PFE Options History — August 2009 In August 2009, PFE traded between $14.96 and $16.00. ATM implied volatility averaged 25.7%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 3.7% (HV 20d: 21.9%). Max pain ranged from $14.23 to $15.18. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.94.
Notable Days 2009-08-04 : Highest Volume — 526,269 contracts2009-08-21 : Largest IV drop — 9.8% change2009-08-17 : Highest IV Rank — 7.7%2009-08-07 : Largest Expected Move — 8.5%Monthly Statistics Metric Avg Min Max Open Close Price $15.39 $14.96 $16.00 $15.22 $15.84 Max Pain $14.32 $14.23 $15.18 $14.23 $14.23 ATM IV 25.7% 20.7% 28.9% 27.5% 22.8% Expected Move 7.5% 5.9% 8.5% 7.9% 6.5% HV 20d 21.9% 15.0% 28.2% 27.5% 15.3% HV 60d 28.3% 26.4% 31.2% 31.2% 26.4% IV Rank 3.9% 0.0% 7.7% 5.7% 2.9% IV Percentile 7.0% 0.0% 17.9% 11.1% 1.6% Term Structure 4.0% 1.7% 6.0% 1.7% 3.7% VWIV 28.8% 21.0% 52.6% 28.6% 25.0% Skew 25d 4.5% 3.0% 5.8% 4.2% 3.8% Skew 10d 11.4% 8.2% 13.8% 10.0% 11.8% Call IV 25d 25.3% 20.7% 28.2% 26.8% 22.8% Put IV 25d 29.8% 23.8% 33.9% 31.0% 26.6% Bid-Ask Spread % 3.11 2.34 4.15 4.15 2.88 Gamma HHI 0.17 0.14 0.23 0.14 0.20 Net GEX 14.2M 10.6M 21.1M 13.0M 16.3M Net DEX -291.0M -479.8M -141.5M -258.2M -378.9M Net VEX -6.9M -7.2M -6.6M -6.6M -7.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.94 0.06 2.73 1.47 1.48 Total Volume 69,806.571 27,134 526,269 40,461 27,768 Total OI 2,365,645.619 2,275,063 2,454,250 2,278,801 2,426,927
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 2009-08-03 $15.22 $14.23 27.5% 7.9% 27.5% 5.7% 28.6% 4.2% 1.7% 13.0M -258.2M -6.6M 1.47 4.15 16,401 24,060 1,350,854 927,947 2009-08-04 $15.25 $14.23 27.6% 7.9% 27.5% 5.9% 52.6% 4.4% 1.8% 12.2M -261.6M -6.6M 0.06 3.20 497,140 29,129 1,353,078 940,912 2009-08-05 $15.06 $15.18 27.6% 7.9% 28.2% 5.8% 29.4% 3.8% 2.3% 10.9M -177.3M -6.8M 1.02 3.14 27,856 28,436 1,328,843 946,220 2009-08-06 $14.98 $15.18 27.8% 8.0% 26.7% 6.1% 29.6% 3.1% 1.9% 10.6M -168.8M -6.9M 0.31 4.05 20,705 6,429 1,346,102 962,664 2009-08-07 $15.14 $14.23 28.0% 8.5% 26.4% 6.4% 30.5% 5.8% 3.8% 11.8M -243.1M -7.0M 0.38 3.10 39,763 15,181 1,356,029 961,809 2009-08-10 $15.09 $14.23 27.5% 8.4% 23.5% 5.7% 31.4% 5.7% 3.7% 12.7M -222.6M -6.9M 1.19 2.64 13,239 15,797 1,369,002 968,111 2009-08-11 $15.02 $14.23 27.0% 8.2% 23.6% 4.9% 32.8% 5.2% 4.1% 12.3M -194.4M -6.9M 2.73 3.26 8,362 22,851 1,370,657 974,753 2009-08-12 $15.05 $14.23 26.5% 7.9% 23.5% 4.2% 27.8% 5.4% 4.6% 12.8M -193.7M -6.8M 1.49 3.72 21,520 32,085 1,373,467 981,719 2009-08-13 $14.99 $14.23 27.4% 7.9% 23.6% 5.6% 28.7% 4.9% 4.8% 12.0M -165.7M -6.8M 0.42 2.88 29,917 12,633 1,377,516 1,001,983 2009-08-14 $14.96 $14.23 27.0% 7.7% 23.4% 4.9% 27.4% 5.1% 4.6% 12.8M -141.5M -6.8M 1.11 3.57 15,415 17,082 1,388,097 1,007,095 2009-08-17 $15.07 $14.23 28.9% 8.3% 22.6% 7.7% 31.8% 5.8% 4.3% 14.3M -188.7M -6.8M 0.98 3.19 16,005 15,707 1,386,905 1,014,461 2009-08-18 $15.16 $14.23 27.7% 7.9% 20.4% 5.9% 29.8% 5.4% 5.0% 16.1M -222.7M -6.9M 0.19 2.91 40,959 7,723 1,391,900 1,015,800 2009-08-19 $15.53 $14.23 27.0% 7.7% 21.8% 4.9% 26.4% 4.7% 5.2% 18.2M -391.7M -7.0M 0.42 3.11 45,655 19,399 1,414,208 1,016,808 2009-08-20 $15.40 $14.23 26.3% 7.5% 21.2% 3.9% 25.8% 5.4% 5.3% 21.1M -351.7M -6.9M 0.49 3.08 19,966 9,753 1,427,904 1,019,870 2009-08-21 $15.79 $14.23 23.7% 6.8% 21.8% 0.2% 25.7% 4.6% 6.0% 13.1M -479.8M -7.0M 0.23 2.81 55,491 12,818 1,433,563 1,020,687 2009-08-24 $15.87 $14.23 23.0% 6.6% 21.7% 0.0% 25.5% 4.0% 3.6% 14.6M -400.8M -6.9M 1.64 2.34 39,316 64,585 1,342,608 961,873 2009-08-25 $15.94 $14.23 22.7% 6.5% 16.9% 0.0% 24.6% 3.0% 3.5% 15.3M -418.0M -7.2M 1.48 2.82 18,606 27,541 1,364,601 990,189 2009-08-26 $15.91 $14.23 20.7% 5.9% 15.3% 0.0% 21.0% 3.1% 4.8% 14.6M -392.4M -7.1M 0.64 2.86 35,133 22,591 1,365,672 1,003,169 2009-08-27 $16.00 $14.23 21.3% 6.1% 15.0% 0.8% 25.4% 4.1% 4.6% 16.7M -436.3M -7.2M 1.10 2.67 20,552 22,679 1,384,921 1,002,703 2009-08-28 $15.95 $14.23 21.8% 6.2% 15.1% 1.5% 24.7% 3.5% 4.3% 16.1M -423.3M -7.2M 0.92 2.81 25,912 23,778 1,391,507 1,015,424 2009-08-31 $15.84 $14.23 22.8% 6.5% 15.3% 2.9% 25.0% 3.8% 3.7% 16.3M -378.9M -7.1M 1.48 2.88 11,178 16,590 1,405,644 1,021,283
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