PFE Options History — September 2008

In September 2008, PFE traded between $16.29 and $18.22. ATM implied volatility averaged 36.9%, placing in the 87.2% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 4.9% (HV 20d: 32.0%). Max pain ranged from $16.60 to $18.98. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.62.

Notable Days

2008-09-18: Highest Volume — 106,299 contracts
2008-09-17: Largest IV spike — 21.5% change
2008-09-12: Highest IV Rank — 100.0%
2008-09-29: Largest Expected Move — 13.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.40	$16.29	$18.22	$18.19	$17.50
Max Pain	$17.85	$16.60	$18.98	$18.98	$16.60
ATM IV	36.9%	26.5%	47.6%	26.5%	43.1%
Expected Move	10.5%	7.6%	13.7%	7.6%	12.4%
HV 20d	32.0%	20.2%	47.6%	24.5%	47.6%
HV 60d	30.5%	26.7%	35.4%	26.7%	35.4%
IV Rank	87.2%	62.6%	100.0%	62.6%	86.8%
IV Percentile	95.2%	68.7%	100.0%	68.7%	98.8%
Term Structure	-2.0%	-8.1%	0.9%	0.7%	-2.8%
VWIV	35.7%	26.7%	48.1%	26.8%	42.2%
Skew 25d	3.9%	1.4%	6.5%	4.6%	4.6%
Skew 10d	7.6%	-2.7%	13.4%	11.3%	10.5%
Call IV 25d	34.8%	26.1%	47.0%	26.1%	40.7%
Put IV 25d	38.8%	30.5%	51.4%	30.6%	45.3%
Bid-Ask Spread %	3.86	1.91	9.28	1.91	4.82
Gamma HHI	0.28	0.18	0.39	0.26	0.21
Net GEX	-3.5M	-8.2M	-297.7K	-1.2M	-1.0M
Net DEX	1.04B	895.6M	1.22B	895.6M	965.9M
Net VEX	-8.2M	-9.2M	-7.6M	-9.2M	-8.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.15	1.30	0.68	0.64
Total Volume	36,971.19	13,432	106,299	19,814	28,681
Total OI	2,865,792.429	2,665,733	3,008,175	2,927,405	2,732,012

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
2008-09-02	$18.19	$18.98	26.5%	7.6%	24.5%	62.6%	26.8%	4.6%	0.7%	-1.2M	895.6M	-9.2M	0.68	1.91	11,772	8,042	1,521,346	1,406,059
2008-09-03	$18.22	$18.98	26.6%	7.6%	20.2%	63.1%	26.7%	4.4%	0.9%	-890.7K	914.5M	-9.2M	0.28	2.25	10,971	3,041	1,523,767	1,400,260
2008-09-04	$17.71	$18.98	31.0%	8.9%	21.9%	84.1%	28.9%	1.4%	0.5%	-3.5M	1.02B	-8.8M	0.40	2.17	16,232	6,437	1,529,381	1,392,848
2008-09-05	$17.56	$18.98	31.3%	8.9%	21.7%	85.8%	29.9%	2.7%	-0.5%	-4.5M	1.08B	-8.3M	0.49	3.06	9,000	4,432	1,531,100	1,393,975
2008-09-08	$18.16	$18.98	31.2%	8.0%	22.0%	85.1%	28.0%	3.6%	0.1%	-1.1M	932.5M	-9.1M	0.36	3.61	19,760	7,211	1,530,029	1,394,292
2008-09-09	$17.31	$18.98	34.2%	9.2%	27.4%	99.2%	30.5%	3.8%	-0.6%	-6.1M	1.14B	-8.1M	0.36	3.15	10,653	3,808	1,536,938	1,394,937
2008-09-10	$17.27	$18.98	32.7%	9.1%	27.4%	92.1%	31.2%	3.9%	-0.3%	-7.5M	1.20B	-7.7M	1.30	3.23	6,713	8,749	1,530,472	1,393,758
2008-09-11	$17.45	$18.98	32.1%	9.2%	27.8%	89.5%	30.4%	4.1%	-0.4%	-5.8M	1.12B	-8.2M	0.70	3.11	14,003	9,872	1,532,210	1,394,859
2008-09-12	$17.67	$18.98	34.9%	10.0%	28.2%	100.0%	34.0%	1.6%	-1.4%	-4.2M	1.05B	-8.6M	0.15	3.16	45,641	6,751	1,534,451	1,399,300
2008-09-15	$17.13	$18.98	35.9%	10.3%	29.4%	100.0%	36.1%	1.9%	-2.0%	-7.0M	1.15B	-8.0M	0.85	3.10	20,042	17,080	1,556,083	1,400,480
2008-09-16	$16.90	$18.98	38.0%	10.9%	29.3%	100.0%	38.3%	1.6%	-3.3%	-8.2M	1.19B	-7.9M	0.75	3.45	34,330	25,752	1,564,923	1,405,953
2008-09-17	$16.29	$16.60	46.2%	13.2%	31.2%	100.0%	46.6%	2.0%	-8.0%	-6.6M	1.22B	-7.6M	0.44	4.13	58,297	25,433	1,572,401	1,403,601
2008-09-18	$17.07	$16.60	45.0%	12.9%	36.4%	96.5%	43.6%	5.2%	-8.1%	-6.4M	1.09B	-8.0M	0.93	9.26	55,122	51,177	1,594,330	1,405,013
2008-09-19	$17.60	$16.60	38.1%	10.9%	38.2%	75.2%	35.9%	4.4%	-3.0%	-1.8M	1.03B	-8.3M	0.29	5.67	29,900	8,628	1,602,198	1,405,977
2008-09-22	$17.14	$16.60	39.4%	11.3%	38.3%	79.3%	38.5%	4.7%	-2.6%	-2.1M	999.9M	-7.8M	0.46	3.77	21,007	9,578	1,376,903	1,288,830
2008-09-23	$17.09	$16.60	40.5%	11.6%	38.2%	82.8%	39.9%	4.9%	-2.5%	-1.5M	970.7M	-8.0M	0.66	2.62	19,926	13,162	1,393,362	1,285,778
2008-09-24	$17.07	$16.60	41.0%	11.7%	38.0%	84.1%	40.8%	5.9%	-1.8%	-1.7M	1.01B	-7.7M	0.91	2.91	14,138	12,903	1,400,509	1,291,590
2008-09-25	$17.69	$16.60	40.0%	11.5%	40.4%	81.2%	35.5%	6.5%	-2.3%	-848.7K	899.3M	-8.3M	0.92	2.87	35,524	32,521	1,403,648	1,299,920
2008-09-26	$17.70	$16.60	40.5%	11.6%	40.2%	82.6%	37.1%	5.7%	-1.7%	-297.7K	895.8M	-8.2M	1.10	3.56	14,908	16,422	1,417,181	1,302,947
2008-09-29	$16.75	$16.60	47.6%	13.7%	44.5%	100.0%	48.1%	5.1%	-3.3%	-1.7M	987.2M	-7.6M	0.32	9.28	21,743	7,033	1,423,673	1,314,347
2008-09-30	$17.50	$16.60	43.1%	12.4%	47.6%	86.8%	42.2%	4.6%	-2.8%	-1.0M	965.9M	-8.0M	0.64	4.82	17,458	11,223	1,423,591	1,308,421