129	1,173,922
2007-07-03	$24.49	$23.72	18.8%	5.4%	15.8%	0.0%	18.9%	-3.2%	0.6%	11.9M	-312.0M	-15.4M	1.29	6.69	11,058	14,225	1,338,740	1,174,969
2007-07-05	$24.57	$23.72	21.3%	6.1%	14.9%	82.9%	20.6%	8.0%	-0.5%	13.1M	-387.3M	-15.4M	0.42	6.27	15,345	6,369	1,343,500	1,184,394
2007-07-06	$24.59	$23.72	21.4%	5.8%	13.4%	83.8%	19.8%	4.3%	-1.0%	12.7M	-324.6M	-15.6M	0.69	7.70	6,809	4,718	1,346,002	1,182,883
2007-07-09	$24.55	$23.72	19.4%	5.7%	13.0%	69.2%	19.7%	4.3%	-0.3%	11.7M	-301.7M	-15.1M	2.13	7.70	6,820	14,552	1,349,258	1,185,718
2007-07-10	$24.27	$23.72	20.0%	5.9%	13.4%	73.3%	19.8%	2.7%	-1.3%	6.8M	-243.4M	-15.1M	0.76	7.81	13,996	10,577	1,348,765	1,199,528
2007-07-11	$24.15	$23.72	22.3%	6.0%	13.1%	90.6%	20.6%	4.3%	-2.1%	5.7M	-199.8M	-15.1M	0.24	4.21	39,568	9,346	1,358,026	1,201,601
2007-07-12	$24.65	$23.72	21.4%	6.1%	14.8%	83.8%	17.2%	7.1%	-2.2%	12.7M	-339.5M	-15.4M	0.36	3.73	13,133	4,784	1,366,698	1,209,955
2007-07-13	$24.58	$23.72	19.3%	5.5%	14.8%	67.9%	18.5%	1.6%	0.2%	11.7M	-347.4M	-15.2M	0.09	7.16	30,337	2,790	1,366,923	1,208,201
2007-07-16	$24.74	$23.72	21.9%	6.3%	15.0%	87.4%	18.8%	1.9%	-2.9%	9.8M	-257.3M	-8.8M	0.46	7.09	19,437	9,020	623,159	508,798
2007-07-17	$24.63	$23.72	20.9%	6.0%	14.8%	80.0%	19.0%	2.9%	-1.5%	16.4M	-432.2M	-15.3M	0.69	7.03	25,546	17,592	1,401,365	1,212,586
2007-07-18	$23.84	$23.72	17.8%	5.1%	18.7%	56.8%	18.2%	7.3%	-0.8%	-1.4M	-545.0K	-14.5M	0.71	3.07	55,124	38,912	1,412,563	1,211,256
2007-07-19	$23.71	$23.72	17.0%	4.9%	17.6%	50.9%	17.0%	-0.3%	0.9%	-6.2M	94.5M	-14.4M	0.71	4.01	19,311	13,678	1,420,979	1,224,046
2007-07-20	$23.62	$23.72	18.0%	5.2%	17.3%	58.3%	18.0%	-0.7%	-0.3%	-14.1M	109.6M	-14.3M	0.80	3.98	34,100	27,148	1,425,433	1,228,498
2007-07-23	$23.75	$23.72	16.4%	4.7%	15.9%	46.4%	16.4%	0.1%	0.9%	5.7M	35.2M	-14.7M	0.44	5.80	19,552	8,670	1,406,325	1,214,870
2007-07-24	$23.61	$23.72	17.4%	5.0%	16.0%	53.7%	17.4%	-1.0%	0.2%	5.5M	81.3M	-14.3M	2.06	5.72	12,734	26,195	1,415,710	1,211,381
2007-07-25	$23.51	$23.72	17.2%	4.9%	15.7%	52.4%	17.3%	-2.1%	0.4%	1.9M	166.4M	-14.3M	0.15	4.28	53,641	7,976	1,421,584	1,231,000
2007-07-26	$22.91	$23.72	15.9%	4.6%	17.8%	42.7%	15.4%	0.8%	-0.8%	-1.1M	380.4M	-14.2M	1.13	5.58	28,441	32,149	1,420,407	1,232,774
2007-07-27	$22.57	$23.72	18.1%	5.2%	18.3%	58.8%	22.2%	2.4%	2.3%	-1.3M	414.7M	-14.2M	0.52	11.25	89,313	46,862	1,401,899	1,238,533
2007-07-30	$22.54	$23.72	18.1%	5.2%	18.3%	58.6%	24.7%	4.1%	1.3%	-1.1M	471.2M	-14.2M	0.85	5.55	42,129	35,728	1,444,608	1,256,251
2007-07-31	$22.31	$23.72	27.5%	7.9%	18.0%	100.0%	24.3%	2.5%	-2.7%	-2.3M	542.6M	-13.8M	0.61	4.73	19,725	12,013	1,463,755	1,256,613