PFE Options History — May 2008 In May 2008, PFE traded between $18.31 and $19.55. ATM implied volatility averaged 18.0%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 1.1% (HV 20d: 19.1%). Max pain ranged from $18.98 to $21.35. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.86.
Notable Days 2008-05-06 : Highest Volume — 226,743 contracts2008-05-15 : Largest IV spike — 31.3% change2008-05-05 : Highest IV Rank — 44.6%2008-05-02 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $18.92 $18.31 $19.55 $19.39 $18.37 Max Pain $21.12 $18.98 $21.35 $18.98 $21.35 ATM IV 18.0% 13.4% 21.5% 20.1% 18.1% Expected Move 5.3% 4.8% 5.8% 5.8% 5.2% HV 20d 19.1% 13.4% 23.5% 23.1% 13.4% HV 60d 20.5% 20.3% 21.0% 20.8% 20.5% IV Rank 28.9% 8.9% 44.6% 38.4% 29.5% IV Percentile 19.4% 1.2% 50.8% 39.3% 16.3% Term Structure 2.4% -1.2% 4.2% -0.9% 2.3% VWIV 19.1% 16.6% 30.9% 20.3% 18.2% Skew 25d 0.5% -7.4% 6.2% -7.4% 6.2% Skew 10d -0.9% -10.8% 2.3% -10.8% 0.6% Call IV 25d 21.4% 17.6% 26.1% 26.1% 18.2% Put IV 25d 21.9% 15.4% 24.4% 18.7% 24.4% Bid-Ask Spread % 2.56 1.93 4.72 2.59 3.41 Gamma HHI 0.62 0.50 0.83 0.63 0.50 Net GEX -22.2M -56.7M -14.6M -18.3M -14.6M Net DEX 1.15B 1.05B 1.30B 1.09B 1.24B Net VEX -9.1M -9.4M -8.5M -9.3M -9.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.86 0.20 1.49 0.89 0.47 Total Volume 40,881.905 15,160 226,743 33,347 20,866 Total OI 2,531,991.143 2,477,484 2,578,486 2,483,692 2,578,486
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 2008-05-01 $19.39 $18.98 20.1% 5.8% 23.1% 38.4% 20.3% -7.4% -0.9% -18.3M 1.09B -9.3M 0.89 2.59 17,613 15,734 1,219,947 1,263,745 2008-05-02 $19.55 $18.98 20.3% 5.8% 23.4% 39.0% 20.5% -6.2% -1.2% -18.1M 1.05B -9.3M 0.43 4.72 14,913 6,473 1,223,619 1,271,749 2008-05-05 $19.47 $21.35 21.5% 5.8% 23.3% 44.6% 20.5% -0.2% 1.0% -18.6M 1.09B -9.1M 0.83 2.56 10,415 8,660 1,228,341 1,269,124 2008-05-06 $19.37 $21.35 21.3% 5.7% 22.0% 43.6% 30.9% 0.3% 1.3% -19.5M 1.10B -9.2M 0.20 2.31 188,861 37,882 1,233,613 1,271,724 2008-05-07 $18.90 $21.35 18.6% 5.6% 23.5% 31.5% 19.7% -0.6% 2.1% -24.2M 1.17B -9.2M 1.46 2.16 26,135 38,094 1,226,384 1,286,228 2008-05-08 $18.95 $21.35 16.5% 5.5% 23.5% 22.3% 19.4% 1.2% 2.3% -25.2M 1.13B -9.4M 0.63 2.06 16,511 10,422 1,245,454 1,298,678 2008-05-09 $18.78 $21.35 17.4% 5.5% 22.4% 26.6% 20.0% 1.3% 2.5% -21.8M 1.17B -9.2M 0.77 2.00 12,349 9,492 1,257,484 1,287,411 2008-05-12 $18.89 $21.35 18.7% 5.4% 22.5% 32.1% 19.1% 1.2% 2.6% -23.8M 1.14B -9.1M 1.00 2.18 7,569 7,591 1,254,931 1,286,189 2008-05-13 $18.95 $21.35 17.0% 5.2% 22.3% 24.4% 18.2% 0.3% 3.2% -26.3M 1.14B -8.9M 0.94 2.20 28,740 27,139 1,254,430 1,285,151 2008-05-14 $19.03 $21.35 13.4% 5.1% 21.1% 8.9% 18.2% 0.4% 3.1% -32.7M 1.09B -9.4M 0.88 1.95 17,983 15,848 1,254,930 1,304,880 2008-05-15 $19.05 $21.35 17.6% 5.1% 17.6% 27.4% 18.0% -0.2% 3.7% -44.2M 1.09B -9.4M 0.73 2.29 14,178 10,397 1,259,300 1,312,267 2008-05-16 $19.00 $21.35 16.9% 4.9% 17.5% 24.3% 17.0% -0.8% 4.2% -56.7M 1.16B -8.8M 1.49 2.32 17,757 26,522 1,265,698 1,311,107 2008-05-19 $19.19 $21.35 17.7% 5.1% 17.3% 27.7% 17.7% -0.6% 2.5% -14.6M 1.05B -9.4M 1.16 1.93 24,366 28,216 1,207,373 1,270,111 2008-05-20 $19.02 $21.35 17.3% 5.0% 15.9% 26.2% 17.3% -6.3% 3.1% -15.4M 1.09B -9.4M 1.12 2.42 10,135 11,392 1,216,055 1,285,202 2008-05-21 $18.98 $21.35 16.9% 4.8% 15.9% 24.2% 16.9% 0.4% 3.7% -15.7M 1.12B -9.1M 0.76 2.63 15,613 11,932 1,219,518 1,285,396 2008-05-22 $18.77 $21.35 16.6% 4.8% 16.2% 22.9% 16.6% 2.3% 3.8% -15.6M 1.16B -9.2M 0.90 2.31 20,086 18,083 1,231,258 1,293,309 2008-05-23 $18.53 $21.35 17.2% 4.9% 14.9% 25.5% 17.3% 2.7% 3.5% -15.2M 1.20B -9.2M 1.44 2.66 12,273 17,716 1,236,344 1,300,100 2008-05-27 $18.34 $21.35 18.4% 5.3% 14.9% 30.5% 18.3% 5.4% 2.8% -15.2M 1.25B -8.7M 0.51 2.53 17,488 8,965 1,242,547 1,312,360 2008-05-28 $18.31 $21.35 18.5% 5.3% 14.9% 31.0% 18.4% 5.1% 2.5% -15.0M 1.26B -8.5M 0.52 2.61 15,079 7,806 1,248,125 1,308,352 2008-05-29 $18.41 $21.35 17.5% 5.0% 15.0% 27.0% 17.5% 5.7% 2.7% -15.7M 1.30B -8.6M 0.87 3.86 16,662 14,564 1,253,209 1,311,685 2008-05-30 $18.37 $21.35 18.1% 5.2% 13.4% 29.5% 18.2% 6.2% 2.3% -14.6M 1.24B -9.0M 0.47 3.41 14,206 6,660 1,260,749 1,317,737
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