PFE Options History — March 2008

In March 2008, PFE traded between $19.45 and $21.11. ATM implied volatility averaged 26.3%, placing in the 65.3% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 7.4% (HV 20d: 18.9%). Max pain ranged from $18.98 to $21.35. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.96.

Notable Days

2008-03-07: Highest Volume — 71,674 contracts
2008-03-12: Largest IV spike — 47.0% change
2008-03-17: Highest IV Rank — 92.4%
2008-03-17: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.03	$19.45	$21.11	$21.11	$19.86
Max Pain	$20.99	$18.98	$21.35	$21.35	$18.98
ATM IV	26.3%	20.3%	32.4%	22.9%	27.2%
Expected Move	7.6%	5.8%	9.3%	6.6%	7.8%
HV 20d	18.9%	14.9%	22.4%	17.6%	22.4%
HV 60d	20.2%	19.0%	21.2%	19.7%	21.2%
IV Rank	65.3%	39.2%	92.4%	50.5%	69.6%
IV Percentile	82.3%	55.2%	98.8%	71.0%	87.3%
Term Structure	0.5%	-3.5%	4.1%	2.3%	1.3%
VWIV	25.9%	20.3%	31.3%	22.9%	28.5%
Skew 25d	2.1%	-5.7%	10.5%	10.4%	-1.1%
Skew 10d	4.8%	-8.1%	16.9%	16.3%	-5.8%
Call IV 25d	25.6%	19.8%	29.7%	20.0%	28.4%
Put IV 25d	27.6%	16.4%	34.5%	30.4%	27.3%
Bid-Ask Spread %	6.02	2.68	9.07	4.53	2.68
Gamma HHI	0.28	0.22	0.34	0.25	0.33
Net GEX	-7.2M	-10.0M	-3.4M	-5.8M	-9.0M
Net DEX	799.7M	530.0M	940.9M	546.3M	826.3M
Net VEX	-10.3M	-11.5M	-9.5M	-11.2M	-10.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.96	0.18	2.88	0.18	0.23
Total Volume	35,078.3	8,105	71,674	38,377	53,437
Total OI	2,174,968.1	2,027,960	2,282,536	2,117,969	2,127,459

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
2008-03-03	$21.11	$21.35	22.9%	6.6%	17.6%	50.5%	22.9%	10.4%	2.3%	-5.8M	546.3M	-11.2M	0.18	4.53	32,520	5,857	1,084,243	1,033,726
2008-03-04	$21.10	$21.35	24.1%	6.9%	17.5%	55.8%	24.2%	10.5%	1.4%	-3.4M	530.0M	-11.5M	0.44	5.11	35,071	15,418	1,099,244	1,033,600
2008-03-05	$20.92	$21.35	20.3%	5.8%	14.9%	39.2%	20.3%	-2.1%	3.5%	-3.6M	579.1M	-11.2M	0.85	4.22	21,722	18,569	1,119,484	1,045,199
2008-03-06	$20.48	$21.35	22.4%	6.4%	15.6%	48.3%	22.3%	-5.7%	2.3%	-5.9M	710.8M	-10.7M	1.09	6.61	14,256	15,604	1,120,689	1,057,266
2008-03-07	$20.26	$21.35	21.6%	7.6%	15.7%	45.0%	26.9%	0.8%	-1.1%	-5.4M	752.4M	-10.6M	1.85	5.65	25,115	46,559	1,127,208	1,055,356
2008-03-10	$20.07	$21.35	30.7%	8.4%	15.1%	84.6%	27.6%	1.3%	-0.3%	-6.9M	823.9M	-10.3M	0.55	5.69	8,527	4,677	1,137,416	1,090,913
2008-03-11	$20.61	$21.35	20.8%	7.1%	18.3%	41.4%	25.3%	2.9%	-0.1%	-4.2M	701.3M	-10.9M	0.64	6.09	11,587	7,384	1,141,484	1,084,264
2008-03-12	$20.19	$21.35	30.6%	7.2%	17.5%	84.5%	25.4%	2.3%	-0.7%	-5.7M	788.2M	-10.4M	0.37	6.22	18,615	6,888	1,142,562	1,074,046
2008-03-13	$20.12	$21.35	27.9%	8.0%	17.3%	72.4%	25.7%	3.2%	0.1%	-6.0M	804.9M	-10.4M	0.86	7.10	22,824	19,565	1,145,000	1,078,453
2008-03-14	$19.58	$21.35	30.1%	8.6%	19.0%	82.1%	28.8%	4.3%	-1.3%	-7.4M	897.7M	-10.0M	1.93	7.97	13,301	25,718	1,155,707	1,087,057
2008-03-17	$19.52	$21.35	32.4%	9.3%	19.0%	92.4%	31.3%	4.8%	-3.5%	-9.3M	932.5M	-9.7M	1.43	7.39	8,102	11,563	1,161,447	1,097,340
2008-03-18	$19.92	$21.35	29.1%	8.4%	20.9%	77.9%	27.3%	3.3%	-1.3%	-7.2M	864.2M	-10.1M	0.68	9.07	10,631	7,197	1,163,484	1,098,242
2008-03-19	$19.55	$21.35	28.3%	8.1%	21.4%	74.3%	27.7%	3.7%	-0.6%	-8.3M	916.3M	-9.9M	0.96	7.75	5,476	5,233	1,173,003	1,109,533
2008-03-20	$19.54	$21.35	27.3%	7.8%	21.4%	69.8%	26.8%	3.5%	0.7%	-8.1M	940.9M	-9.8M	1.73	8.36	19,061	33,066	1,172,002	1,108,714
2008-03-24	$19.55	$21.35	26.6%	7.6%	21.3%	66.9%	26.3%	-1.3%	1.1%	-9.5M	895.6M	-9.5M	0.35	4.39	34,632	12,161	974,288	1,053,672
2008-03-25	$19.72	$21.35	27.7%	8.0%	20.9%	71.8%	27.1%	1.8%	-0.6%	-8.4M	832.1M	-10.1M	2.88	5.76	10,219	29,442	996,323	1,060,769
2008-03-26	$19.63	$21.35	24.3%	7.0%	20.7%	56.7%	24.3%	-1.4%	4.1%	-9.7M	867.8M	-10.1M	0.97	6.74	27,087	26,306	989,639	1,086,326
2008-03-27	$19.51	$18.98	26.0%	7.5%	20.7%	64.2%	25.4%	-2.0%	1.1%	-9.8M	877.4M	-9.9M	0.59	6.39	5,095	3,010	1,011,012	1,096,937
2008-03-28	$19.45	$18.98	24.6%	7.0%	20.7%	57.9%	24.4%	1.7%	2.5%	-10.0M	906.8M	-9.7M	0.63	2.74	18,459	11,612	1,012,124	1,094,131
2008-03-31	$19.86	$18.98	27.2%	7.8%	22.4%	69.6%	28.5%	-1.1%	1.3%	-9.0M	826.3M	-10.2M	0.23	2.68	43,444	9,993	1,023,695	1,103,764