PFE Options History — April 2009

In April 2009, PFE traded between $12.37 and $13.43. ATM implied volatility averaged 35.0%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 1.1% (HV 20d: 36.1%). Max pain ranged from $12.33 to $13.28. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.53.

Notable Days

2009-04-30: Highest Volume — 123,597 contracts
2009-04-13: Largest IV spike — 34.5% change
2009-04-27: Highest IV Rank — 35.0%
2009-04-27: Largest Expected Move — 11.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.86	$12.37	$13.43	$13.27	$12.68
Max Pain	$12.97	$12.33	$13.28	$12.33	$12.33
ATM IV	35.0%	23.6%	41.3%	36.9%	33.5%
Expected Move	10.0%	6.8%	11.8%	10.6%	9.6%
HV 20d	36.1%	28.4%	48.7%	47.7%	30.1%
HV 60d	45.8%	42.2%	48.1%	47.0%	42.2%
IV Rank	27.1%	12.7%	35.0%	29.5%	25.2%
IV Percentile	50.9%	12.3%	71.4%	58.7%	42.9%
Term Structure	-1.1%	-13.4%	12.9%	1.5%	-0.4%
VWIV	36.2%	29.2%	40.9%	36.9%	33.6%
Skew 25d	7.7%	-1.8%	14.9%	5.3%	3.6%
Skew 10d	12.1%	-0.8%	20.4%	10.5%	4.0%
Call IV 25d	34.0%	29.5%	40.0%	35.3%	32.3%
Put IV 25d	41.7%	35.9%	47.2%	40.7%	35.9%
Bid-Ask Spread %	3.73	2.54	5.96	3.79	4.03
Gamma HHI	0.18	0.12	0.42	0.15	0.14
Net GEX	3.6M	4.4K	11.0M	5.3M	2.8M
Net DEX	254.5M	83.3M	351.0M	145.0M	311.4M
Net VEX	-3.4M	-3.7M	-2.9M	-3.6M	-3.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.19	1.09	0.51	0.50
Total Volume	48,154.143	13,324	123,597	53,877	123,597
Total OI	1,557,335.286	1,432,185	1,730,278	1,509,339	1,730,278

Daily Data (21 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
2009-04-01	$13.27	$12.33	36.9%	10.6%	47.7%	29.5%	36.9%	5.3%	1.5%	5.3M	145.0M	-3.6M	0.51	3.79	35,645	18,232	840,760	668,579
2009-04-02	$13.06	$12.33	36.8%	10.6%	48.2%	29.4%	38.3%	4.7%	0.1%	4.4M	191.6M	-3.7M	0.50	3.24	17,371	8,618	847,438	674,559
2009-04-03	$12.86	$13.28	35.6%	10.2%	48.7%	27.8%	37.4%	11.9%	0.4%	3.5M	235.8M	-3.5M	0.71	3.53	11,189	7,939	846,573	677,618
2009-04-06	$13.01	$13.28	35.4%	10.6%	48.6%	27.6%	38.0%	11.1%	-0.7%	4.3M	206.3M	-3.6M	0.37	3.80	20,041	7,491	849,380	679,866
2009-04-07	$12.82	$13.28	35.4%	7.7%	47.6%	27.6%	38.0%	12.5%	2.0%	3.7M	231.5M	-3.5M	1.00	3.73	6,649	6,675	857,569	682,910
2009-04-08	$12.79	$13.28	36.9%	11.5%	46.7%	29.5%	38.4%	11.8%	-1.4%	3.5M	243.5M	-3.5M	0.72	3.61	10,458	7,538	858,585	683,574
2009-04-09	$12.86	$13.28	30.0%	8.6%	32.8%	20.8%	34.7%	14.9%	4.7%	3.6M	298.5M	-3.3M	0.33	3.89	16,356	5,359	859,682	684,809
2009-04-13	$12.79	$13.28	40.3%	11.6%	29.5%	33.8%	39.1%	8.9%	-3.4%	3.7M	243.4M	-3.4M	0.39	2.54	23,119	9,056	861,216	685,737
2009-04-14	$12.66	$13.28	40.5%	11.6%	28.4%	34.0%	38.9%	6.8%	-6.8%	2.2M	290.2M	-3.3M	1.02	4.54	19,327	19,638	866,379	690,805
2009-04-15	$13.15	$13.28	32.6%	9.4%	31.7%	24.1%	33.6%	11.2%	1.1%	6.4M	184.1M	-3.6M	0.67	4.30	31,113	20,772	871,144	697,244
2009-04-16	$13.19	$13.28	23.6%	6.8%	31.8%	12.7%	31.1%	10.6%	0.6%	9.4M	172.4M	-3.3M	0.47	4.05	26,188	12,239	865,625	696,624
2009-04-17	$13.43	$13.28	31.6%	9.1%	29.1%	22.9%	31.5%	7.3%	-1.4%	11.0M	83.3M	-3.5M	0.43	3.48	46,076	19,636	876,106	702,467
2009-04-20	$12.89	$13.28	33.9%	9.7%	32.8%	25.7%	34.3%	8.3%	-1.9%	891.7K	295.0M	-3.2M	0.28	3.05	33,802	9,373	772,326	659,859
2009-04-21	$12.83	$13.28	34.9%	10.0%	31.1%	27.0%	36.3%	5.1%	-4.0%	1.0M	337.2M	-2.9M	1.09	3.98	37,481	40,775	792,893	663,647
2009-04-22	$12.37	$13.28	28.3%	8.1%	33.3%	18.7%	29.2%	14.4%	12.9%	4.4K	351.0M	-3.1M	0.19	3.19	37,190	6,892	815,635	697,890
2009-04-23	$12.60	$13.28	37.2%	10.7%	32.5%	29.9%	40.7%	-1.8%	-13.4%	1.6M	271.8M	-3.2M	0.93	3.50	27,390	25,476	838,198	694,390
2009-04-24	$12.50	$12.33	38.6%	11.1%	32.2%	31.6%	37.4%	4.3%	-0.1%	596.2K	327.8M	-3.4M	0.27	4.09	43,108	11,478	851,040	709,414
2009-04-27	$12.80	$12.33	41.3%	11.8%	32.8%	35.0%	40.9%	2.5%	-6.4%	2.1M	277.4M	-3.6M	0.32	3.02	64,913	20,736	884,126	715,958
2009-04-28	$12.70	$12.33	37.3%	10.7%	31.8%	30.0%	36.8%	3.4%	-4.3%	2.1M	335.2M	-3.3M	0.21	3.09	54,963	11,592	924,932	729,634
2009-04-29	$12.74	$12.33	34.7%	9.9%	31.8%	26.7%	34.0%	4.7%	-1.6%	2.8M	311.8M	-3.6M	0.32	5.96	42,385	13,361	962,381	736,191
2009-04-30	$12.68	$12.33	33.5%	9.6%	30.1%	25.2%	33.6%	3.6%	-0.4%	2.8M	311.4M	-3.6M	0.50	4.03	82,577	41,020	987,826	742,452