PFE Options History — March 2009

In March 2009, PFE traded between $11.06 and $13.80. ATM implied volatility averaged 43.1%, placing in the 37.3% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 7.9% (HV 20d: 51.0%). Max pain ranged from $12.33 to $14.23. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.66.

Notable Days

2009-03-12: Highest Volume — 125,360 contracts
2009-03-12: Largest IV drop — 12.4% change
2009-03-02: Highest IV Rank — 52.1%
2009-03-02: Largest Expected Move — 15.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.78	$11.06	$13.80	$11.06	$12.92
Max Pain	$12.68	$12.33	$14.23	$14.23	$12.33
ATM IV	43.1%	37.1%	54.9%	54.9%	37.7%
Expected Move	12.2%	10.6%	15.7%	15.7%	10.8%
HV 20d	51.0%	40.7%	58.2%	41.0%	49.9%
HV 60d	44.6%	40.0%	47.2%	40.6%	46.6%
IV Rank	37.3%	29.7%	52.1%	52.1%	30.5%
IV Percentile	73.3%	59.9%	90.9%	90.9%	60.7%
Term Structure	-2.8%	-6.1%	1.4%	-6.1%	0.1%
VWIV	42.8%	36.2%	53.0%	53.0%	39.2%
Skew 25d	6.9%	5.1%	8.2%	7.3%	6.3%
Skew 10d	14.0%	9.9%	21.3%	18.5%	12.0%
Call IV 25d	40.6%	34.1%	50.3%	50.3%	37.2%
Put IV 25d	47.5%	40.8%	57.6%	57.6%	43.5%
Bid-Ask Spread %	3.37	2.09	5.13	2.09	3.40
Gamma HHI	0.13	0.09	0.16	0.13	0.14
Net GEX	2.5M	-618.5K	5.6M	-618.5K	4.3M
Net DEX	259.0M	111.8M	429.8M	429.8M	198.0M
Net VEX	-3.3M	-3.9M	-2.2M	-2.2M	-3.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.28	1.80	0.79	0.45
Total Volume	51,901.682	26,456	125,360	56,985	30,397
Total OI	1,540,900.455	1,382,318	1,691,254	1,456,030	1,505,099

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
2009-03-02	$11.06	$14.23	54.9%	15.7%	41.0%	52.1%	53.0%	7.3%	-6.1%	-618.5K	429.8M	-2.2M	0.79	2.09	31,800	25,185	824,036	631,994
2009-03-03	$11.26	$14.23	48.9%	14.0%	40.7%	44.5%	50.6%	7.2%	-1.0%	-449.9K	415.1M	-2.5M	0.64	2.13	35,209	22,379	834,503	639,047
2009-03-04	$11.86	$14.23	46.4%	13.3%	45.2%	41.5%	46.6%	7.2%	1.4%	311.8K	378.6M	-2.7M	0.74	2.55	40,169	29,802	852,724	646,338
2009-03-05	$12.02	$14.23	48.4%	13.9%	44.2%	43.9%	48.1%	7.1%	-2.1%	408.7K	350.7M	-3.0M	0.51	2.71	23,847	12,137	861,337	662,902
2009-03-06	$12.08	$12.33	47.2%	13.0%	44.4%	42.4%	45.1%	7.8%	-2.4%	813.1K	360.2M	-2.8M	0.51	3.37	20,286	10,364	867,948	661,586
2009-03-09	$11.98	$12.33	51.1%	13.5%	43.0%	47.3%	48.0%	8.1%	-3.9%	669.1K	363.8M	-2.9M	0.73	4.16	19,512	14,249	877,175	663,089
2009-03-10	$12.42	$12.33	47.4%	12.8%	45.7%	42.7%	44.4%	7.1%	-5.4%	910.0K	325.3M	-3.1M	0.36	2.50	26,573	9,461	874,816	666,213
2009-03-11	$12.13	$12.33	46.1%	12.6%	43.9%	41.0%	45.9%	7.3%	-2.2%	848.3K	358.3M	-2.9M	1.80	2.34	12,768	23,014	884,923	667,118
2009-03-12	$13.30	$12.33	40.3%	11.6%	55.1%	33.8%	40.8%	5.1%	-3.0%	2.0M	224.5M	-3.6M	0.28	2.78	98,275	27,085	889,822	677,636
2009-03-13	$13.80	$12.33	39.3%	11.3%	56.3%	32.5%	40.8%	5.1%	-2.2%	2.9M	148.6M	-3.7M	0.34	3.37	71,639	24,355	924,420	690,691
2009-03-16	$13.43	$12.33	41.0%	11.8%	57.1%	34.6%	40.4%	5.9%	-3.7%	2.8M	211.0M	-3.6M	0.43	3.69	51,798	22,475	942,865	700,322
2009-03-17	$13.53	$12.33	40.5%	11.6%	56.6%	34.0%	40.6%	5.9%	-3.5%	3.0M	222.0M	-3.4M	1.12	4.09	20,917	23,370	955,265	703,150
2009-03-18	$13.52	$12.33	40.5%	11.6%	56.6%	34.0%	40.2%	6.3%	-3.2%	3.1M	214.3M	-3.7M	0.88	5.13	24,332	21,296	958,355	704,875
2009-03-19	$13.00	$12.33	43.0%	12.3%	58.2%	37.2%	44.0%	8.2%	-4.3%	2.8M	281.8M	-3.4M	0.33	3.46	42,717	14,292	969,004	721,179
2009-03-20	$12.93	$12.33	42.9%	12.3%	57.7%	37.1%	43.7%	8.1%	-3.7%	3.5M	261.7M	-3.4M	0.49	3.28	23,756	11,538	977,680	713,574
2009-03-23	$13.30	$12.33	40.0%	11.5%	57.2%	33.4%	39.5%	7.3%	-6.1%	3.4M	154.6M	-3.6M	0.39	4.42	43,003	16,859	760,130	622,188
2009-03-24	$13.18	$12.33	40.0%	11.5%	56.8%	33.3%	39.7%	7.2%	-4.9%	3.9M	165.0M	-3.6M	0.49	3.74	39,499	19,252	786,455	630,317
2009-03-25	$13.53	$12.33	38.0%	10.9%	55.5%	30.9%	37.1%	6.8%	-2.7%	5.2M	111.8M	-3.9M	0.52	3.32	35,108	18,427	818,375	645,407
2009-03-26	$13.64	$12.33	37.6%	10.8%	54.0%	30.3%	36.3%	6.6%	-0.2%	5.6M	143.6M	-3.7M	0.52	3.76	26,051	13,436	835,214	653,328
2009-03-27	$13.32	$12.33	37.1%	10.6%	53.4%	29.7%	36.2%	7.7%	-2.0%	4.7M	150.3M	-3.8M	1.38	3.84	11,120	15,336	836,842	659,701
2009-03-30	$13.00	$12.33	40.6%	11.6%	49.8%	34.1%	40.6%	7.0%	-1.1%	3.9M	228.6M	-3.4M	0.85	4.11	20,904	17,845	837,016	665,151
2009-03-31	$12.92	$12.33	37.7%	10.8%	49.9%	30.5%	39.2%	6.3%	0.1%	4.3M	198.0M	-3.6M	0.45	3.40	20,893	9,504	839,863	665,236