PFE Options History — May 2009

In May 2009, PFE traded between $12.88 and $14.55. ATM implied volatility averaged 31.3%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 2.4% (HV 20d: 33.7%). Max pain ranged from $12.33 to $14.23. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.40.

Notable Days

2009-05-05: Highest Volume — 269,490 contracts
2009-05-04: Largest IV spike — 28.6% change
2009-05-12: Highest IV Rank — 30.4%
2009-05-13: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.94	$12.88	$14.55	$12.88	$14.41
Max Pain	$14.14	$12.33	$14.23	$12.33	$14.23
ATM IV	31.3%	23.9%	37.6%	23.9%	29.0%
Expected Move	8.9%	6.9%	10.0%	6.9%	8.3%
HV 20d	33.7%	30.3%	38.7%	30.3%	33.7%
HV 60d	41.3%	37.8%	42.9%	41.6%	37.8%
IV Rank	20.6%	13.2%	30.4%	13.2%	15.2%
IV Percentile	32.1%	9.5%	58.7%	9.5%	21.4%
Term Structure	1.6%	-0.2%	3.0%	1.3%	1.5%
VWIV	32.2%	29.2%	44.2%	31.9%	29.2%
Skew 25d	4.3%	2.7%	5.9%	4.1%	5.2%
Skew 10d	9.0%	5.7%	11.3%	5.7%	9.8%
Call IV 25d	30.2%	27.3%	33.2%	31.3%	27.3%
Put IV 25d	34.5%	32.0%	37.1%	35.5%	32.5%
Bid-Ask Spread %	2.73	1.90	4.88	4.88	2.85
Gamma HHI	0.22	0.14	0.70	0.14	0.20
Net GEX	11.5M	4.5M	45.6M	4.5M	12.3M
Net DEX	-31.1M	-240.2M	251.0M	251.0M	-169.2M
Net VEX	-5.7M	-6.6M	-4.1M	-4.1M	-6.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.40	0.05	0.92	0.30	0.82
Total Volume	71,333.95	12,629	269,490	37,446	25,496
Total OI	2,008,843.7	1,830,893	2,151,418	1,830,893	2,151,418

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
2009-05-01	$12.88	$12.33	23.9%	6.9%	30.3%	13.2%	31.9%	4.1%	1.3%	4.5M	251.0M	-4.1M	0.30	4.88	28,746	8,700	1,057,331	773,562
2009-05-04	$13.26	$14.23	30.8%	9.4%	31.5%	21.8%	33.1%	5.9%	0.7%	8.2M	112.4M	-4.4M	0.22	2.32	39,621	8,790	1,067,495	777,651
2009-05-05	$13.55	$14.23	33.9%	9.5%	32.1%	25.7%	44.2%	5.2%	-0.2%	9.6M	51.8M	-4.5M	0.05	2.92	257,295	12,195	1,087,819	781,106
2009-05-06	$13.20	$14.23	32.4%	9.5%	33.1%	23.8%	32.9%	4.5%	1.8%	6.4M	196.2M	-4.6M	0.31	2.40	37,717	11,630	1,076,861	784,258
2009-05-07	$13.43	$14.23	32.5%	9.5%	33.6%	23.9%	32.8%	4.8%	2.1%	7.9M	140.8M	-4.9M	0.52	3.77	29,568	15,257	1,088,630	788,312
2009-05-08	$13.66	$14.23	32.8%	9.4%	34.0%	24.4%	31.5%	4.7%	2.2%	9.1M	96.2M	-5.0M	0.19	3.45	67,336	12,671	1,096,761	795,169
2009-05-11	$13.43	$14.23	35.0%	9.4%	34.7%	27.0%	32.0%	4.4%	3.0%	9.4M	113.8M	-5.0M	0.17	2.42	73,172	12,793	1,135,287	792,277
2009-05-12	$14.17	$14.23	37.6%	9.4%	38.7%	30.4%	33.2%	3.9%	1.8%	12.0M	-110.2M	-5.7M	0.47	2.31	124,031	58,014	1,196,375	797,670
2009-05-13	$14.49	$14.23	33.6%	10.0%	37.3%	25.4%	34.8%	3.7%	0.9%	13.3M	-210.5M	-6.1M	0.37	1.90	84,897	31,361	1,234,112	826,327
2009-05-14	$14.55	$14.23	33.7%	9.7%	37.3%	25.5%	33.2%	2.7%	1.3%	14.2M	-240.2M	-6.3M	0.37	2.17	66,045	24,732	1,267,546	836,121
2009-05-15	$14.24	$14.23	32.5%	9.3%	38.1%	20.7%	34.3%	4.3%	2.3%	45.6M	-155.2M	-6.2M	0.49	1.93	88,680	43,803	1,294,143	842,339
2009-05-18	$14.41	$14.23	31.5%	9.0%	34.5%	19.5%	32.3%	4.9%	0.7%	9.3M	-132.3M	-6.4M	0.65	2.02	17,829	11,594	1,235,388	794,749
2009-05-19	$14.33	$14.23	30.0%	8.6%	34.5%	17.5%	30.0%	4.0%	1.2%	9.6M	-114.1M	-6.3M	0.27	2.34	34,289	9,401	1,243,898	793,979
2009-05-20	$14.34	$14.23	29.3%	8.4%	30.9%	16.6%	29.3%	4.1%	1.5%	10.2M	-113.6M	-6.3M	0.33	2.82	19,491	6,402	1,264,969	796,025
2009-05-21	$14.07	$14.23	30.1%	8.6%	31.9%	17.6%	30.8%	3.7%	1.6%	9.4M	-55.3M	-6.1M	0.92	2.64	21,574	19,939	1,267,548	798,134
2009-05-22	$14.19	$14.23	29.5%	8.5%	31.5%	16.8%	29.9%	3.6%	2.2%	9.9M	-80.0M	-6.3M	0.59	3.21	7,964	4,665	1,275,355	806,408
2009-05-26	$14.25	$14.23	29.2%	8.4%	30.8%	15.8%	29.4%	3.8%	2.0%	10.4M	-98.5M	-6.3M	0.34	2.65	44,097	14,885	1,275,479	805,353
2009-05-27	$13.91	$14.23	29.3%	8.4%	32.3%	15.6%	29.6%	4.3%	1.8%	9.3M	-36.6M	-6.3M	0.25	3.23	27,144	6,675	1,311,579	816,621
2009-05-28	$13.94	$14.23	28.8%	8.2%	32.3%	14.9%	29.7%	3.6%	2.2%	10.2M	-68.1M	-6.3M	0.36	2.39	13,336	4,844	1,329,591	813,228
2009-05-29	$14.41	$14.23	29.0%	8.3%	33.7%	15.2%	29.2%	5.2%	1.5%	12.3M	-169.2M	-6.6M	0.82	2.85	13,976	11,520	1,336,277	815,141