PFE Options History — September 2007

In September 2007, PFE traded between $22.73 and $23.80. ATM implied volatility averaged 21.2%, placing in the 51.4% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 4.7% (HV 20d: 16.5%). Max pain ranged from $23.72 to $23.72. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.03.

Notable Days

2007-09-21: Highest Volume — 85,946 contracts
2007-09-10: Largest IV spike — 22.1% change
2007-09-10: Highest IV Rank — 73.3%
2007-09-17: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.20	$22.73	$23.80	$23.80	$23.18
Max Pain	$23.72	$23.72	$23.72	$23.72	$23.72
ATM IV	21.2%	17.1%	25.9%	17.1%	19.8%
Expected Move	6.0%	4.9%	7.1%	4.9%	5.7%
HV 20d	16.5%	14.6%	17.7%	17.0%	17.0%
HV 60d	17.9%	17.5%	18.4%	17.7%	18.4%
IV Rank	51.4%	31.8%	73.3%	31.8%	44.9%
IV Percentile	79.1%	41.1%	96.5%	41.1%	76.9%
Term Structure	-0.1%	-3.1%	3.7%	2.4%	0.4%
VWIV	21.7%	17.1%	26.5%	17.1%	20.0%
Skew 25d	2.8%	-1.2%	8.6%	1.7%	6.3%
Skew 10d	4.2%	-3.8%	13.4%	2.6%	10.2%
Call IV 25d	21.3%	15.1%	26.2%	15.1%	18.4%
Put IV 25d	24.1%	16.1%	28.6%	16.8%	24.7%
Bid-Ask Spread %	6.06	4.05	8.87	5.64	5.31
Gamma HHI	0.23	0.21	0.32	0.22	0.25
Net GEX	12.6M	2.2M	41.1M	18.8M	6.4M
Net DEX	62.4M	-330.5M	233.1M	-330.5M	53.7M
Net VEX	-14.7M	-15.6M	-13.6M	-15.6M	-14.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.03	0.18	6.15	0.69	6.15
Total Volume	40,907.053	10,970	85,946	19,344	47,034
Total OI	2,917,238.211	2,714,485	3,040,700	2,898,657	2,802,607

Daily Data (19 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
2007-09-04	$23.80	$23.72	17.1%	4.9%	17.0%	31.8%	17.1%	1.7%	2.4%	18.8M	-330.5M	-15.6M	0.69	5.64	11,464	7,880	1,576,961	1,321,696
2007-09-05	$23.44	$23.72	18.6%	5.3%	17.7%	38.9%	18.5%	-1.2%	3.1%	13.1M	-76.6M	-15.1M	0.71	5.53	22,650	15,977	1,578,044	1,323,252
2007-09-06	$23.36	$23.72	17.4%	5.0%	17.4%	33.5%	17.4%	-1.1%	3.7%	13.9M	-115.9M	-15.2M	0.59	5.66	23,278	13,638	1,590,590	1,333,976
2007-09-07	$23.01	$23.72	21.2%	6.4%	16.8%	51.3%	23.7%	3.0%	-0.5%	8.8M	85.7M	-15.2M	0.42	6.15	20,244	8,416	1,604,912	1,341,106
2007-09-10	$22.73	$23.72	25.9%	6.6%	17.2%	73.3%	23.5%	3.1%	-0.5%	5.1M	233.1M	-14.7M	0.79	4.99	14,739	11,686	1,608,680	1,341,913
2007-09-11	$22.95	$23.72	23.0%	6.6%	17.5%	59.9%	23.5%	2.6%	-1.2%	8.4M	165.9M	-14.8M	1.09	7.11	28,314	30,976	1,617,454	1,349,839
2007-09-12	$22.95	$23.72	24.2%	6.5%	16.7%	65.3%	24.8%	3.2%	-0.7%	9.2M	158.0M	-15.0M	0.75	5.77	6,251	4,719	1,638,465	1,365,854
2007-09-13	$22.99	$23.72	23.5%	6.7%	16.7%	62.2%	23.6%	0.8%	-1.0%	10.8M	137.6M	-14.9M	0.51	7.16	11,579	5,887	1,639,883	1,361,812
2007-09-14	$23.05	$23.72	23.7%	6.8%	16.5%	62.9%	24.5%	1.1%	-1.7%	13.5M	99.6M	-14.9M	0.18	5.88	21,997	4,052	1,641,757	1,345,845
2007-09-17	$22.89	$23.72	24.9%	7.1%	14.6%	68.6%	25.1%	2.3%	-2.8%	13.3M	177.7M	-14.7M	0.74	5.39	28,896	21,277	1,653,717	1,346,695
2007-09-18	$23.28	$23.72	23.2%	6.7%	15.4%	60.8%	23.9%	1.2%	-2.0%	24.0M	112.5M	-14.5M	0.67	8.87	20,463	13,729	1,657,060	1,362,130
2007-09-19	$23.61	$23.72	23.2%	6.6%	16.1%	60.6%	25.1%	3.4%	-3.1%	41.1M	-173.8M	-15.0M	0.92	7.05	18,014	16,535	1,655,620	1,363,631
2007-09-20	$23.26	$23.72	22.6%	6.5%	16.0%	57.9%	26.5%	1.7%	-1.8%	17.0M	123.1M	-14.6M	2.61	8.00	20,831	54,410	1,649,489	1,360,807
2007-09-21	$23.33	$23.72	20.0%	5.7%	16.0%	45.5%	20.5%	0.1%	0.6%	15.7M	188.0M	-14.4M	0.93	4.05	44,454	41,492	1,642,772	1,397,928
2007-09-24	$23.17	$23.72	18.6%	5.3%	16.1%	39.3%	18.7%	5.4%	1.1%	2.6M	166.5M	-13.7M	0.42	5.58	33,729	14,056	1,438,007	1,276,478
2007-09-25	$23.00	$23.72	19.4%	5.6%	16.2%	43.1%	19.5%	4.4%	-0.1%	2.2M	206.2M	-13.6M	0.64	7.12	31,477	20,101	1,452,485	1,269,442
2007-09-26	$23.32	$23.72	18.8%	5.4%	16.5%	39.9%	18.8%	7.2%	1.2%	6.7M	7.3M	-14.6M	0.19	4.74	22,402	4,208	1,470,838	1,282,658
2007-09-27	$23.48	$23.72	18.2%	5.2%	16.5%	37.3%	18.4%	8.6%	2.0%	8.2M	-32.3M	-14.3M	0.56	5.10	38,802	21,577	1,479,257	1,283,866
2007-09-28	$23.18	$23.72	19.8%	5.7%	17.0%	44.9%	20.0%	6.3%	0.4%	6.4M	53.7M	-14.6M	6.15	5.31	6,576	40,458	1,503,842	1,298,765