PFE Options History — July 2009 In July 2009, PFE traded between $13.47 and $15.77. ATM implied volatility averaged 29.1%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 1.0% (HV 20d: 30.1%). 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 15 of 22 days. Put/call ratio averaged 0.68.
Notable Days 2009-07-28 : Highest Volume — 195,018 contracts2009-07-13 : Largest IV spike — 14.6% change2009-07-13 : Highest IV Rank — 14.1%2009-07-09 : Largest Expected Move — 10.1%Monthly Statistics Metric Avg Min Max Open Close Price $14.49 $13.47 $15.77 $14.14 $15.11 Max Pain $13.76 $13.28 $14.23 $14.23 $14.23 ATM IV 29.1% 26.5% 33.4% 27.0% 27.3% Expected Move 8.5% 7.6% 10.1% 7.7% 7.8% HV 20d 30.1% 26.2% 33.9% 32.8% 27.5% HV 60d 32.1% 30.9% 33.2% 32.5% 31.3% IV Rank 8.0% 4.3% 14.1% 5.0% 5.3% IV Percentile 17.6% 7.1% 40.5% 9.5% 10.7% Term Structure 0.7% -0.3% 4.8% 4.0% 1.7% VWIV 30.5% 27.3% 36.2% 27.3% 28.0% Skew 25d 4.0% 1.4% 5.8% 2.7% 2.7% Skew 10d 7.4% 3.1% 10.4% 5.9% 6.1% Call IV 25d 28.4% 25.8% 32.2% 26.7% 27.1% Put IV 25d 32.4% 28.9% 37.6% 29.4% 29.8% Bid-Ask Spread % 3.51 2.63 4.47 3.27 3.00 Gamma HHI 0.20 0.14 0.52 0.18 0.15 Net GEX 11.4M 4.1M 31.6M 9.0M 12.4M Net DEX -114.3M -483.2M 140.3M -33.1M -216.2M Net VEX -6.3M -7.1M -5.8M -6.4M -6.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.68 0.15 1.52 1.03 0.88 Total Volume 60,113.682 21,060 195,018 38,319 26,997 Total OI 2,188,393.636 2,099,670 2,279,827 2,099,670 2,259,501
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 2009-07-01 $14.14 $14.23 27.0% 7.7% 32.8% 5.0% 27.3% 2.7% 4.0% 9.0M -33.1M -6.4M 1.03 3.27 18,898 19,421 1,278,557 821,113 2009-07-02 $13.74 $14.23 29.8% 8.6% 33.8% 9.1% 28.8% 1.4% 4.8% 6.8M 57.6M -6.0M 1.19 4.47 18,939 22,624 1,284,908 831,534 2009-07-06 $13.82 $13.28 31.7% 9.3% 33.7% 11.7% 35.3% 5.8% 0.5% 6.9M 40.7M -6.0M 0.82 2.75 11,541 9,519 1,287,521 839,083 2009-07-07 $13.84 $13.28 31.6% 9.6% 33.3% 11.6% 36.2% 5.6% 0.4% 7.1M 33.6M -6.1M 1.00 4.27 26,805 26,860 1,290,385 844,997 2009-07-08 $13.86 $13.28 31.3% 9.6% 32.9% 11.1% 35.3% 5.8% -0.2% 7.1M 25.8M -6.1M 0.15 3.45 41,628 6,340 1,288,911 847,605 2009-07-09 $13.56 $13.28 31.4% 10.1% 33.9% 11.3% 34.6% 4.9% -0.1% 5.5M 111.2M -5.8M 0.80 3.91 30,904 24,668 1,286,401 849,855 2009-07-10 $13.47 $13.28 29.1% 9.8% 30.6% 8.0% 33.0% 4.8% -0.1% 4.1M 140.3M -5.8M 0.21 4.21 40,781 8,602 1,298,338 858,832 2009-07-13 $14.00 $13.28 33.4% 9.4% 33.6% 14.1% 33.9% 5.6% -0.2% 9.8M -7.6M -6.1M 0.92 3.27 17,783 16,363 1,306,583 859,513 2009-07-14 $14.14 $13.28 31.8% 9.1% 29.5% 11.9% 32.0% 4.2% -0.3% 11.6M -30.4M -6.1M 0.26 4.02 26,649 6,937 1,296,067 863,519 2009-07-15 $14.25 $13.28 30.3% 8.8% 29.6% 9.6% 31.1% 4.0% -0.3% 14.5M -80.9M -6.2M 1.52 3.09 25,557 38,748 1,314,113 866,108 2009-07-16 $14.30 $13.28 29.8% 8.5% 27.9% 8.9% 29.7% 3.6% 0.2% 16.2M -54.3M -6.1M 0.21 3.14 28,158 6,013 1,314,761 887,633 2009-07-17 $14.19 $13.28 28.6% 8.2% 26.9% 7.3% 28.9% 3.5% 0.5% 31.6M -10.6M -5.9M 0.42 3.22 43,267 18,091 1,308,312 884,922 2009-07-20 $14.48 $13.28 28.1% 8.0% 27.7% 6.5% 28.1% 3.7% 0.1% 7.8M -54.0M -6.1M 0.48 3.62 57,064 27,651 1,250,822 859,091 2009-07-21 $14.90 $14.23 26.8% 7.7% 28.8% 4.7% 27.7% 3.4% 0.0% 10.6M -193.1M -6.4M 0.29 3.69 74,023 21,629 1,284,803 878,302 2009-07-22 $15.06 $14.23 26.5% 7.6% 28.8% 4.3% 27.3% 3.1% 1.1% 12.7M -262.9M -6.6M 0.86 4.27 80,458 69,392 1,327,198 882,414 2009-07-23 $15.32 $14.23 27.6% 7.9% 29.1% 5.8% 28.1% 3.6% 0.9% 13.0M -345.6M -6.9M 0.40 3.18 46,120 18,317 1,356,093 903,920 2009-07-24 $15.64 $14.23 27.8% 8.0% 26.6% 6.1% 28.0% 3.1% -0.2% 14.5M -447.8M -7.0M 0.55 2.91 24,668 13,488 1,364,981 901,038 2009-07-27 $15.77 $14.23 26.7% 7.6% 26.2% 4.5% 28.7% 4.0% 0.5% 14.6M -483.2M -7.1M 0.49 2.63 20,510 10,118 1,368,749 905,658 2009-07-28 $15.21 $14.23 28.5% 8.2% 29.9% 7.1% 29.4% 3.9% 0.9% 13.2M -306.0M -6.9M 1.20 4.04 88,509 106,509 1,370,708 909,119 2009-07-29 $14.94 $14.23 28.2% 8.1% 29.9% 6.6% 29.7% 4.2% 0.8% 11.3M -182.6M -6.5M 0.90 3.41 32,219 29,095 1,335,280 917,993 2009-07-30 $15.12 $14.23 28.0% 8.0% 29.9% 6.4% 29.2% 3.4% 1.4% 11.6M -215.9M -6.6M 0.28 3.36 31,637 9,001 1,332,003 927,416 2009-07-31 $15.11 $14.23 27.3% 7.8% 27.5% 5.3% 28.0% 2.7% 1.7% 12.4M -216.2M -6.5M 0.88 3.00 14,371 12,626 1,341,352 918,149
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