PFE Options History — July 2008

In July 2008, PFE traded between $16.50 and $18.09. ATM implied volatility averaged 30.7%, placing in the 83.1% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 1.0% (HV 20d: 29.7%). Max pain ranged from $16.60 to $16.60. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.65.

Notable Days

2008-07-23: Highest Volume — 78,882 contracts
2008-07-23: Largest IV drop — 22.3% change
2008-07-22: Highest IV Rank — 100.0%
2008-07-22: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.27	$16.50	$18.09	$16.82	$17.71
Max Pain	$16.60	$16.60	$16.60	$16.60	$16.60
ATM IV	30.7%	25.7%	34.3%	26.7%	31.1%
Expected Move	8.8%	7.4%	9.8%	7.6%	8.9%
HV 20d	29.7%	24.5%	33.2%	27.0%	31.7%
HV 60d	23.3%	21.2%	25.3%	21.6%	25.3%
IV Rank	83.1%	59.3%	100.0%	63.9%	84.6%
IV Percentile	92.2%	69.0%	100.0%	79.8%	92.9%
Term Structure	-1.5%	-4.6%	3.3%	1.9%	-1.5%
VWIV	30.7%	25.2%	34.1%	26.7%	30.4%
Skew 25d	1.9%	-0.4%	7.8%	3.0%	3.1%
Skew 10d	1.6%	-7.6%	8.2%	8.2%	0.7%
Call IV 25d	31.0%	23.9%	35.4%	29.7%	29.0%
Put IV 25d	32.9%	28.0%	37.1%	32.7%	32.1%
Bid-Ask Spread %	2.64	1.72	3.83	1.97	1.74
Gamma HHI	0.30	0.25	0.38	0.33	0.28
Net GEX	-6.4M	-8.7M	-3.4M	-8.5M	-4.9M
Net DEX	1.10B	283.4M	1.31B	1.27B	1.07B
Net VEX	-8.3M	-9.3M	-4.9M	-7.6M	-8.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.20	1.29	0.92	1.29
Total Volume	34,948.409	8,634	78,882	19,337	50,233
Total OI	2,683,873.091	1,179,631	2,822,263	2,657,014	2,822,263

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
2008-07-01	$16.82	$16.60	26.7%	7.6%	27.0%	63.9%	26.7%	3.0%	1.9%	-8.5M	1.27B	-7.6M	0.92	1.97	10,086	9,251	1,324,931	1,332,083
2008-07-02	$16.72	$16.60	27.0%	7.7%	26.9%	65.5%	27.0%	2.8%	1.7%	-8.7M	1.25B	-7.7M	0.68	2.24	7,812	5,291	1,326,633	1,338,022
2008-07-03	$16.84	$16.60	25.7%	7.4%	27.1%	59.3%	25.7%	2.3%	3.3%	-8.7M	1.26B	-7.7M	1.03	1.72	4,263	4,371	1,331,484	1,343,395
2008-07-07	$16.50	$16.60	29.5%	8.4%	24.5%	77.5%	28.2%	1.8%	-1.3%	-8.7M	1.31B	-7.4M	0.73	2.84	23,419	17,087	1,332,680	1,345,455
2008-07-08	$17.26	$16.60	32.8%	8.9%	29.6%	93.6%	31.5%	1.1%	-2.7%	-8.2M	1.14B	-8.6M	0.26	2.27	33,895	8,902	1,347,133	1,352,115
2008-07-09	$17.11	$16.60	30.8%	9.2%	29.7%	83.6%	33.2%	0.3%	-3.6%	-8.2M	1.20B	-7.8M	0.20	2.28	55,957	11,203	1,363,390	1,353,751
2008-07-10	$17.11	$16.60	31.3%	9.0%	28.5%	86.1%	32.0%	-0.1%	-2.7%	-7.3M	1.18B	-8.3M	0.57	2.22	22,572	12,966	1,398,889	1,356,419
2008-07-11	$16.90	$16.60	31.7%	9.1%	28.7%	88.0%	33.5%	0.2%	-2.0%	-7.4M	1.20B	-8.1M	0.41	3.10	18,283	7,422	1,408,872	1,362,351
2008-07-14	$16.75	$16.60	32.0%	9.2%	28.4%	89.6%	34.0%	-0.4%	-1.8%	-3.4M	283.4M	-4.9M	0.50	2.43	10,372	5,142	617,296	562,335
2008-07-15	$16.68	$16.60	31.9%	9.2%	28.1%	89.3%	32.8%	-0.3%	-2.0%	-7.6M	1.23B	-8.0M	0.45	3.24	18,548	8,256	1,410,599	1,362,118
2008-07-16	$17.32	$16.60	33.1%	9.5%	31.2%	94.9%	34.1%	1.6%	-3.6%	-6.1M	1.10B	-8.6M	1.15	3.08	19,561	22,440	1,415,470	1,359,160
2008-07-17	$17.45	$16.60	32.8%	9.4%	31.3%	93.2%	32.4%	0.8%	-3.6%	-6.1M	1.09B	-8.8M	0.66	2.77	22,618	14,849	1,413,337	1,365,944
2008-07-18	$17.38	$16.60	32.3%	9.3%	31.3%	91.1%	32.9%	1.0%	-3.9%	-6.0M	1.11B	-8.6M	0.49	2.51	11,044	5,424	1,422,239	1,370,707
2008-07-21	$17.16	$16.60	32.9%	9.4%	30.2%	93.8%	33.5%	0.7%	-3.8%	-5.5M	1.15B	-8.2M	0.62	2.65	24,148	15,002	1,387,520	1,337,460
2008-07-22	$17.41	$16.60	34.3%	9.8%	30.5%	100.0%	33.8%	4.5%	-4.6%	-5.6M	1.13B	-8.6M	0.75	3.34	41,377	31,148	1,401,894	1,348,423
2008-07-23	$18.09	$16.60	26.7%	7.6%	32.7%	63.3%	29.5%	-0.2%	-2.3%	-5.1M	981.0M	-9.2M	0.49	2.83	53,105	25,777	1,413,733	1,366,720
2008-07-24	$17.85	$16.60	30.1%	8.6%	33.2%	79.9%	28.7%	1.5%	0.5%	-4.5M	984.2M	-9.3M	0.43	3.83	39,590	16,994	1,432,754	1,367,468
2008-07-25	$17.92	$16.60	30.1%	8.6%	29.0%	79.7%	25.2%	7.4%	2.4%	-4.8M	1.03B	-9.2M	0.23	3.43	10,791	2,480	1,437,890	1,377,223
2008-07-28	$17.42	$16.60	29.7%	8.5%	31.3%	77.8%	29.2%	-0.2%	-2.7%	-5.9M	1.11B	-8.7M	1.08	2.85	9,356	10,079	1,437,559	1,370,198
2008-07-29	$17.58	$16.60	30.8%	8.8%	31.2%	83.1%	31.6%	2.9%	-3.5%	-5.8M	1.13B	-8.5M	0.50	2.39	13,138	6,623	1,440,038	1,370,627
2008-07-30	$17.91	$16.60	32.5%	9.3%	31.5%	91.1%	28.4%	7.8%	1.6%	-4.7M	1.03B	-9.0M	0.82	2.35	15,353	12,637	1,442,500	1,374,130
2008-07-31	$17.71	$16.60	31.1%	8.9%	31.7%	84.6%	30.4%	3.1%	-1.5%	-4.9M	1.07B	-8.9M	1.29	1.74	21,978	28,255	1,446,126	1,376,137