PFE Options History — January 2008

In January 2008, PFE traded between $21.09 and $22.85. ATM implied volatility averaged 26.8%, placing in the 69.2% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 7.4% (HV 20d: 19.5%). Max pain ranged from $21.35 to $23.72. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.92.

Notable Days

2008-01-18: Highest Volume — 113,539 contracts
2008-01-15: Largest IV spike — 27.6% change
2008-01-22: Highest IV Rank — 97.6%
2008-01-22: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.02	$21.09	$22.85	$21.74	$22.16
Max Pain	$21.57	$21.35	$23.72	$23.72	$21.35
ATM IV	26.8%	22.9%	33.6%	24.2%	27.3%
Expected Move	7.6%	6.6%	9.6%	6.9%	7.8%
HV 20d	19.5%	16.7%	23.4%	17.6%	23.4%
HV 60d	22.3%	20.9%	23.8%	20.9%	23.2%
IV Rank	69.2%	53.1%	97.6%	58.4%	71.2%
IV Percentile	90.9%	79.0%	99.6%	87.3%	91.7%
Term Structure	-1.9%	-7.0%	2.6%	2.6%	-2.2%
VWIV	26.4%	19.3%	34.0%	26.0%	27.2%
Skew 25d	4.7%	-5.1%	14.1%	-5.1%	10.3%
Skew 10d	9.7%	-8.2%	23.4%	-8.2%	10.9%
Call IV 25d	23.9%	16.1%	33.6%	28.4%	16.6%
Put IV 25d	28.6%	23.3%	36.2%	23.3%	26.9%
Bid-Ask Spread %	6.77	4.63	8.80	4.82	8.80
Gamma HHI	0.34	0.20	0.95	0.49	0.22
Net GEX	-27.8M	-455.7M	5.5M	-24.3M	3.9M
Net DEX	420.4M	104.1M	857.9M	718.9M	274.0M
Net VEX	-11.9M	-12.8M	-11.0M	-11.3M	-11.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.21	2.44	1.40	0.71
Total Volume	54,570.286	21,273	113,539	38,120	79,508
Total OI	2,714,514.429	1,899,273	3,243,060	3,080,656	1,995,413

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
2008-01-02	$21.74	$23.72	24.2%	6.9%	17.6%	58.4%	26.0%	-5.1%	2.6%	-24.3M	718.9M	-11.3M	1.40	4.82	15,907	22,213	1,660,268	1,420,388
2008-01-03	$21.99	$23.72	24.5%	7.0%	18.2%	59.6%	19.3%	8.2%	0.5%	-21.0M	617.0M	-11.5M	1.10	7.12	26,784	29,364	1,667,285	1,425,778
2008-01-04	$21.66	$21.35	26.2%	7.4%	16.9%	66.5%	25.6%	1.3%	-1.5%	-26.1M	705.5M	-11.6M	1.92	7.49	26,079	50,015	1,674,963	1,423,684
2008-01-07	$22.04	$21.35	27.5%	7.6%	18.0%	72.0%	23.1%	6.0%	-2.1%	-20.0M	498.3M	-12.2M	0.82	7.15	39,534	32,518	1,690,634	1,439,486
2008-01-08	$22.27	$21.35	29.0%	8.0%	18.0%	78.4%	24.1%	5.5%	-2.4%	-13.3M	377.3M	-12.6M	0.59	6.58	39,011	23,137	1,716,250	1,461,907
2008-01-09	$22.69	$21.35	24.2%	6.7%	19.5%	58.3%	24.0%	6.0%	0.6%	-731.1K	179.4M	-12.6M	1.10	6.81	23,065	25,421	1,718,577	1,457,315
2008-01-10	$22.85	$21.35	23.3%	6.7%	17.9%	54.4%	24.1%	6.3%	-0.4%	2.0M	104.1M	-12.8M	0.53	7.92	30,384	16,086	1,723,617	1,453,631
2008-01-11	$22.79	$21.35	23.4%	6.7%	18.0%	55.2%	24.6%	5.3%	0.2%	2.4M	145.2M	-12.6M	0.87	6.38	23,293	20,341	1,719,761	1,445,096
2008-01-14	$22.74	$21.35	22.9%	6.6%	17.8%	53.1%	25.4%	6.1%	0.4%	5.5M	207.7M	-12.4M	1.52	6.99	14,518	22,063	1,728,721	1,452,872
2008-01-15	$22.38	$21.35	29.3%	8.4%	16.7%	79.6%	26.1%	5.8%	-6.3%	-9.9M	320.9M	-12.4M	0.53	6.27	31,406	16,578	1,735,922	1,463,000
2008-01-16	$22.20	$21.35	28.1%	8.0%	16.8%	74.5%	27.9%	3.4%	-3.4%	-3.1M	380.1M	-12.0M	0.48	7.17	20,478	9,860	1,756,166	1,471,030
2008-01-17	$21.78	$21.35	29.7%	8.5%	17.1%	81.2%	28.8%	2.6%	-4.1%	-37.5M	612.7M	-11.8M	1.64	7.93	16,650	27,368	1,768,248	1,468,453
2008-01-18	$21.35	$21.35	28.7%	8.2%	18.4%	77.2%	28.5%	-2.4%	-3.8%	-455.7M	857.9M	-11.4M	2.44	7.74	33,041	80,498	1,768,686	1,474,374
2008-01-22	$21.09	$21.35	33.6%	9.6%	18.7%	97.6%	34.0%	2.6%	-7.0%	-2.9M	559.3M	-11.0M	0.51	7.07	60,856	31,011	964,666	934,607
2008-01-23	$21.69	$21.35	29.4%	8.4%	21.6%	80.1%	29.9%	6.1%	-2.8%	2.1M	413.2M	-11.6M	0.21	7.38	81,119	16,829	1,005,915	942,767
2008-01-24	$21.87	$21.35	26.1%	7.5%	21.8%	66.3%	26.8%	3.6%	-1.4%	2.9M	364.0M	-11.7M	0.58	5.33	21,551	12,545	1,023,253	953,882
2008-01-25	$21.45	$21.35	26.9%	7.7%	22.7%	69.6%	30.1%	0.9%	-2.5%	1.0M	457.9M	-11.3M	0.56	4.63	22,953	12,740	1,028,653	945,306
2008-01-28	$21.81	$21.35	26.5%	7.6%	23.2%	68.0%	26.7%	14.1%	-1.9%	2.8M	371.9M	-11.7M	0.48	5.44	28,512	13,788	1,037,677	949,140
2008-01-29	$21.99	$21.35	26.5%	7.6%	23.3%	67.8%	26.4%	7.3%	-2.2%	4.9M	282.1M	-11.9M	1.02	5.18	13,721	13,958	1,055,306	959,705
2008-01-30	$21.92	$21.35	25.7%	7.4%	23.2%	64.6%	25.9%	5.2%	-1.2%	2.4M	380.1M	-11.6M	0.40	7.93	15,181	6,092	1,047,481	974,920
2008-01-31	$22.16	$21.35	27.3%	7.8%	23.4%	71.2%	27.2%	10.3%	-2.2%	3.9M	274.0M	-11.8M	0.71	8.80	46,360	33,148	1,033,996	961,417