PFE Options History — January 2009

In January 2009, PFE traded between $13.83 and $17.33. ATM implied volatility averaged 34.2%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 3.2% (HV 20d: 31.0%). Max pain ranged from $16.13 to $18.98. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.63.

Notable Days

2009-01-26: Highest Volume — 205,014 contracts
2009-01-27: Largest IV spike — 26.7% change
2009-01-05: Highest IV Rank — 31.6%
2009-01-14: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.12	$13.83	$17.33	$17.33	$13.83
Max Pain	$16.58	$16.13	$18.98	$18.98	$16.13
ATM IV	34.2%	24.1%	38.6%	32.3%	32.8%
Expected Move	10.0%	6.9%	11.5%	9.3%	9.4%
HV 20d	31.0%	22.4%	46.4%	29.0%	46.2%
HV 60d	53.9%	51.4%	61.0%	61.0%	53.0%
IV Rank	26.0%	13.4%	31.6%	23.7%	24.3%
IV Percentile	64.8%	22.6%	73.8%	65.1%	61.9%
Term Structure	0.9%	-4.9%	3.9%	1.4%	1.2%
VWIV	35.3%	30.9%	39.5%	34.4%	35.6%
Skew 25d	9.2%	1.0%	12.8%	3.2%	6.0%
Skew 10d	15.6%	7.0%	21.0%	7.7%	8.2%
Call IV 25d	32.0%	28.5%	34.5%	32.6%	33.8%
Put IV 25d	41.2%	35.4%	45.5%	35.8%	39.8%
Bid-Ask Spread %	2.98	2.01	4.33	2.53	3.05
Gamma HHI	0.17	0.13	0.53	0.17	0.18
Net GEX	2.3M	-16.7M	8.4M	3.7M	-720.1K
Net DEX	382.7M	16.1M	644.9M	459.8M	345.6M
Net VEX	-4.7M	-5.4M	-3.5M	-5.4M	-3.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.23	1.60	0.40	0.91
Total Volume	68,050.7	24,746	205,014	58,791	65,021
Total OI	2,034,487.4	1,236,051	2,638,311	2,544,837	1,438,895

Daily Data (20 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
2009-01-02	$17.33	$18.98	32.3%	9.3%	29.0%	23.7%	34.4%	3.2%	1.4%	3.7M	459.8M	-5.4M	0.40	2.53	41,890	16,901	1,476,798	1,068,039
2009-01-05	$17.23	$16.60	38.6%	10.5%	27.7%	31.6%	34.2%	8.8%	0.9%	3.9M	431.5M	-5.2M	0.50	3.24	30,457	15,150	1,496,521	1,069,414
2009-01-06	$16.89	$16.60	36.9%	10.3%	28.8%	29.4%	35.0%	8.0%	0.1%	3.0M	563.9M	-5.0M	0.40	2.88	69,123	27,575	1,496,966	1,071,084
2009-01-07	$16.59	$17.08	36.1%	10.8%	28.8%	28.5%	38.2%	9.4%	0.2%	2.7M	628.4M	-5.0M	0.82	3.03	45,041	37,140	1,519,524	1,081,021
2009-01-08	$16.75	$17.08	34.0%	10.6%	26.7%	25.9%	36.7%	10.4%	1.4%	4.5M	522.4M	-5.3M	1.01	3.55	22,189	22,396	1,538,067	1,085,057
2009-01-09	$16.55	$16.60	32.0%	10.5%	27.2%	23.3%	36.9%	9.6%	0.2%	3.4M	606.2M	-4.8M	0.62	2.88	15,287	9,459	1,533,010	1,072,738
2009-01-12	$16.47	$16.60	36.5%	10.7%	27.3%	29.0%	37.7%	10.6%	0.5%	3.0M	629.0M	-4.7M	0.43	2.80	27,010	11,537	1,544,561	1,056,953
2009-01-13	$16.69	$16.60	33.7%	10.5%	26.7%	25.5%	36.4%	10.1%	0.1%	3.3M	534.2M	-4.9M	0.74	2.96	40,918	30,453	1,554,834	1,046,371
2009-01-14	$16.36	$16.60	38.3%	11.5%	27.0%	31.3%	38.0%	11.1%	-1.1%	2.7M	644.9M	-4.8M	0.40	2.98	27,304	11,017	1,569,130	1,053,764
2009-01-15	$16.50	$16.60	38.2%	11.0%	22.4%	31.1%	39.5%	11.4%	1.6%	2.6M	621.5M	-4.8M	0.69	3.14	43,395	29,772	1,574,854	1,049,099
2009-01-16	$16.60	$16.60	33.8%	9.7%	22.4%	25.5%	34.1%	10.1%	2.5%	-16.7M	580.7M	-4.7M	0.60	4.33	73,069	43,725	1,582,690	1,055,621
2009-01-20	$16.32	$16.60	37.4%	10.7%	23.1%	30.1%	34.3%	12.8%	-0.2%	5.0M	56.4M	-4.8M	0.36	2.81	46,950	16,696	708,268	527,783
2009-01-21	$16.58	$16.13	32.6%	9.4%	23.5%	24.1%	33.0%	10.7%	1.2%	7.2M	16.1M	-4.7M	0.43	2.40	38,150	16,348	734,498	531,116
2009-01-22	$16.33	$16.13	34.2%	9.8%	24.1%	26.0%	33.6%	11.2%	0.3%	7.0M	48.6M	-4.6M	0.89	3.17	14,168	12,651	753,859	540,675
2009-01-23	$16.56	$16.13	32.5%	9.3%	24.3%	24.0%	32.3%	12.4%	3.9%	8.4M	16.2M	-4.8M	0.23	2.97	57,571	13,284	761,346	546,273
2009-01-26	$14.85	$16.13	24.1%	6.9%	46.1%	13.4%	30.9%	10.6%	3.8%	1.7M	191.7M	-4.1M	1.60	3.30	78,805	126,209	788,860	549,695
2009-01-27	$15.01	$16.13	30.5%	8.8%	46.3%	21.5%	33.7%	9.3%	2.8%	866.3K	189.0M	-4.6M	0.49	3.17	34,716	16,988	779,785	623,825
2009-01-28	$14.65	$16.13	35.4%	10.2%	46.4%	27.6%	37.5%	1.0%	-4.9%	163.8K	274.7M	-4.1M	0.65	2.01	49,957	32,323	779,717	610,996
2009-01-29	$14.35	$16.13	33.2%	9.5%	45.1%	24.9%	34.2%	6.5%	1.8%	-540.5K	293.1M	-4.0M	0.38	2.37	36,435	13,934	794,027	624,014
2009-01-30	$13.83	$16.13	32.8%	9.4%	46.2%	24.3%	35.6%	6.0%	1.2%	-720.1K	345.6M	-3.5M	0.91	3.05	34,116	30,905	808,966	629,929