PFE Options History — November 2008

In November 2008, PFE traded between $13.71 and $17.47. ATM implied volatility averaged 55.0%, placing in the 52.2% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded below realized volatility by 12.9% (HV 20d: 67.9%). Max pain ranged from $16.60 to $18.98. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.64.

Notable Days

  • 2008-11-04: Highest Volume — 234,751 contracts
  • 2008-11-12: Largest IV spike — 28.2% change
  • 2008-11-20: Highest IV Rank — 68.2%
  • 2008-11-20: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.53$13.71$17.47$16.85$15.59
Max Pain$17.48$16.60$18.98$16.60$16.60
ATM IV55.0%44.3%67.7%53.3%44.8%
Expected Move15.8%12.7%19.4%15.3%12.8%
HV 20d67.9%60.9%76.9%75.2%66.6%
HV 60d58.1%51.6%63.2%51.6%63.2%
IV Rank52.2%38.7%68.2%50.1%39.3%
IV Percentile94.1%84.1%98.8%94.8%84.1%
Term Structure1.5%-1.5%6.1%-1.3%4.5%
VWIV54.6%43.6%66.6%54.9%46.1%
Skew 25d9.7%6.8%12.1%11.8%6.8%
Skew 10d21.3%14.0%61.0%24.8%14.2%
Call IV 25d51.8%41.7%65.9%49.3%45.2%
Put IV 25d61.5%52.0%74.3%61.1%52.0%
Bid-Ask Spread %3.532.315.563.382.31
Gamma HHI0.270.210.360.210.23
Net GEX-1.1M-3.1M1.8M844.3K172.5K
Net DEX986.5M824.8M1.09B888.7M961.4M
Net VEX-6.6M-8.2M-5.2M-7.9M-6.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.101.311.310.29
Total Volume60,783.47427,726234,75175,54330,058
Total OI2,910,385.8422,833,4202,965,1072,909,5832,851,750

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-11-03$16.85$16.6053.3%15.3%75.2%50.1%54.9%11.8%-1.3%844.3K888.7M-7.9M1.313.3832,72042,8231,539,9861,369,597
2008-11-04$17.47$16.6044.3%12.7%71.9%38.7%43.6%11.7%0.9%1.8M824.8M-8.2M0.103.19214,34120,4101,551,7961,387,806
2008-11-05$16.13$16.6050.2%14.4%76.9%46.2%51.8%10.3%0.3%-952.1K1.01B-7.2M0.833.1841,80234,5911,517,9881,386,841
2008-11-06$15.53$16.6054.2%15.5%71.0%51.2%57.9%8.3%-0.6%-1.5M1.02B-6.9M1.063.1616,96217,9621,537,9551,365,786
2008-11-07$16.00$18.9849.9%14.7%70.2%45.8%51.9%12.0%2.7%-856.6K926.5M-7.2M0.643.9834,77022,0991,566,8991,342,112
2008-11-10$15.75$18.9850.9%15.1%61.6%47.1%53.2%12.1%1.9%-1.2M968.7M-6.9M1.174.3012,76114,9651,579,6001,347,299
2008-11-11$15.91$18.9849.8%14.8%60.9%45.6%51.9%11.2%1.2%-1.7M1.00B-6.9M0.893.1021,03418,8071,574,4801,339,011
2008-11-12$15.02$18.9863.8%18.2%61.6%63.2%58.4%11.0%-1.5%-1.8M1.02B-6.5M0.653.8426,56517,3131,574,3301,336,780
2008-11-13$15.87$18.9851.7%14.8%63.0%48.0%53.6%8.7%1.0%-633.7K936.3M-7.0M0.734.1433,40924,4531,585,9621,346,207
2008-11-14$15.45$18.9856.2%16.1%63.7%53.8%58.4%9.5%-0.7%-1.6M1.01B-6.5M0.394.0232,78712,9401,583,2941,354,080
2008-11-17$15.10$18.9862.7%18.0%63.3%61.9%57.3%10.7%-0.9%-2.6M1.05B-6.3M0.162.6333,8605,4221,573,5901,347,263
2008-11-18$15.46$16.6056.0%16.0%64.0%53.4%57.2%9.5%1.3%-1.8M1.03B-6.3M0.553.1932,01217,6661,592,6991,345,201
2008-11-19$14.76$16.6062.1%17.8%64.8%61.1%62.3%7.5%1.8%-2.8M1.06B-6.1M1.153.2727,86432,1621,593,9541,344,789
2008-11-20$13.71$16.6067.7%19.4%68.7%68.2%66.6%8.4%1.2%-3.1M1.09B-5.2M0.575.5645,55526,1111,600,2191,344,004
2008-11-21$14.87$16.6064.5%18.5%75.0%64.2%63.3%8.0%2.6%-1.2M977.7M-6.2M0.622.9146,00628,3991,621,7221,343,385
2008-11-24$15.22$16.6056.9%16.3%75.5%54.6%52.0%9.1%4.4%-1.1M974.9M-6.0M0.234.6454,31112,6101,535,1351,298,285
2008-11-25$15.12$16.6054.4%15.6%68.5%51.5%49.7%9.9%4.3%-663.7K980.7M-5.9M0.503.1825,21712,6981,557,2091,298,505
2008-11-26$15.25$16.6051.2%14.7%67.7%47.4%47.8%7.5%6.1%-709.9K1.01B-5.9M0.323.1323,8917,5301,560,3261,301,486
2008-11-28$15.59$16.6044.8%12.8%66.6%39.3%46.1%6.8%4.5%172.5K961.4M-6.0M0.292.3123,3786,6801,562,3421,289,408