PFE Options History — June 2008

In June 2008, PFE traded between $16.29 and $18.20. ATM implied volatility averaged 26.1%, placing in the 63.2% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 7.7% (HV 20d: 18.4%). Max pain ranged from $16.60 to $21.35. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2008-06-11: Highest Volume — 159,034 contracts
  • 2008-06-04: Largest IV spike — 24.7% change
  • 2008-06-09: Highest IV Rank — 71.8%
  • 2008-06-04: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.99$16.29$18.20$18.20$16.57
Max Pain$18.75$16.60$21.35$21.35$16.60
ATM IV26.1%22.1%27.7%22.1%26.4%
Expected Move7.4%6.3%7.9%6.3%7.6%
HV 20d18.4%11.0%26.2%13.0%26.2%
HV 60d20.1%19.2%21.3%20.1%21.3%
IV Rank63.2%47.0%71.8%47.0%62.3%
IV Percentile76.9%54.4%88.1%54.4%75.8%
Term Structure-0.5%-5.1%2.3%-0.8%1.8%
VWIV26.1%21.6%28.2%22.0%26.3%
Skew 25d1.0%-0.8%2.7%2.7%2.3%
Skew 10d1.1%-6.4%6.6%-5.7%3.8%
Call IV 25d28.2%21.4%30.4%21.7%30.4%
Put IV 25d29.2%24.0%32.7%24.5%32.7%
Bid-Ask Spread %2.951.724.392.673.47
Gamma HHI0.390.330.480.480.33
Net GEX-11.5M-14.3M-8.3M-14.3M-8.4M
Net DEX1.41B1.23B1.57B1.26B1.26B
Net VEX-7.4M-8.9M-6.5M-8.9M-7.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.186.910.180.63
Total Volume58,839.28624,803159,03437,17828,503
Total OI2,714,629.0952,575,3042,928,1112,585,6842,647,426

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-06-02$18.20$21.3522.1%6.3%13.0%47.0%22.0%2.7%-0.8%-14.3M1.26B-8.9M0.182.6731,6145,5641,265,6941,319,990
2008-06-03$18.04$21.3522.2%6.4%13.1%47.4%21.6%2.5%0.2%-13.7M1.36B-7.7M0.482.3824,45611,7511,280,3391,316,678
2008-06-04$17.84$21.3527.7%7.9%13.3%71.5%28.2%-0.2%-5.1%-13.0M1.38B-7.7M0.922.3626,46124,2721,282,1481,321,752
2008-06-05$17.71$21.3527.0%7.7%11.0%68.5%27.9%-0.8%-3.2%-13.5M1.41B-7.6M1.262.5336,11245,5741,293,9891,335,153
2008-06-06$17.04$18.9827.4%7.4%16.5%70.4%26.9%0.1%-1.1%-11.6M1.43B-7.5M0.733.9350,24436,7191,309,5531,353,234
2008-06-09$17.10$18.9827.7%7.4%16.7%71.8%26.2%0.3%-0.7%-12.3M1.52B-6.8M0.284.3933,2219,2891,334,0971,371,059
2008-06-10$17.02$18.9826.3%7.4%16.2%64.7%26.3%0.1%-0.8%-11.4M1.52B-6.6M1.694.2330,10950,8041,352,2981,367,500
2008-06-11$16.65$18.9825.9%7.2%16.9%63.2%25.3%0.1%-0.4%-11.3M1.53B-6.5M1.182.9072,98886,0461,357,4211,370,518
2008-06-12$16.82$18.9826.7%7.6%17.5%66.4%26.7%0.9%-1.0%-12.9M1.52B-7.4M1.363.4427,53937,5801,409,7781,439,141
2008-06-13$17.07$18.9826.2%7.5%18.9%64.5%27.0%0.4%-0.9%-12.0M1.47B-7.4M0.493.7037,36018,3551,418,7751,416,354
2008-06-16$16.86$18.9827.5%7.9%19.0%70.1%26.2%1.0%-1.6%-11.9M1.46B-7.5M1.702.3123,09039,2861,442,9091,431,848
2008-06-17$16.81$18.9826.7%7.7%18.1%66.6%27.1%0.0%-1.2%-12.4M1.49B-7.5M6.912.7511,30478,0681,434,8131,442,170
2008-06-18$16.86$18.9826.9%7.7%18.4%65.0%27.4%0.7%-0.8%-12.6M1.51B-7.2M0.613.4551,81131,7791,439,7881,441,147
2008-06-19$16.86$18.9826.7%7.7%18.5%64.1%27.0%1.9%-0.8%-12.8M1.49B-7.5M0.923.0230,83128,2191,462,1131,441,990
2008-06-20$16.44$18.9825.8%7.4%19.6%59.8%26.1%0.7%-0.4%-12.9M1.57B-7.0M1.152.0527,04831,2061,479,6081,448,503
2008-06-23$16.49$16.6026.7%7.6%19.7%63.9%26.6%1.4%-0.0%-9.7M1.32B-7.1M0.962.9417,41916,8031,267,7371,307,567
2008-06-24$16.78$16.6026.4%7.6%21.3%62.6%26.4%1.8%0.4%-9.5M1.28B-7.5M0.402.6717,7507,0531,278,3731,308,672
2008-06-25$16.96$16.6026.3%7.6%22.0%62.3%26.1%1.8%1.1%-8.9M1.23B-7.7M0.383.2022,4928,4831,287,7181,311,144
2008-06-26$16.29$16.6025.1%7.2%25.2%56.4%25.2%1.9%1.6%-8.4M1.32B-7.1M0.811.9319,89616,1481,296,7261,312,381
2008-06-27$16.39$16.6025.4%7.3%25.6%57.8%25.7%1.9%2.3%-8.3M1.30B-7.2M0.621.7219,93912,4391,296,7261,312,381
2008-06-30$16.57$16.6026.4%7.6%26.2%62.3%26.3%2.3%1.8%-8.4M1.26B-7.7M0.633.4717,49711,0061,317,4691,329,957