PFE Options History — September 2009

In September 2009, PFE traded between $15.26 and $15.94. ATM implied volatility averaged 25.8%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 7.9% (HV 20d: 17.9%). 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 1.04.

Notable Days

  • 2009-09-15: Highest Volume — 106,538 contracts
  • 2009-09-18: Largest IV drop — 11.5% change
  • 2009-09-10: Highest IV Rank — 10.3%
  • 2009-09-08: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.57$15.26$15.94$15.54$15.70
Max Pain$15.04$14.23$15.18$14.23$15.18
ATM IV25.8%22.8%28.1%27.5%23.6%
Expected Move7.5%6.5%8.3%7.9%6.8%
HV 20d17.9%15.7%19.5%17.1%17.7%
HV 60d23.3%20.8%26.5%26.5%21.2%
IV Rank7.0%3.0%10.3%9.5%4.1%
IV Percentile7.1%2.0%16.3%9.5%3.6%
Term Structure2.9%1.7%3.9%2.3%3.2%
VWIV26.4%24.2%29.1%26.9%25.2%
Skew 25d4.2%3.0%5.5%5.0%3.5%
Skew 10d8.7%4.7%12.1%11.7%7.0%
Call IV 25d24.7%22.9%26.8%25.4%23.7%
Put IV 25d28.9%26.0%31.7%30.4%27.2%
Bid-Ask Spread %3.462.074.523.652.87
Gamma HHI0.200.160.230.180.19
Net GEX13.2M10.7M15.7M13.3M14.0M
Net DEX-240.0M-325.6M-167.1M-276.7M-210.4M
Net VEX-6.8M-7.2M-6.5M-7.0M-7.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.233.420.791.93
Total Volume47,978.28618,075106,53846,52145,075
Total OI2,435,343.5712,200,4172,591,0062,437,2822,395,819

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$15.54$14.2327.5%7.9%17.1%9.5%26.9%5.0%2.3%13.3M-276.7M-7.0M0.793.6526,00220,5191,407,0291,030,253
2009-09-02$15.45$14.2327.7%7.9%16.6%9.7%27.7%5.5%2.9%12.4M-232.9M-7.0M1.483.4715,61623,1601,412,4521,038,539
2009-09-03$15.26$14.2325.3%7.2%17.1%6.4%25.7%4.9%3.9%10.7M-167.1M-6.8M1.002.0723,91923,8911,415,7021,044,667
2009-09-04$15.55$15.1824.4%8.2%18.0%5.1%28.1%4.5%3.6%13.9M-279.3M-7.1M0.754.5210,3317,7441,424,8141,056,199
2009-09-08$15.38$15.1826.4%8.3%18.5%7.9%29.1%4.9%2.7%12.7M-222.9M-6.7M3.423.6914,58249,8351,427,2371,054,724
2009-09-09$15.34$15.1825.4%8.1%18.4%6.5%28.3%4.2%3.0%12.4M-203.0M-6.5M2.112.959,22119,4301,436,8721,047,877
2009-09-10$15.50$15.1828.1%8.1%18.7%10.3%28.9%5.0%2.9%13.5M-257.2M-6.7M1.353.5216,06521,7551,440,0811,038,030
2009-09-11$15.42$15.1827.7%7.9%18.8%9.7%27.6%4.6%2.8%13.1M-231.7M-6.6M0.533.2613,4237,1741,448,9031,050,043
2009-09-14$15.52$15.1827.5%7.9%18.8%9.5%26.6%5.0%2.4%14.1M-269.9M-6.5M0.323.6642,67613,4681,454,3361,050,719
2009-09-15$15.38$15.1827.5%7.9%19.1%9.4%27.2%4.4%2.5%11.8M-216.0M-6.6M0.734.4361,61344,9251,479,5641,058,000
2009-09-16$15.58$15.1827.2%7.8%19.5%9.0%26.3%4.4%2.2%15.3M-284.2M-6.8M0.483.8124,14511,4841,506,0151,084,991
2009-09-17$15.48$15.1827.4%7.8%17.7%9.2%27.1%4.8%1.7%11.6M-251.9M-6.6M0.383.9124,9139,5271,509,6841,080,920
2009-09-18$15.66$15.1824.2%6.9%17.9%4.9%24.9%4.3%3.0%15.7M-325.6M-6.7M0.233.1045,46210,4241,508,7531,080,252
2009-09-21$15.79$15.1824.4%7.0%15.7%5.1%25.0%3.9%2.8%12.2M-245.5M-6.8M0.743.2150,87237,4931,345,774854,643
2009-09-22$15.94$15.1824.3%7.0%15.9%5.1%25.1%3.0%2.5%14.4M-295.8M-6.8M0.563.4459,74833,4491,381,601876,437
2009-09-23$15.59$15.1825.6%7.3%17.7%6.8%24.8%3.1%3.0%12.5M-195.2M-7.0M0.693.8311,6968,0471,422,304897,597
2009-09-24$15.60$15.1826.2%7.5%17.7%7.6%25.3%3.1%3.0%12.6M-201.6M-7.0M0.613.4021,13412,9161,422,405900,374
2009-09-25$15.56$15.1825.0%7.2%17.6%6.0%24.2%3.5%3.8%12.3M-173.4M-6.9M1.153.3517,83720,5391,427,871906,140
2009-09-28$15.72$15.1822.9%6.6%18.1%3.0%25.2%3.4%2.8%13.9M-225.7M-7.0M1.783.6015,26027,1661,438,135917,343
2009-09-29$15.91$15.1822.8%6.5%18.5%3.0%24.3%3.1%3.8%15.4M-274.5M-7.2M0.822.9030,29424,7141,446,167922,949
2009-09-30$15.70$15.1823.6%6.8%17.7%4.1%25.2%3.5%3.2%14.0M-210.4M-7.1M1.932.8715,40129,6741,460,936934,883