PFE Options History — February 2009

In February 2009, PFE traded between $11.68 and $14.42. ATM implied volatility averaged 37.3%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 9.8% (HV 20d: 47.1%). Max pain ranged from $14.23 to $16.60. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.63.

Notable Days

  • 2009-02-03: Highest Volume — 221,700 contracts
  • 2009-02-17: Largest IV spike — 17.9% change
  • 2009-02-27: Highest IV Rank — 36.5%
  • 2009-02-27: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.36$11.68$14.42$14.13$11.68
Max Pain$14.98$14.23$16.60$15.18$14.23
ATM IV37.3%30.9%42.5%30.9%42.5%
Expected Move10.8%8.9%12.2%8.9%12.2%
HV 20d47.1%37.2%51.8%45.1%39.0%
HV 60d46.9%40.7%52.6%52.6%40.7%
IV Rank30.0%22.0%36.5%22.0%36.5%
IV Percentile69.6%54.0%77.4%54.0%77.4%
Term Structure-0.3%-4.3%4.6%4.6%2.0%
VWIV38.4%32.8%45.3%32.8%45.3%
Skew 25d6.8%4.5%10.4%10.4%4.7%
Skew 10d12.5%9.7%15.3%15.3%10.0%
Call IV 25d36.5%32.3%43.2%32.7%43.2%
Put IV 25d43.2%39.3%47.8%43.2%47.8%
Bid-Ask Spread %2.591.854.212.362.21
Gamma HHI0.150.120.200.200.16
Net GEX-420.7K-892.8K367.6K-749.6K-856.8K
Net DEX347.2M274.8M445.3M308.4M445.3M
Net VEX-3.4M-4.0M-2.4M-4.0M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.161.300.530.63
Total Volume54,070.05322,037221,70049,14742,646
Total OI1,500,841.5261,382,2371,570,7791,471,0191,453,528

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-02-02$14.13$15.1830.9%8.9%45.1%22.0%32.8%10.4%4.6%-749.6K308.4M-4.0M0.532.3632,14617,001821,996649,023
2009-02-03$14.42$15.1831.9%9.2%46.4%23.2%44.8%7.2%3.7%-185.8K274.8M-4.0M0.162.77191,01530,685833,179653,666
2009-02-04$13.82$15.1834.1%9.8%47.8%26.0%35.3%4.5%2.0%-782.6K357.9M-3.7M0.672.3126,06317,367848,430663,505
2009-02-05$13.76$15.1836.3%10.4%47.7%28.8%34.7%4.7%2.7%-454.4K348.6M-3.8M0.502.4829,07814,600855,591649,155
2009-02-06$14.08$16.6032.2%10.1%48.7%23.5%35.3%6.5%-0.7%-141.5K311.6M-3.8M0.462.4422,08210,075866,860652,756
2009-02-09$13.96$16.6034.6%10.6%48.7%26.6%37.0%5.7%-1.9%-367.9K312.5M-3.7M0.582.0638,10422,064860,229646,451
2009-02-10$13.35$15.1838.7%11.7%50.3%31.7%40.0%6.1%-3.9%-578.7K368.1M-3.6M0.852.3138,05332,414877,956657,989
2009-02-11$13.64$15.1836.9%11.3%50.9%29.5%37.1%7.1%-2.3%-517.7K327.3M-3.8M0.762.0718,15913,716887,530656,943
2009-02-12$13.90$15.1836.2%10.4%51.8%28.6%37.2%6.8%-1.2%-153.3K289.2M-3.8M0.363.7218,8976,753882,034652,432
2009-02-13$13.83$15.1835.1%10.1%51.4%27.3%35.3%7.0%-0.7%367.6K301.5M-3.7M0.532.5641,81121,999887,252648,275
2009-02-17$13.52$15.1841.4%11.9%51.3%35.2%39.5%7.2%-4.3%-164.7K342.9M-3.5M0.633.4423,33114,585906,925659,634
2009-02-18$13.43$15.1839.8%11.4%51.3%33.2%39.6%7.4%-3.9%-257.3K363.9M-3.4M0.482.4821,65310,397909,918653,510
2009-02-19$13.31$14.2339.0%11.2%50.3%32.1%38.3%7.5%-3.9%-816.2K368.0M-3.2M0.762.3612,4959,542914,157656,622
2009-02-20$13.01$14.2338.8%11.1%50.5%31.9%38.5%7.1%-2.4%-892.8K380.8M-3.2M0.544.2145,97424,788912,215647,384
2009-02-23$12.59$14.2340.0%11.5%50.1%33.4%40.5%8.0%3.5%-246.6K381.1M-2.9M1.262.1527,28034,463781,951600,286
2009-02-24$12.89$14.2336.1%10.4%37.2%28.5%36.7%6.9%2.5%-518.8K371.3M-3.0M0.521.8524,69312,901791,247624,421
2009-02-25$12.41$14.2341.7%12.0%38.1%35.5%39.3%7.8%-1.5%-158.1K375.4M-2.8M1.302.1818,28523,828801,513617,644
2009-02-26$12.05$14.2342.3%12.1%38.4%36.3%42.2%6.6%-0.8%-518.5K368.7M-3.1M0.483.2425,88312,505804,713629,069
2009-02-27$11.68$14.2342.5%12.2%39.0%36.5%45.3%4.7%2.0%-856.8K445.3M-2.4M0.632.2126,19216,454815,409638,119