PFE Options History — October 2007

In October 2007, PFE traded between $22.75 and $24.27. ATM implied volatility averaged 20.2%, placing in the 46.7% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 5.0% (HV 20d: 15.2%). Max pain ranged from $23.72 to $23.72. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.61.

Notable Days

2007-10-18: Highest Volume — 67,129 contracts
2007-10-25: Largest IV spike — 27.0% change
2007-10-09: Highest IV Rank — 56.3%
2007-10-30: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.51	$22.75	$24.27	$23.58	$23.35
Max Pain	$23.72	$23.72	$23.72	$23.72	$23.72
ATM IV	20.2%	16.2%	22.3%	18.6%	18.7%
Expected Move	5.8%	4.7%	6.2%	5.3%	5.4%
HV 20d	15.2%	13.0%	17.6%	17.6%	13.1%
HV 60d	17.5%	15.7%	18.8%	18.8%	15.7%
IV Rank	46.7%	27.9%	56.3%	38.9%	39.6%
IV Percentile	75.3%	22.5%	88.6%	61.5%	58.9%
Term Structure	0.4%	-1.5%	2.7%	1.9%	1.8%
VWIV	20.9%	17.4%	27.1%	18.8%	19.8%
Skew 25d	3.9%	-1.7%	10.9%	9.8%	7.7%
Skew 10d	6.9%	-4.6%	18.2%	15.4%	10.8%
Call IV 25d	19.8%	16.0%	23.6%	16.6%	18.5%
Put IV 25d	23.7%	19.7%	27.6%	26.4%	26.3%
Bid-Ask Spread %	6.16	4.05	10.72	4.33	5.47
Gamma HHI	0.25	0.23	0.28	0.24	0.23
Net GEX	9.7M	-3.5M	19.6M	10.4M	7.0M
Net DEX	-34.0M	-465.8M	397.9M	-101.5M	153.2M
Net VEX	-14.5M	-15.2M	-13.9M	-14.7M	-14.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.20	1.34	0.49	0.34
Total Volume	33,175.391	6,368	67,129	33,176	14,672
Total OI	2,941,007	2,836,524	3,045,263	2,836,524	3,040,642

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
2007-10-01	$23.58	$23.72	18.6%	5.3%	17.6%	38.9%	18.8%	9.8%	1.9%	10.4M	-101.5M	-14.7M	0.49	4.33	22,307	10,869	1,506,468	1,330,056
2007-10-02	$23.66	$23.72	18.6%	5.3%	17.3%	39.0%	18.6%	10.3%	1.8%	12.0M	-126.4M	-14.7M	0.28	5.82	20,557	5,829	1,514,185	1,332,060
2007-10-03	$23.80	$23.72	19.6%	5.6%	16.5%	43.8%	19.8%	10.9%	1.0%	15.1M	-234.5M	-14.8M	0.68	4.88	31,730	21,561	1,526,732	1,333,424
2007-10-04	$24.00	$23.72	20.3%	5.8%	16.7%	47.0%	20.3%	3.7%	1.4%	15.9M	-292.2M	-14.9M	0.56	4.44	23,342	12,993	1,545,308	1,339,899
2007-10-05	$24.27	$23.72	19.8%	5.9%	15.8%	44.9%	21.3%	5.0%	-0.2%	19.6M	-465.8M	-15.2M	0.58	9.04	17,609	10,166	1,550,961	1,343,836
2007-10-08	$24.15	$23.72	20.3%	6.2%	15.1%	47.3%	21.9%	4.0%	-1.5%	18.9M	-416.5M	-15.0M	0.33	9.63	11,585	3,880	1,551,648	1,351,937
2007-10-09	$24.23	$23.72	22.3%	5.9%	14.9%	56.3%	22.2%	1.9%	-0.7%	18.7M	-423.3M	-15.0M	0.81	6.86	14,958	12,098	1,553,593	1,354,825
2007-10-10	$24.23	$23.72	21.5%	5.8%	14.9%	52.6%	17.4%	4.3%	0.0%	18.7M	-449.0M	-14.8M	0.31	4.89	20,063	6,149	1,554,993	1,358,561
2007-10-11	$24.15	$23.72	21.4%	6.1%	15.1%	52.4%	21.5%	4.0%	-1.3%	18.0M	-394.0M	-14.9M	0.27	4.05	5,023	1,345	1,563,614	1,361,010
2007-10-12	$23.97	$23.72	20.6%	5.9%	15.5%	48.3%	20.7%	2.5%	-1.0%	17.0M	-277.7M	-14.5M	1.05	4.30	7,309	7,671	1,556,666	1,360,037
2007-10-15	$23.72	$23.72	21.7%	6.2%	15.8%	53.6%	21.9%	0.6%	-0.7%	14.9M	-151.4M	-14.5M	0.69	4.17	17,122	11,816	1,558,019	1,365,590
2007-10-16	$23.37	$23.72	21.1%	6.0%	15.8%	50.9%	21.7%	-1.4%	-0.4%	11.3M	24.5M	-14.3M	1.18	4.35	12,293	14,560	1,567,650	1,373,271
2007-10-17	$23.29	$23.72	21.0%	6.0%	15.0%	50.5%	21.0%	-1.7%	-1.2%	8.5M	67.4M	-14.3M	0.87	4.58	21,970	19,147	1,571,642	1,377,495
2007-10-18	$23.28	$23.72	19.8%	5.7%	14.1%	44.9%	20.1%	4.0%	0.5%	6.5M	100.2M	-14.1M	0.87	4.19	35,967	31,162	1,582,167	1,386,131
2007-10-19	$22.84	$23.72	20.1%	5.7%	15.6%	45.9%	20.3%	1.1%	1.5%	-495.3K	308.1M	-14.0M	0.62	8.12	23,084	14,273	1,598,434	1,401,864
2007-10-22	$22.79	$23.72	21.8%	6.2%	15.5%	53.9%	22.3%	0.2%	-0.5%	-3.5M	397.9M	-13.9M	0.37	7.94	32,532	11,999	1,553,928	1,375,470
2007-10-23	$22.82	$23.72	19.4%	5.5%	15.3%	42.7%	20.0%	2.1%	2.0%	-1.8M	338.9M	-14.0M	0.20	8.99	25,991	5,095	1,577,016	1,382,731
2007-10-24	$22.75	$23.72	16.2%	4.7%	14.4%	27.9%	19.9%	4.4%	2.7%	-1.4M	384.0M	-14.1M	1.34	10.72	23,823	32,011	1,586,856	1,384,549
2007-10-25	$23.05	$23.72	20.6%	5.9%	14.9%	48.5%	22.3%	5.5%	0.3%	2.5M	231.1M	-14.2M	0.28	9.34	26,570	7,553	1,597,711	1,392,282
2007-10-26	$23.06	$23.72	20.8%	6.0%	14.3%	49.6%	21.6%	1.7%	0.5%	3.4M	219.5M	-14.3M	0.92	5.53	7,952	7,305	1,613,695	1,398,914
2007-10-29	$23.25	$23.72	19.1%	5.5%	13.1%	41.7%	19.4%	5.9%	2.7%	6.7M	150.0M	-14.2M	0.48	4.97	41,200	19,806	1,618,124	1,403,904
2007-10-30	$23.20	$23.72	21.8%	6.2%	13.0%	54.1%	27.1%	3.7%	-1.2%	4.7M	175.8M	-14.4M	0.44	5.12	26,490	11,597	1,629,083	1,416,180
2007-10-31	$23.35	$23.72	18.7%	5.4%	13.1%	39.6%	19.8%	7.7%	1.8%	7.0M	153.2M	-14.3M	0.34	5.47	10,938	3,734	1,629,876	1,410,766