PFE Options History — December 2007

In December 2007, PFE traded between $21.57 and $23.15. ATM implied volatility averaged 22.9%, placing in the 53.0% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 2.2% (HV 20d: 25.2%). Max pain ranged from $23.72 to $23.72. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 2.23.

Notable Days

  • 2007-12-24: Highest Volume — 122,189 contracts
  • 2007-12-13: Largest IV spike — 26.9% change
  • 2007-12-03: Highest IV Rank — 67.7%
  • 2007-12-03: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.27$21.57$23.15$22.34$21.57
Max Pain$23.72$23.72$23.72$23.72$23.72
ATM IV22.9%19.2%26.4%26.4%23.0%
Expected Move6.7%5.9%7.6%7.6%6.6%
HV 20d25.2%17.5%29.1%28.3%17.5%
HV 60d21.2%20.6%21.7%20.7%21.0%
IV Rank53.0%37.2%67.7%67.7%53.3%
IV Percentile79.8%58.1%93.1%93.1%82.0%
Term Structure0.7%-0.6%3.4%0.1%1.2%
VWIV23.3%19.9%26.6%25.5%24.1%
Skew 25d0.6%-6.5%6.5%1.0%-6.5%
Skew 10d-1.0%-10.3%10.2%0.9%-10.3%
Call IV 25d23.8%21.0%27.9%25.6%27.9%
Put IV 25d24.4%20.1%28.4%26.6%21.3%
Bid-Ask Spread %5.984.209.147.524.68
Gamma HHI0.340.230.500.260.50
Net GEX-8.5M-26.1M12.6M-4.6M-26.1M
Net DEX375.6M-145.5M775.1M370.5M775.1M
Net VEX-12.5M-13.7M-10.7M-13.6M-10.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.230.3813.410.514.51
Total Volume43,951.7516,375122,18931,930113,761
Total OI3,183,7833,020,5823,308,6943,230,6273,059,161

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-12-03$22.34$23.7226.4%7.6%28.3%67.7%25.5%1.0%0.1%-4.6M370.5M-13.6M0.517.5221,11110,8191,774,3861,456,241
2007-12-04$22.27$23.7226.2%7.5%28.3%66.8%26.6%-0.6%0.2%-4.7M371.8M-13.4M1.017.838,1528,2231,778,7951,452,712
2007-12-05$22.75$23.7221.2%6.1%29.1%45.9%23.4%6.5%1.6%3.0M69.6M-13.5M0.609.1426,79016,1161,779,5501,422,442
2007-12-06$22.93$23.7222.3%6.4%27.6%50.1%23.0%4.9%0.2%7.0M-37.4M-13.5M0.385.4420,9587,8811,782,4251,421,511
2007-12-07$23.15$23.7219.8%5.9%27.4%39.9%22.6%2.4%1.1%11.4M-145.5M-13.7M0.385.7536,57613,8171,780,7271,412,763
2007-12-10$23.12$23.7219.2%6.1%26.9%37.2%21.2%2.0%-0.4%12.6M-141.8M-13.6M1.474.7517,10625,0951,790,2551,419,044
2007-12-11$22.61$23.7219.2%6.5%28.3%37.4%23.9%0.4%-0.4%1.6M176.5M-12.8M1.745.568,12714,1331,792,9211,434,081
2007-12-12$22.59$23.7219.8%6.7%27.2%40.0%23.5%1.0%0.3%-293.6K182.6M-13.2M0.997.4517,07316,9401,788,4411,432,116
2007-12-13$22.43$23.7225.2%7.2%27.3%62.4%23.5%3.2%0.3%-4.3M283.9M-12.8M0.955.3019,07718,1731,798,5111,430,856
2007-12-14$21.92$23.7225.1%7.2%28.1%62.1%24.9%2.6%-0.0%-13.9M556.0M-12.2M2.075.3619,51740,3701,803,1131,433,852
2007-12-17$21.79$23.7225.9%7.4%28.1%65.3%25.1%3.3%-0.6%-18.1M624.7M-12.0M2.176.608,17517,7471,807,4911,433,312
2007-12-18$22.17$23.7225.8%7.4%26.7%65.1%24.8%0.2%0.6%-11.7M442.0M-12.5M0.645.3219,67012,6831,805,1481,441,363
2007-12-19$22.08$23.7225.0%7.2%26.7%61.5%23.2%0.6%-0.2%-12.7M477.8M-12.4M1.526.758,65313,1281,812,7911,444,983
2007-12-20$22.03$23.7224.1%6.9%26.0%57.8%24.1%-1.4%0.5%-14.8M540.5M-12.0M6.366.569,95563,3421,815,8611,450,365
2007-12-21$22.05$23.7223.1%6.6%24.1%53.6%19.9%-0.5%1.1%-17.5M523.4M-12.1M0.696.8410,9177,5341,814,7861,493,908
2007-12-24$22.13$23.7223.1%6.6%21.2%53.6%22.0%2.0%1.4%-14.5M504.2M-11.9M13.414.838,479113,7101,636,6341,383,948
2007-12-26$22.01$23.7222.3%6.4%19.5%50.5%21.9%-0.4%1.4%-17.2M550.6M-11.7M3.305.177,61325,1361,639,6271,384,277
2007-12-27$21.75$23.7221.2%6.1%17.9%45.8%21.4%-4.0%3.4%-22.0M675.2M-11.3M0.764.2014,49511,0581,641,8161,387,037
2007-12-28$21.73$23.7220.9%6.0%17.6%44.4%21.5%-4.8%3.2%-23.2M711.6M-11.0M1.214.5121,22425,7011,647,2151,391,195
2007-12-31$21.57$23.7223.0%6.6%17.5%53.3%24.1%-6.5%1.2%-26.1M775.1M-10.7M4.514.6820,63593,1261,657,4411,401,720