PFE Options History — August 2008

In August 2008, PFE traded between $17.65 and $18.95. ATM implied volatility averaged 26.2%, placing in the 61.3% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 2.6% (HV 20d: 28.9%). Max pain ranged from $16.60 to $18.98. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2008-08-05: Highest Volume — 651,516 contracts
  • 2008-08-06: Largest IV drop — 10.1% change
  • 2008-08-01: Highest IV Rank — 84.6%
  • 2008-08-01: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.45$17.65$18.95$17.65$18.13
Max Pain$18.86$16.60$18.98$16.60$18.98
ATM IV26.2%23.9%31.1%31.1%26.1%
Expected Move7.6%7.1%8.9%8.9%7.5%
HV 20d28.9%25.3%31.9%31.7%25.5%
HV 60d27.2%24.8%28.0%24.8%28.0%
IV Rank61.3%50.2%84.6%84.6%60.4%
IV Percentile65.9%49.6%92.5%92.5%63.1%
Term Structure0.5%-3.4%2.5%-3.4%1.1%
VWIV26.9%24.6%30.9%30.9%26.2%
Skew 25d1.6%0.6%3.3%1.3%1.9%
Skew 10d1.9%-2.2%4.8%-1.1%-2.0%
Call IV 25d27.4%25.8%29.6%29.6%26.1%
Put IV 25d29.0%27.8%30.8%30.8%28.0%
Bid-Ask Spread %2.411.563.892.082.21
Gamma HHI0.270.210.720.280.28
Net GEX1.2M-5.9M39.6M-5.9M-1.8M
Net DEX808.9M645.7M1.11B1.11B931.8M
Net VEX-9.8M-10.4M-8.9M-8.9M-9.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.031.120.460.62
Total Volume64,370.2387,628651,51612,7767,628
Total OI2,881,017.3812,819,2432,929,9472,845,9192,926,000

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$17.65$16.6031.1%8.9%31.7%84.6%30.9%1.3%-3.4%-5.9M1.11B-8.9M0.462.088,7664,0101,450,9761,394,943
2008-08-04$18.01$18.9828.2%8.0%31.1%70.7%28.1%1.3%-0.5%-4.6M986.8M-9.0M0.343.5129,87910,2071,446,9381,376,459
2008-08-05$18.70$18.9826.7%7.8%30.0%63.7%29.5%1.0%-0.5%-1.7M771.3M-9.7M0.033.89630,94320,5731,443,9471,375,296
2008-08-06$18.43$18.9824.0%7.3%30.4%50.8%25.8%1.4%0.5%326.3K825.0M-9.7M0.462.7427,49112,7021,442,7341,381,178
2008-08-07$18.23$18.9825.9%7.4%30.8%59.8%27.1%1.0%-0.2%-1.8M855.2M-9.6M0.693.7737,78026,2331,444,0631,378,091
2008-08-08$18.82$18.9823.9%7.4%31.9%50.2%26.8%2.0%0.1%2.4M696.1M-10.2M0.862.9233,15828,3631,464,8831,391,322
2008-08-11$18.86$18.9826.0%7.5%31.5%60.1%26.6%2.7%0.0%3.2M688.7M-10.2M0.552.4546,21725,2611,472,2911,405,222
2008-08-12$18.71$18.9826.3%7.5%31.7%61.7%26.9%1.3%-0.1%2.4M697.3M-10.3M0.792.1017,90714,1821,485,5561,416,635
2008-08-13$18.63$18.9824.9%7.6%29.4%55.0%26.7%1.5%0.0%1.5M731.4M-10.4M1.122.778,3759,3931,491,0431,426,959
2008-08-14$18.77$18.9825.8%7.4%29.4%59.3%25.8%1.4%0.4%4.6M707.6M-10.3M0.532.2823,51712,4141,491,1981,419,480
2008-08-15$18.95$18.9825.3%7.3%29.4%56.9%25.4%2.0%1.1%39.6M645.7M-10.3M0.222.0541,3928,9981,493,3031,419,584
2008-08-18$18.63$18.9827.5%7.9%29.7%67.5%27.6%1.8%0.1%-2.8M739.3M-10.1M0.481.5636,76117,5751,458,1031,383,438
2008-08-19$18.35$18.9827.9%8.0%30.2%69.3%28.1%0.6%0.3%-1.9M819.2M-9.8M0.862.5419,30416,5691,482,4971,388,790
2008-08-20$18.29$18.9827.1%7.8%27.1%65.4%27.5%1.1%0.8%-2.3M847.9M-9.7M0.542.1713,2787,2341,488,4301,395,476
2008-08-21$18.38$18.9826.7%7.7%26.6%63.7%26.8%0.8%1.3%-1.7M818.5M-9.8M0.412.1321,4818,8221,494,1801,397,584
2008-08-22$18.74$18.9824.6%7.1%27.4%53.5%24.6%2.0%2.5%374.2K719.8M-10.2M0.522.1714,6957,6211,504,2131,400,917
2008-08-25$18.51$18.9826.2%7.5%25.5%61.2%26.8%1.2%1.7%-594.0K765.2M-9.8M0.741.799,8397,2831,501,7981,403,253
2008-08-26$18.29$18.9826.0%7.5%25.9%60.3%26.8%0.9%1.6%-1.4M847.4M-9.5M1.041.8616,97717,6051,505,7041,402,455
2008-08-27$18.10$18.9825.6%7.3%25.5%58.3%26.9%3.3%1.7%-2.5M936.2M-9.2M0.551.8520,17611,1301,514,2001,412,279
2008-08-28$18.28$18.9825.0%7.2%25.3%55.3%25.0%2.9%1.6%-976.3K850.1M-9.5M0.381.8914,5255,5111,519,5791,410,368
2008-08-29$18.13$18.9826.1%7.5%25.5%60.4%26.2%1.9%1.1%-1.8M931.8M-9.3M0.622.214,7132,9151,521,1771,404,823