PFE Options History — February 2008

In February 2008, PFE traded between $21.06 and $22.42. ATM implied volatility averaged 22.0%, placing in the 47.2% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 0.0% (HV 20d: 22.1%). Max pain ranged from $21.35 to $23.72. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.78.

Notable Days

2008-02-05: Highest Volume — 113,999 contracts
2008-02-14: Largest IV spike — 34.8% change
2008-02-01: Highest IV Rank — 71.4%
2008-02-01: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.49	$21.06	$22.42	$22.38	$21.14
Max Pain	$22.53	$21.35	$23.72	$21.35	$21.35
ATM IV	22.0%	18.0%	27.3%	27.3%	20.2%
Expected Move	6.4%	5.2%	7.8%	7.8%	5.8%
HV 20d	22.1%	18.2%	25.1%	23.2%	18.2%
HV 60d	22.1%	19.6%	23.5%	23.2%	19.7%
IV Rank	47.2%	29.2%	71.4%	71.4%	38.7%
IV Percentile	63.4%	31.3%	91.7%	91.7%	55.2%
Term Structure	1.9%	-3.3%	5.0%	-3.3%	3.5%
VWIV	22.7%	18.0%	30.5%	27.0%	20.2%
Skew 25d	4.2%	-1.3%	11.5%	11.5%	-0.3%
Skew 10d	7.6%	-0.4%	18.8%	13.3%	0.1%
Call IV 25d	20.4%	14.2%	27.1%	15.4%	17.8%
Put IV 25d	24.6%	17.5%	29.0%	26.9%	17.5%
Bid-Ask Spread %	5.98	3.35	9.21	7.28	4.69
Gamma HHI	0.23	0.20	0.25	0.24	0.24
Net GEX	-1.0M	-5.5M	5.0M	4.5M	-5.5M
Net DEX	402.0M	200.5M	535.6M	217.2M	535.6M
Net VEX	-11.9M	-12.4M	-11.4M	-12.2M	-11.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.22	2.78	0.80	1.55
Total Volume	36,436.8	6,738	113,999	47,548	21,174
Total OI	2,095,549.3	2,038,943	2,156,940	2,041,697	2,110,757

Daily Data (20 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
2008-02-01	$22.38	$21.35	27.3%	7.8%	23.2%	71.4%	27.0%	11.5%	-3.3%	4.5M	217.2M	-12.2M	0.80	7.28	26,348	21,200	1,049,748	991,949
2008-02-04	$22.42	$23.72	26.6%	6.9%	22.5%	68.4%	23.1%	2.8%	0.5%	5.0M	200.5M	-12.1M	0.60	5.62	15,652	9,338	1,056,472	982,471
2008-02-05	$21.78	$23.72	24.4%	7.2%	24.1%	59.3%	30.5%	0.4%	0.5%	2.1M	363.2M	-11.7M	0.22	5.82	93,502	20,497	1,061,344	983,693
2008-02-06	$21.43	$23.72	26.4%	7.3%	24.4%	67.6%	25.4%	3.5%	0.4%	-59.3K	413.8M	-11.8M	1.07	8.91	23,057	24,629	1,053,267	992,996
2008-02-07	$21.51	$23.72	24.3%	7.4%	23.2%	58.8%	25.5%	4.3%	0.2%	508.7K	365.3M	-12.0M	0.61	9.11	13,997	8,586	1,070,687	1,000,714
2008-02-08	$21.16	$23.72	23.8%	7.3%	23.4%	54.4%	26.5%	0.3%	-0.1%	-1.0M	430.5M	-12.0M	0.35	9.21	20,281	7,073	1,089,115	1,014,306
2008-02-11	$21.06	$23.72	26.7%	7.0%	23.4%	67.4%	25.9%	2.3%	1.3%	-1.1M	452.4M	-11.8M	0.34	7.59	29,807	10,171	1,091,882	1,007,812
2008-02-12	$21.52	$23.72	22.2%	7.1%	25.1%	47.3%	24.6%	3.5%	1.0%	1.1M	347.2M	-12.1M	0.73	8.89	32,448	23,591	1,088,370	1,014,212
2008-02-13	$21.57	$23.72	18.2%	6.8%	24.6%	29.9%	24.1%	1.1%	1.4%	2.7M	331.3M	-12.4M	1.38	6.36	8,258	11,405	1,103,471	1,032,905
2008-02-14	$21.30	$23.72	24.5%	7.0%	24.9%	57.7%	25.5%	-1.3%	0.7%	1.9M	427.0M	-12.0M	2.78	6.22	8,061	22,423	1,105,642	1,035,250
2008-02-15	$21.19	$23.72	22.1%	6.3%	24.1%	47.1%	22.7%	0.9%	2.8%	803.0K	485.6M	-12.4M	0.67	3.35	33,329	22,334	1,106,205	1,050,735
2008-02-19	$21.22	$21.35	20.6%	5.9%	23.0%	40.6%	20.7%	9.1%	3.0%	-4.7M	453.4M	-11.9M	0.41	3.70	28,498	11,541	1,058,840	1,032,561
2008-02-20	$21.32	$21.35	20.1%	5.7%	22.7%	38.0%	19.7%	9.4%	2.1%	-5.0M	498.6M	-11.7M	0.89	3.91	16,629	14,725	1,054,334	1,033,747
2008-02-21	$21.25	$21.35	18.9%	5.4%	20.2%	33.1%	19.0%	9.0%	3.8%	-5.4M	473.0M	-11.9M	0.68	5.14	7,605	5,136	1,063,182	1,036,915
2008-02-22	$21.35	$21.35	19.3%	5.5%	20.0%	34.5%	18.9%	9.6%	3.9%	-4.7M	468.8M	-11.7M	0.23	4.89	37,906	8,619	1,066,024	1,028,834
2008-02-25	$21.61	$21.35	19.4%	5.6%	19.4%	35.3%	19.7%	10.4%	3.2%	-2.6M	371.7M	-12.0M	0.32	4.97	20,876	6,688	1,079,847	1,032,156
2008-02-26	$21.66	$21.35	18.0%	5.2%	18.4%	29.2%	18.0%	3.4%	5.0%	-2.5M	335.6M	-11.9M	0.26	4.65	32,173	8,282	1,077,521	1,015,926
2008-02-27	$21.58	$21.35	19.0%	5.4%	18.2%	33.2%	18.9%	2.9%	3.8%	-2.9M	417.4M	-11.6M	1.10	4.77	7,703	8,456	1,094,181	1,020,338
2008-02-28	$21.39	$21.35	18.7%	5.4%	18.4%	32.0%	18.7%	1.7%	4.3%	-4.1M	451.4M	-11.6M	0.70	4.49	3,955	2,783	1,095,629	1,026,948
2008-02-29	$21.14	$21.35	20.2%	5.8%	18.2%	38.7%	20.2%	-0.3%	3.5%	-5.5M	535.6M	-11.4M	1.55	4.69	8,318	12,856	1,083,933	1,026,824