PFE Options History — June 2009

In June 2009, PFE traded between $13.33 and $14.54. ATM implied volatility averaged 30.2%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 2.6% (HV 20d: 32.8%). Max pain ranged from $13.28 to $14.23. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.74.

Notable Days

2009-06-19: Highest Volume — 95,281 contracts
2009-06-08: Largest IV spike — 13.2% change
2009-06-01: Highest IV Rank — 15.5%
2009-06-08: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.95	$13.33	$14.54	$14.00	$14.23
Max Pain	$13.76	$13.28	$14.23	$14.23	$14.23
ATM IV	30.2%	27.2%	33.0%	29.7%	28.0%
Expected Move	8.7%	7.8%	9.5%	8.5%	8.0%
HV 20d	32.8%	25.7%	36.0%	35.6%	32.8%
HV 60d	33.9%	31.6%	38.4%	38.3%	32.5%
IV Rank	10.0%	5.2%	15.5%	15.5%	6.4%
IV Percentile	23.9%	11.5%	39.7%	23.8%	12.3%
Term Structure	2.5%	0.9%	4.0%	1.2%	3.4%
VWIV	30.6%	26.8%	33.0%	30.4%	28.4%
Skew 25d	2.8%	1.7%	3.9%	2.0%	3.1%
Skew 10d	6.9%	3.3%	17.6%	10.4%	9.9%
Call IV 25d	29.8%	25.8%	32.5%	29.7%	27.2%
Put IV 25d	32.6%	28.6%	34.8%	31.8%	30.3%
Bid-Ask Spread %	3.36	2.34	5.30	2.72	3.63
Gamma HHI	0.22	0.17	0.41	0.21	0.18
Net GEX	10.7M	7.9M	19.7M	11.0M	10.3M
Net DEX	-45.9M	-157.4M	110.8M	-64.1M	-90.9M
Net VEX	-6.3M	-6.6M	-5.9M	-6.3M	-6.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.16	2.92	0.47	2.92
Total Volume	46,388.182	12,843	95,281	57,358	74,372
Total OI	2,176,841.364	1,968,872	2,319,132	2,163,779	2,047,373

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
2009-06-01	$14.00	$14.23	29.7%	8.5%	35.6%	15.5%	30.4%	2.0%	1.2%	11.0M	-64.1M	-6.3M	0.47	2.72	39,058	18,300	1,341,359	822,420
2009-06-02	$14.21	$14.23	29.5%	8.5%	34.7%	10.5%	30.0%	3.6%	1.3%	11.9M	-142.0M	-6.6M	0.35	2.63	22,502	7,816	1,361,478	825,950
2009-06-03	$14.13	$14.23	29.7%	8.5%	34.2%	10.6%	30.3%	3.7%	1.3%	12.1M	-102.2M	-6.4M	1.15	2.63	20,092	23,010	1,355,572	827,329
2009-06-04	$13.89	$14.23	29.0%	8.3%	33.3%	7.8%	29.4%	2.6%	2.4%	10.7M	-36.8M	-6.3M	0.23	2.49	21,521	4,934	1,354,012	834,557
2009-06-05	$13.77	$14.23	29.2%	9.0%	33.0%	8.1%	31.1%	3.9%	2.6%	10.4M	-7.0M	-6.2M	0.26	4.94	41,966	10,835	1,365,250	843,029
2009-06-08	$13.58	$13.28	33.0%	9.5%	32.9%	13.6%	33.0%	3.2%	2.3%	9.6M	33.4M	-6.0M	0.43	4.05	36,050	15,430	1,390,241	842,193
2009-06-09	$13.41	$13.28	31.6%	9.4%	32.6%	11.5%	32.5%	2.3%	2.3%	8.6M	93.4M	-5.9M	1.09	2.34	30,919	33,669	1,379,157	846,342
2009-06-10	$13.33	$13.28	31.4%	9.1%	25.7%	11.4%	32.4%	2.9%	2.6%	7.9M	110.8M	-5.9M	0.75	3.27	41,154	31,006	1,401,961	869,426
2009-06-11	$13.88	$13.28	30.7%	8.8%	28.7%	10.3%	31.4%	3.1%	2.3%	12.3M	-24.2M	-6.4M	0.28	5.30	46,108	12,908	1,409,429	880,038
2009-06-12	$14.00	$13.28	30.4%	8.7%	28.9%	9.9%	30.9%	2.4%	2.7%	13.8M	-88.0M	-6.5M	0.44	2.89	17,705	7,709	1,414,562	875,967
2009-06-15	$13.41	$13.28	33.0%	9.5%	31.7%	13.6%	32.8%	1.7%	2.4%	8.2M	97.3M	-5.9M	0.66	2.91	23,863	15,712	1,414,830	877,513
2009-06-16	$13.43	$13.28	32.8%	9.4%	31.3%	13.3%	32.7%	2.1%	2.2%	7.9M	98.5M	-5.9M	0.67	3.25	14,972	10,054	1,420,956	880,113
2009-06-17	$13.83	$13.28	32.0%	9.2%	33.4%	12.2%	32.8%	2.4%	2.1%	13.0M	-22.1M	-6.2M	1.12	4.53	13,894	15,611	1,424,858	881,431
2009-06-18	$14.16	$13.28	32.4%	9.3%	34.5%	12.7%	32.6%	2.4%	0.9%	19.7M	-142.4M	-6.5M	0.16	3.39	63,292	10,036	1,425,887	885,667
2009-06-19	$14.23	$13.28	30.2%	8.7%	33.9%	9.6%	30.2%	2.4%	2.4%	8.8M	-148.2M	-6.5M	0.37	3.94	69,436	25,845	1,437,552	881,580
2009-06-22	$14.03	$13.28	30.9%	8.9%	34.1%	10.6%	31.2%	2.5%	2.6%	8.5M	-58.5M	-6.3M	0.36	3.00	32,623	11,654	1,223,462	745,410
2009-06-23	$13.98	$14.23	29.0%	8.3%	34.1%	7.8%	29.8%	3.1%	3.8%	8.8M	-42.7M	-6.3M	1.50	3.12	15,733	23,579	1,239,050	749,588
2009-06-24	$13.97	$14.23	28.8%	8.3%	33.0%	7.6%	29.8%	3.0%	3.1%	8.8M	-25.4M	-6.2M	0.51	3.17	19,239	9,784	1,245,470	766,833
2009-06-25	$14.54	$14.23	28.4%	8.1%	36.0%	7.0%	28.1%	3.8%	3.5%	11.4M	-157.4M	-6.5M	0.58	2.89	30,527	17,678	1,252,613	768,177
2009-06-26	$14.41	$14.23	27.2%	7.8%	34.2%	5.2%	27.2%	2.8%	4.0%	11.2M	-136.7M	-6.5M	1.24	2.98	12,114	14,987	1,263,786	773,090
2009-06-29	$14.48	$14.23	27.6%	7.9%	32.5%	5.8%	26.8%	3.2%	3.2%	11.4M	-153.9M	-6.5M	0.72	3.90	7,479	5,364	1,266,439	778,560
2009-06-30	$14.23	$14.23	28.0%	8.0%	32.8%	6.4%	28.4%	3.1%	3.4%	10.3M	-90.9M	-6.4M	2.92	3.63	18,995	55,377	1,268,471	778,902