PFE Options History — December 2008

In December 2008, PFE traded between $14.50 and $16.84. ATM implied volatility averaged 44.5%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 12.6% (HV 20d: 57.1%). Max pain ranged from $16.60 to $21.35. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.54.

Notable Days

2008-12-03: Highest Volume — 96,562 contracts
2008-12-16: Largest IV drop — 12.1% change
2008-12-01: Highest IV Rank — 61.6%
2008-12-01: Largest Expected Move — 17.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.00	$14.50	$16.84	$14.50	$16.80
Max Pain	$19.95	$16.60	$21.35	$16.60	$18.98
ATM IV	44.5%	33.8%	62.5%	62.5%	34.2%
Expected Move	12.9%	9.7%	17.9%	17.9%	9.8%
HV 20d	57.1%	29.8%	73.5%	70.9%	29.8%
HV 60d	64.1%	62.1%	65.3%	64.8%	62.4%
IV Rank	39.0%	25.6%	61.6%	61.6%	26.0%
IV Percentile	80.4%	69.8%	97.2%	97.2%	69.8%
Term Structure	1.6%	-1.5%	4.1%	0.2%	3.5%
VWIV	44.3%	34.0%	61.6%	61.6%	34.0%
Skew 25d	5.7%	2.5%	9.7%	5.1%	4.0%
Skew 10d	10.4%	4.6%	19.0%	6.6%	4.6%
Call IV 25d	42.7%	33.6%	61.2%	61.2%	33.6%
Put IV 25d	48.4%	37.4%	66.2%	66.2%	37.5%
Bid-Ask Spread %	3.18	1.91	4.63	4.00	1.91
Gamma HHI	0.24	0.17	0.31	0.25	0.17
Net GEX	888.7K	-1.1M	4.7M	-997.4K	2.1M
Net DEX	856.2M	603.1M	998.5M	998.5M	603.1M
Net VEX	-5.5M	-6.2M	-5.0M	-5.3M	-5.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.22	1.25	0.39	0.29
Total Volume	43,072.636	11,403	96,562	43,937	22,744
Total OI	2,754,251.864	2,538,691	2,864,988	2,833,187	2,541,956

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
2008-12-01	$14.50	$16.60	62.5%	17.9%	70.9%	61.6%	61.6%	5.1%	0.2%	-997.4K	998.5M	-5.3M	0.39	4.00	31,509	12,428	1,573,226	1,259,961
2008-12-02	$15.20	$16.60	55.2%	15.8%	73.5%	52.4%	53.1%	9.3%	0.4%	-111.2K	964.3M	-5.6M	1.25	3.25	20,193	25,313	1,583,154	1,256,714
2008-12-03	$15.77	$16.60	53.8%	15.4%	73.5%	50.7%	49.8%	9.7%	2.5%	1.1M	862.8M	-6.2M	1.01	3.57	48,094	48,468	1,588,792	1,265,189
2008-12-04	$15.44	$16.60	55.4%	15.9%	68.4%	52.7%	52.6%	8.6%	1.7%	-246.0K	908.6M	-5.8M	0.41	3.55	28,258	11,554	1,583,441	1,266,407
2008-12-05	$15.70	$21.35	52.0%	15.6%	67.4%	48.5%	52.1%	9.0%	-1.5%	670.1K	821.2M	-6.0M	0.22	3.23	21,795	4,726	1,584,070	1,250,526
2008-12-08	$16.06	$21.35	46.0%	13.6%	67.1%	40.9%	47.2%	7.9%	-0.9%	760.6K	848.1M	-5.9M	0.23	4.63	33,981	7,852	1,582,908	1,244,893
2008-12-09	$15.63	$21.35	49.9%	14.7%	67.6%	45.8%	50.7%	6.2%	-0.3%	-319.7K	917.7M	-5.5M	0.61	3.57	31,165	18,927	1,584,767	1,246,214
2008-12-10	$15.72	$21.35	46.4%	14.2%	67.5%	41.4%	48.0%	5.5%	0.7%	-127.7K	917.0M	-5.6M	0.24	4.49	26,283	6,189	1,586,718	1,254,513
2008-12-11	$15.71	$21.35	49.6%	14.2%	64.0%	45.4%	47.5%	5.8%	0.8%	-96.3K	896.5M	-5.5M	0.28	3.81	24,315	6,846	1,582,124	1,240,863
2008-12-12	$16.05	$21.35	45.1%	12.9%	61.4%	39.7%	45.3%	6.6%	1.3%	1.0M	861.9M	-5.6M	0.80	3.04	34,649	27,553	1,590,009	1,245,569
2008-12-15	$15.78	$21.35	50.2%	14.4%	60.9%	46.1%	46.8%	7.3%	0.4%	-4.3K	928.2M	-5.4M	1.15	2.72	11,851	13,660	1,597,959	1,259,708
2008-12-16	$16.47	$21.35	44.1%	12.6%	62.0%	38.5%	43.3%	6.0%	1.2%	3.3M	783.8M	-5.8M	0.50	3.00	28,998	14,403	1,598,433	1,259,848
2008-12-17	$16.37	$21.35	42.9%	12.3%	61.7%	37.0%	43.7%	4.6%	0.9%	3.6M	840.4M	-5.6M	0.76	3.20	15,301	11,588	1,595,288	1,255,306
2008-12-18	$16.24	$21.35	41.2%	11.8%	59.1%	34.8%	41.4%	5.1%	1.8%	3.6M	900.3M	-5.4M	0.50	2.77	28,178	14,207	1,597,748	1,257,030
2008-12-19	$16.41	$21.35	38.6%	11.1%	51.3%	31.7%	39.4%	3.9%	2.0%	4.7M	904.7M	-5.5M	0.45	2.72	59,302	26,687	1,607,873	1,257,115
2008-12-22	$16.30	$21.35	37.4%	10.7%	43.8%	30.1%	38.6%	3.4%	3.4%	-1.1M	869.1M	-5.3M	0.46	2.61	48,093	22,346	1,430,453	1,134,577
2008-12-23	$16.16	$21.35	36.0%	10.3%	43.5%	28.3%	38.0%	2.5%	3.8%	-428.1K	889.6M	-5.0M	0.64	3.67	27,212	17,547	1,448,542	1,134,415
2008-12-24	$16.14	$18.98	34.8%	10.0%	43.4%	26.8%	35.7%	3.3%	4.0%	-265.5K	844.3M	-5.1M	0.35	3.17	18,288	6,463	1,459,442	1,106,240
2008-12-26	$16.22	$18.98	33.8%	9.7%	43.4%	25.6%	34.5%	3.1%	4.1%	16.7K	833.1M	-5.0M	0.41	2.43	8,103	3,300	1,463,177	1,106,428
2008-12-29	$16.40	$18.98	34.6%	9.9%	42.9%	26.6%	35.1%	4.3%	2.6%	648.0K	812.9M	-5.1M	0.27	2.06	21,291	5,808	1,466,005	1,107,249
2008-12-30	$16.84	$18.98	35.3%	10.1%	33.2%	27.5%	35.1%	4.5%	1.9%	1.9M	630.1M	-5.3M	0.60	2.63	32,490	19,640	1,473,791	1,064,900
2008-12-31	$16.80	$18.98	34.2%	9.8%	29.8%	26.0%	34.0%	4.0%	3.5%	2.1M	603.1M	-5.3M	0.29	1.91	17,678	5,066	1,474,538	1,067,418