PFE Options History — August 2007

In August 2007, PFE traded between $22.19 and $23.57. ATM implied volatility averaged 21.4%, placing in the 58.1% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.1% (HV 20d: 20.3%). Max pain ranged from $23.72 to $23.72. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.73.

Notable Days

2007-08-07: Highest Volume — 141,790 contracts
2007-08-15: Largest IV spike — 64.4% change
2007-08-13: Highest IV Rank — 100.0%
2007-08-16: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.94	$22.19	$23.57	$22.42	$23.57
Max Pain	$23.72	$23.72	$23.72	$23.72	$23.72
ATM IV	21.4%	17.1%	31.6%	27.5%	17.2%
Expected Move	6.2%	4.9%	8.7%	7.9%	4.9%
HV 20d	20.3%	18.2%	22.4%	18.2%	18.7%
HV 60d	17.0%	15.1%	18.1%	15.1%	17.6%
IV Rank	58.1%	31.9%	100.0%	99.5%	32.6%
IV Percentile	76.7%	43.2%	100.0%	99.3%	47.3%
Term Structure	1.3%	-3.0%	4.1%	-1.8%	3.4%
VWIV	21.8%	17.1%	26.9%	26.9%	17.3%
Skew 25d	5.1%	-0.5%	9.3%	2.6%	9.1%
Skew 10d	8.4%	-2.5%	21.8%	2.5%	14.3%
Call IV 25d	20.4%	14.5%	26.9%	24.0%	15.4%
Put IV 25d	25.5%	22.3%	32.6%	26.6%	24.5%
Bid-Ask Spread %	5.62	4.09	9.91	5.39	4.12
Gamma HHI	0.23	0.21	0.25	0.21	0.22
Net GEX	6.4M	-2.0M	15.2M	-1.3M	15.2M
Net DEX	107.3M	-238.4M	503.6M	479.9M	-238.4M
Net VEX	-15.3M	-15.8M	-13.9M	-14.3M	-15.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.10	2.87	2.87	1.22
Total Volume	39,480.826	10,100	141,790	35,701	21,698
Total OI	2,856,306.348	2,727,185	2,901,901	2,727,185	2,900,409

Daily Data (23 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
2007-08-01	$22.42	$23.72	27.5%	7.9%	18.2%	99.5%	26.9%	2.6%	-1.8%	-1.3M	479.9M	-14.3M	2.87	5.39	9,230	26,471	1,463,602	1,263,583
2007-08-02	$22.63	$23.72	18.7%	5.4%	18.6%	48.6%	24.1%	3.7%	1.9%	-168.5K	457.1M	-13.9M	0.68	5.87	40,518	27,659	1,467,455	1,276,901
2007-08-03	$22.31	$23.72	26.9%	7.7%	18.9%	96.0%	25.3%	-0.5%	-3.0%	-2.0M	503.6M	-14.5M	0.84	4.09	17,682	14,852	1,491,105	1,293,282
2007-08-06	$22.87	$23.72	18.4%	6.9%	21.7%	47.0%	24.3%	1.5%	-0.1%	2.6M	245.7M	-15.2M	0.22	4.48	47,095	10,531	1,504,871	1,297,875
2007-08-07	$23.10	$23.72	24.4%	6.6%	21.9%	81.6%	23.2%	1.5%	0.2%	5.6M	122.0M	-15.4M	0.35	7.00	104,862	36,928	1,528,605	1,303,124
2007-08-08	$23.35	$23.72	20.6%	6.2%	22.4%	59.9%	22.0%	3.3%	0.2%	9.5M	6.2M	-15.6M	0.10	5.76	44,306	4,428	1,536,518	1,335,147
2007-08-09	$22.90	$23.72	22.1%	6.8%	21.6%	68.5%	23.6%	2.6%	-0.6%	7.9M	42.4M	-15.6M	0.33	6.83	11,309	3,710	1,575,351	1,326,550
2007-08-10	$22.76	$23.72	20.8%	6.9%	21.6%	60.7%	25.0%	2.1%	-0.2%	6.8M	111.4M	-15.7M	1.35	5.07	9,223	12,409	1,576,491	1,319,178
2007-08-13	$22.67	$23.72	28.1%	6.7%	21.3%	100.0%	23.7%	2.2%	0.6%	5.1M	193.1M	-15.5M	0.40	5.28	25,363	10,022	1,578,845	1,316,267
2007-08-14	$22.37	$23.72	19.2%	7.6%	21.5%	50.1%	24.8%	2.4%	-1.1%	1.5M	329.8M	-15.2M	0.47	4.72	12,062	5,700	1,580,183	1,316,840
2007-08-15	$22.32	$23.72	31.6%	7.5%	18.8%	100.0%	25.5%	2.4%	0.4%	864.6K	354.8M	-15.2M	1.11	6.25	14,281	15,871	1,581,645	1,312,175
2007-08-16	$22.19	$23.72	30.4%	8.7%	18.8%	94.4%	25.1%	9.3%	-1.5%	1.8M	321.3M	-15.1M	0.39	9.91	48,863	19,075	1,582,672	1,310,530
2007-08-17	$22.71	$23.72	21.8%	6.2%	21.1%	54.1%	22.3%	7.5%	2.4%	2.6M	259.9M	-15.2M	0.61	5.85	24,030	14,614	1,577,739	1,302,824
2007-08-20	$22.93	$23.72	21.9%	6.3%	21.3%	54.6%	22.5%	7.3%	1.2%	6.1M	56.4M	-15.7M	0.53	6.36	26,512	13,992	1,518,424	1,285,930
2007-08-21	$23.00	$23.72	19.0%	5.4%	21.3%	41.0%	19.4%	5.5%	3.7%	4.4M	99.5M	-15.1M	0.55	7.29	26,923	14,853	1,528,878	1,296,959
2007-08-22	$23.39	$23.72	18.6%	5.3%	22.2%	38.9%	19.8%	9.3%	2.8%	9.8M	-122.9M	-15.6M	2.04	6.33	20,056	41,014	1,540,096	1,295,959
2007-08-23	$23.36	$23.72	18.3%	5.2%	20.1%	37.7%	18.5%	6.5%	3.0%	9.0M	-90.1M	-15.8M	0.33	4.81	14,273	4,742	1,543,776	1,327,392
2007-08-24	$23.47	$23.72	17.1%	4.9%	19.2%	31.9%	17.1%	8.0%	3.8%	11.6M	-179.6M	-15.7M	0.44	4.98	13,288	5,827	1,548,387	1,323,336
2007-08-27	$23.49	$23.72	17.2%	4.9%	19.2%	32.3%	17.2%	8.1%	3.9%	12.7M	-181.4M	-15.8M	0.31	5.10	23,475	7,197	1,555,490	1,322,845
2007-08-28	$23.22	$23.72	19.0%	5.4%	19.3%	40.9%	19.0%	6.7%	3.2%	11.0M	-86.8M	-15.6M	0.63	4.48	19,454	12,290	1,566,709	1,322,805
2007-08-29	$23.41	$23.72	17.1%	4.9%	19.4%	32.0%	17.1%	8.1%	3.7%	13.2M	-121.9M	-15.7M	0.46	4.32	14,570	6,701	1,577,349	1,319,663
2007-08-30	$23.29	$23.72	17.4%	5.0%	19.4%	33.6%	17.5%	7.6%	4.1%	12.4M	-94.9M	-15.7M	0.51	4.97	6,683	3,417	1,577,001	1,324,280
2007-08-31	$23.57	$23.72	17.2%	4.9%	18.7%	32.6%	17.3%	9.1%	3.4%	15.2M	-238.4M	-15.4M	1.22	4.12	9,776	11,922	1,577,974	1,322,435