PFE Options History — November 2007

In November 2007, PFE traded between $21.16 and $22.72. ATM implied volatility averaged 26.6%, placing in the 69.5% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 5.3% (HV 20d: 21.3%). Max pain ranged from $23.72 to $23.72. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.96.

Notable Days

2007-11-27: Highest Volume — 113,391 contracts
2007-11-06: Largest IV drop — 34.7% change
2007-11-05: Highest IV Rank — 100.0%
2007-11-02: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.05	$21.16	$22.72	$22.72	$22.54
Max Pain	$23.72	$23.72	$23.72	$23.72	$23.72
ATM IV	26.6%	20.8%	34.2%	27.4%	21.5%
Expected Move	7.2%	6.1%	8.8%	7.9%	6.2%
HV 20d	21.3%	15.0%	29.8%	15.6%	28.4%
HV 60d	17.9%	16.2%	21.0%	16.5%	20.9%
IV Rank	69.5%	44.1%	100.0%	80.5%	47.1%
IV Percentile	92.9%	77.2%	100.0%	97.6%	78.7%
Term Structure	0.0%	-8.6%	2.6%	-2.5%	1.0%
VWIV	24.8%	22.3%	30.5%	28.1%	24.0%
Skew 25d	0.9%	-7.6%	4.8%	1.8%	4.8%
Skew 10d	-0.0%	-12.1%	11.3%	3.3%	5.4%
Call IV 25d	24.4%	20.7%	30.5%	26.1%	21.8%
Put IV 25d	25.3%	18.9%	29.1%	27.9%	26.7%
Bid-Ask Spread %	6.12	3.37	8.22	8.22	7.42
Gamma HHI	0.29	0.24	0.33	0.25	0.24
Net GEX	-8.3M	-14.7M	761.2K	-854.6K	761.2K
Net DEX	579.1M	207.8M	867.0M	408.1M	207.8M
Net VEX	-13.4M	-14.0M	-12.5M	-13.9M	-13.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.96	0.20	2.01	1.34	2.01
Total Volume	51,585	28,998	113,391	43,559	37,652
Total OI	3,132,058.286	3,046,175	3,216,218	3,046,175	3,216,218

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
2007-11-01	$22.72	$23.72	27.4%	7.9%	15.6%	80.5%	28.1%	1.8%	-2.5%	-854.6K	408.1M	-13.9M	1.34	8.22	18,579	24,980	1,633,666	1,412,509
2007-11-02	$22.46	$23.72	30.8%	8.8%	15.0%	96.5%	30.5%	-1.8%	-8.6%	-6.8M	581.7M	-13.5M	0.61	8.12	29,119	17,645	1,643,593	1,427,430
2007-11-05	$22.46	$23.72	34.2%	7.0%	15.0%	100.0%	23.6%	3.0%	0.7%	-7.0M	597.3M	-13.4M	0.80	6.52	21,439	17,179	1,649,439	1,434,868
2007-11-06	$22.70	$23.72	22.3%	6.1%	15.7%	50.4%	22.5%	3.1%	1.5%	-2.0M	426.1M	-13.9M	0.83	5.27	23,642	19,564	1,661,059	1,438,038
2007-11-07	$22.13	$23.72	29.8%	7.3%	17.6%	81.7%	23.6%	3.7%	-0.6%	-8.2M	621.2M	-13.5M	0.86	5.08	15,563	13,435	1,651,967	1,451,869
2007-11-08	$21.93	$23.72	28.4%	7.5%	17.6%	75.8%	25.9%	4.5%	0.9%	-9.0M	623.6M	-13.7M	1.16	8.01	37,740	43,891	1,658,274	1,444,915
2007-11-09	$21.66	$23.72	28.5%	7.3%	17.8%	76.5%	25.8%	1.1%	0.8%	-12.1M	740.6M	-13.3M	1.59	7.78	25,375	40,273	1,672,225	1,447,829
2007-11-12	$21.84	$23.72	32.8%	7.2%	18.3%	94.3%	27.6%	4.7%	0.5%	-13.1M	715.6M	-13.5M	0.91	7.94	20,773	18,825	1,685,502	1,460,088
2007-11-13	$22.34	$23.72	31.7%	7.2%	20.1%	89.8%	23.2%	3.2%	-0.1%	-6.6M	499.4M	-13.4M	0.84	5.38	31,911	26,940	1,693,380	1,456,477
2007-11-14	$22.40	$23.72	20.8%	7.1%	20.2%	44.1%	23.2%	2.4%	-0.2%	-5.8M	435.1M	-13.4M	0.93	6.11	15,736	14,701	1,710,774	1,444,091
2007-11-15	$22.10	$23.72	27.0%	7.7%	20.6%	69.8%	27.0%	3.1%	-1.2%	-8.5M	547.3M	-13.4M	1.24	5.61	18,542	23,004	1,705,809	1,444,996
2007-11-16	$22.19	$23.72	24.4%	7.0%	19.8%	59.0%	22.3%	2.7%	0.7%	-9.3M	565.2M	-13.3M	1.63	6.32	13,739	22,387	1,711,130	1,449,727
2007-11-19	$21.55	$23.72	25.1%	7.2%	22.1%	62.3%	24.5%	-5.7%	-0.0%	-12.0M	700.5M	-12.9M	0.61	6.48	36,648	22,345	1,652,011	1,426,778
2007-11-20	$21.56	$23.72	22.5%	6.5%	22.1%	51.2%	22.6%	-4.4%	2.5%	-14.3M	789.0M	-12.8M	0.42	4.61	39,757	16,626	1,679,239	1,433,167
2007-11-21	$21.20	$23.72	23.4%	6.7%	22.6%	54.8%	23.6%	1.2%	2.6%	-14.7M	867.0M	-12.5M	0.20	4.41	57,735	11,484	1,684,480	1,429,496
2007-11-23	$21.80	$23.72	25.6%	7.3%	24.6%	64.0%	24.0%	-1.2%	-0.2%	-10.3M	630.1M	-13.3M	0.96	3.60	24,697	23,813	1,714,010	1,424,575
2007-11-26	$21.16	$23.72	26.5%	7.6%	26.4%	68.0%	25.3%	-7.6%	0.7%	-13.6M	852.9M	-12.5M	0.92	3.37	17,916	16,467	1,717,149	1,429,416
2007-11-27	$21.71	$23.72	26.3%	7.5%	28.2%	67.0%	25.0%	-2.6%	-0.0%	-11.1M	655.4M	-13.0M	0.95	3.64	58,022	55,369	1,721,116	1,435,155
2007-11-28	$22.24	$23.72	25.2%	7.2%	29.8%	62.6%	24.4%	1.3%	1.3%	-7.4M	428.4M	-13.5M	0.50	6.77	41,709	20,802	1,757,346	1,453,301
2007-11-29	$22.39	$23.72	25.3%	7.3%	29.8%	63.1%	23.5%	2.0%	1.2%	-1.7M	268.9M	-14.0M	0.75	7.88	27,055	20,206	1,765,269	1,444,843
2007-11-30	$22.54	$23.72	21.5%	6.2%	28.4%	47.1%	24.0%	4.8%	1.0%	761.2K	207.8M	-13.9M	2.01	7.42	12,524	25,128	1,775,711	1,440,507