PFE Options History — April 2008

In April 2008, PFE traded between $18.78 and $20.41. ATM implied volatility averaged 24.7%, placing in the 58.5% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 2.0% (HV 20d: 22.7%). Max pain ranged from $18.98 to $18.98. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.69.

Notable Days

2008-04-22: Highest Volume — 108,415 contracts
2008-04-09: Largest IV spike — 28.5% change
2008-04-09: Highest IV Rank — 96.5%
2008-04-16: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.60	$18.78	$20.41	$20.28	$19.08
Max Pain	$18.98	$18.98	$18.98	$18.98	$18.98
ATM IV	24.7%	19.8%	33.4%	24.7%	19.8%
Expected Move	7.1%	5.7%	8.7%	7.1%	5.7%
HV 20d	22.7%	19.9%	25.0%	24.0%	22.2%
HV 60d	21.2%	20.6%	22.0%	21.6%	21.1%
IV Rank	58.5%	37.0%	96.5%	58.3%	37.0%
IV Percentile	69.6%	35.3%	99.2%	75.8%	35.3%
Term Structure	-1.6%	-4.2%	0.6%	-2.4%	0.6%
VWIV	24.3%	19.3%	30.3%	24.8%	19.8%
Skew 25d	-0.1%	-10.7%	3.7%	2.1%	0.0%
Skew 10d	-1.0%	-13.7%	6.4%	-2.7%	-1.8%
Call IV 25d	25.9%	22.2%	29.5%	24.7%	26.0%
Put IV 25d	25.8%	16.8%	31.6%	26.8%	26.0%
Bid-Ask Spread %	3.34	2.06	4.55	3.27	3.39
Gamma HHI	0.47	0.33	0.61	0.33	0.61
Net GEX	-11.8M	-18.1M	-6.2M	-6.5M	-18.1M
Net DEX	929.6M	694.2M	1.16B	735.4M	1.16B
Net VEX	-9.7M	-10.7M	-8.9M	-10.5M	-8.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.18	1.34	0.18	0.96
Total Volume	42,493.318	11,710	108,415	25,382	42,171
Total OI	2,288,772.455	2,149,149	2,461,931	2,151,016	2,461,931

Daily Data (22 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
2008-04-01	$20.28	$18.98	24.7%	7.1%	24.0%	58.3%	24.8%	2.1%	-2.4%	-6.5M	735.4M	-10.5M	0.18	3.27	21,460	3,922	1,042,825	1,108,191
2008-04-02	$20.41	$18.98	22.9%	6.6%	24.2%	50.7%	22.4%	3.7%	-0.6%	-6.4M	694.2M	-10.7M	0.45	3.99	22,150	10,071	1,041,145	1,108,004
2008-04-03	$20.25	$18.98	23.2%	6.7%	24.1%	51.9%	23.4%	2.6%	0.0%	-6.5M	736.6M	-10.4M	0.19	2.70	9,803	1,907	1,048,507	1,113,232
2008-04-04	$20.26	$18.98	23.5%	7.4%	23.0%	53.0%	24.4%	2.5%	-0.6%	-8.9M	796.6M	-9.9M	0.59	4.12	13,576	8,059	1,042,497	1,112,174
2008-04-07	$20.38	$18.98	24.9%	7.0%	22.8%	59.2%	25.0%	2.7%	-0.7%	-6.2M	707.3M	-10.3M	0.23	4.12	13,507	3,125	1,051,897	1,117,919
2008-04-08	$19.92	$18.98	26.0%	7.8%	24.0%	64.0%	26.6%	2.6%	-3.0%	-8.6M	821.6M	-9.8M	0.31	3.52	9,032	2,834	1,060,691	1,118,932
2008-04-09	$19.82	$18.98	33.4%	8.1%	21.8%	96.5%	26.4%	3.0%	-3.3%	-8.5M	843.5M	-9.8M	0.64	3.75	56,657	36,395	1,063,500	1,120,161
2008-04-10	$19.85	$18.98	28.5%	8.2%	20.7%	75.1%	27.0%	2.6%	-3.5%	-8.3M	850.2M	-9.9M	1.34	4.45	32,652	43,910	1,105,093	1,137,317
2008-04-11	$19.40	$18.98	28.0%	8.0%	22.1%	73.1%	28.4%	1.6%	-2.3%	-12.5M	959.1M	-9.8M	0.77	3.14	18,906	14,506	1,118,487	1,178,587
2008-04-14	$19.51	$18.98	29.5%	8.5%	20.1%	79.4%	30.3%	3.3%	-3.4%	-11.5M	924.8M	-9.8M	0.84	3.50	11,242	9,413	1,119,672	1,179,757
2008-04-15	$19.65	$18.98	29.4%	8.4%	20.2%	79.1%	29.8%	1.4%	-3.6%	-11.3M	882.8M	-9.9M	0.31	3.74	16,816	5,209	1,126,616	1,181,887
2008-04-16	$20.02	$18.98	30.4%	8.7%	19.9%	83.5%	29.8%	3.4%	-4.2%	-8.2M	797.9M	-10.4M	0.34	3.16	30,624	10,535	1,132,111	1,181,653
2008-04-17	$19.35	$18.98	24.0%	6.9%	22.4%	55.4%	24.1%	0.8%	-0.1%	-16.3M	977.0M	-9.5M	1.23	2.06	34,010	41,863	1,143,230	1,189,571
2008-04-18	$19.42	$18.98	24.0%	6.9%	22.4%	55.5%	24.2%	-5.8%	-0.7%	-15.6M	972.0M	-9.3M	0.82	2.79	20,916	17,233	1,153,896	1,191,644
2008-04-21	$19.17	$18.98	22.5%	6.5%	22.9%	48.8%	21.6%	-10.7%	-3.1%	-14.1M	1.05B	-9.2M	0.69	2.21	27,281	18,879	1,099,814	1,174,269
2008-04-22	$18.78	$18.98	22.4%	6.4%	23.6%	48.5%	22.5%	-2.1%	0.0%	-14.6M	1.11B	-8.9M	0.44	2.16	75,519	32,896	1,096,051	1,174,269
2008-04-23	$18.86	$18.98	21.3%	6.1%	23.7%	43.6%	21.4%	0.3%	0.5%	-14.7M	1.10B	-9.2M	1.02	2.57	22,213	22,581	1,168,866	1,201,539
2008-04-24	$19.01	$18.98	20.8%	6.0%	23.9%	41.4%	20.9%	0.4%	-0.5%	-15.8M	1.12B	-8.9M	0.80	3.82	24,227	19,285	1,182,230	1,210,419
2008-04-25	$19.38	$18.98	21.5%	6.2%	25.0%	44.6%	21.5%	-4.8%	-0.7%	-14.5M	1.02B	-9.2M	1.25	2.83	33,276	41,575	1,193,993	1,217,232
2008-04-28	$19.19	$18.98	21.6%	6.2%	23.9%	44.9%	21.6%	-8.3%	0.1%	-15.3M	1.07B	-9.2M	0.94	3.60	15,821	14,804	1,203,270	1,227,421
2008-04-29	$19.20	$18.98	21.1%	6.1%	22.4%	42.7%	19.3%	-4.1%	-3.4%	-16.5M	1.11B	-9.2M	0.80	4.55	13,352	10,640	1,206,681	1,245,813
2008-04-30	$19.08	$18.98	19.8%	5.7%	22.2%	37.0%	19.8%	0.0%	0.6%	-18.1M	1.16B	-8.9M	0.96	3.39	21,537	20,634	1,212,028	1,249,903