PFE Options History — October 2008

In October 2008, PFE traded between $14.36 and $18.03. ATM implied volatility averaged 56.1%, placing in the 66.5% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 8.3% (HV 20d: 64.4%). Max pain ranged from $16.60 to $16.60. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 0.58.

Notable Days

2008-10-10: Highest Volume — 169,191 contracts
2008-10-09: Largest IV spike — 42.6% change
2008-10-07: Highest IV Rank — 100.0%
2008-10-10: Largest Expected Move — 20.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.39	$14.36	$18.03	$17.97	$16.80
Max Pain	$16.60	$16.60	$16.60	$16.60	$16.60
ATM IV	56.1%	40.3%	93.0%	41.6%	51.9%
Expected Move	15.1%	11.5%	20.1%	11.9%	14.9%
HV 20d	64.4%	46.2%	75.3%	48.7%	75.1%
HV 60d	44.9%	34.6%	52.1%	34.6%	52.1%
IV Rank	66.5%	40.1%	100.0%	82.4%	48.4%
IV Percentile	97.7%	94.4%	100.0%	98.4%	94.4%
Term Structure	-3.0%	-9.3%	0.3%	-5.5%	-3.4%
VWIV	53.0%	41.9%	68.6%	42.2%	50.5%
Skew 25d	12.5%	4.2%	19.5%	4.2%	8.7%
Skew 10d	25.6%	10.7%	38.5%	10.7%	22.0%
Call IV 25d	48.9%	41.0%	63.2%	41.9%	48.8%
Put IV 25d	61.4%	46.0%	77.1%	46.1%	57.5%
Bid-Ask Spread %	6.89	3.19	15.93	3.19	5.99
Gamma HHI	0.20	0.19	0.23	0.19	0.21
Net GEX	-388.4K	-1.8M	2.0M	513.9K	1.3M
Net DEX	946.4M	770.6M	1.10B	814.8M	851.6M
Net VEX	-7.6M	-9.0M	-6.1M	-8.5M	-7.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.24	0.99	0.58	0.92
Total Volume	64,762.913	31,730	169,191	52,969	53,871
Total OI	2,812,620.174	2,740,329	2,888,618	2,740,329	2,888,618

Daily Data (23 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
2008-10-01	$17.97	$16.60	41.6%	11.9%	48.7%	82.4%	42.2%	4.2%	-5.5%	513.9K	814.8M	-8.5M	0.58	3.19	33,530	19,439	1,428,521	1,311,808
2008-10-02	$17.83	$16.60	46.2%	13.2%	47.7%	95.8%	46.6%	4.7%	-7.1%	85.6K	823.9M	-8.7M	0.37	4.04	50,747	18,612	1,435,819	1,326,205
2008-10-03	$18.03	$16.60	40.3%	11.5%	47.7%	78.5%	41.9%	4.8%	-3.1%	2.0M	770.6M	-8.7M	0.35	4.06	36,155	12,653	1,453,284	1,325,013
2008-10-06	$17.97	$16.60	43.6%	12.2%	46.2%	88.2%	43.0%	10.5%	-2.4%	1.9M	822.3M	-9.0M	0.88	7.75	30,122	26,401	1,474,870	1,331,065
2008-10-07	$16.75	$16.60	56.6%	14.4%	49.8%	100.0%	48.4%	9.4%	-4.2%	-846.9K	939.8M	-8.0M	0.42	9.02	75,929	31,936	1,467,972	1,332,063
2008-10-08	$16.25	$16.60	59.4%	14.9%	50.8%	100.0%	49.3%	9.3%	-4.7%	-1.7M	998.8M	-7.8M	0.69	7.46	28,168	19,461	1,479,225	1,336,249
2008-10-09	$14.87	$16.60	84.7%	19.2%	58.9%	100.0%	61.4%	13.1%	-8.7%	-1.6M	1.02B	-6.8M	0.99	15.93	32,858	32,631	1,469,801	1,307,314
2008-10-10	$14.36	$16.60	93.0%	20.1%	59.1%	100.0%	68.6%	13.9%	-9.3%	-1.8M	1.10B	-6.1M	0.51	10.06	111,891	57,300	1,471,065	1,312,035
2008-10-13	$15.83	$16.60	55.1%	15.8%	69.7%	52.4%	58.0%	14.3%	-3.8%	-1.7M	1.03B	-7.1M	0.80	12.91	30,115	23,962	1,529,967	1,319,937
2008-10-14	$16.25	$16.60	55.7%	14.9%	70.4%	53.1%	51.2%	11.9%	-3.2%	-1.8M	993.6M	-7.6M	0.24	7.76	40,873	9,707	1,503,871	1,323,203
2008-10-15	$15.44	$16.60	77.4%	16.2%	71.5%	80.3%	58.6%	13.2%	-1.6%	-1.8M	1.05B	-7.0M	0.60	8.37	36,343	21,771	1,512,902	1,320,033
2008-10-16	$16.10	$16.60	56.9%	16.3%	71.1%	54.6%	58.1%	15.6%	-2.2%	-698.4K	965.1M	-7.7M	0.42	7.19	61,605	26,064	1,520,883	1,321,249
2008-10-17	$16.04	$16.60	53.0%	15.2%	70.0%	49.7%	54.3%	13.9%	-0.8%	-874.7K	1.01B	-7.5M	0.53	7.98	30,627	16,259	1,536,649	1,325,855
2008-10-20	$16.45	$16.60	50.0%	14.3%	70.3%	45.9%	49.4%	13.0%	-0.5%	-851.3K	977.9M	-7.5M	0.44	6.50	44,283	19,368	1,454,019	1,290,875
2008-10-21	$16.45	$16.60	45.3%	13.0%	70.3%	40.1%	46.2%	10.8%	-0.0%	-584.0K	967.1M	-7.5M	0.67	4.53	28,612	19,030	1,471,538	1,299,608
2008-10-22	$15.88	$16.60	49.8%	14.3%	71.3%	45.7%	54.0%	14.4%	0.3%	-990.4K	996.6M	-7.3M	0.87	7.52	29,520	25,581	1,471,624	1,310,890
2008-10-23	$16.22	$16.60	51.6%	14.8%	70.4%	47.9%	53.8%	17.2%	-0.4%	-669.4K	995.7M	-7.4M	0.69	4.06	21,540	14,755	1,486,254	1,317,518
2008-10-24	$15.72	$16.60	55.3%	15.8%	71.0%	52.5%	57.8%	19.4%	-1.7%	-681.5K	998.3M	-7.1M	0.70	4.32	18,705	13,025	1,491,974	1,319,372
2008-10-27	$15.55	$16.60	58.0%	16.6%	68.6%	56.0%	61.3%	17.1%	-2.4%	-654.3K	1.01B	-6.9M	0.40	4.03	42,439	16,765	1,496,312	1,323,887
2008-10-28	$16.91	$16.60	56.0%	16.1%	73.6%	53.5%	56.3%	19.5%	-2.3%	993.6K	865.5M	-8.0M	0.47	5.24	77,393	36,095	1,510,467	1,332,650
2008-10-29	$16.31	$16.60	55.4%	15.9%	73.7%	52.7%	53.9%	14.6%	-1.6%	356.1K	931.0M	-7.6M	0.47	6.28	32,468	15,411	1,537,580	1,344,296
2008-10-30	$16.94	$16.60	54.0%	15.5%	75.3%	50.9%	53.1%	13.5%	-0.2%	1.1M	852.9M	-8.0M	0.42	4.32	46,129	19,398	1,517,198	1,348,726
2008-10-31	$16.80	$16.60	51.9%	14.9%	75.1%	48.4%	50.5%	8.7%	-3.4%	1.3M	851.6M	-7.8M	0.92	5.99	28,057	25,814	1,532,551	1,356,067