PFE Options History — October 2009

In October 2009, PFE traded between $15.32 and $17.06. ATM implied volatility averaged 26.8%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 4.6% (HV 20d: 22.2%). Max pain ranged from $15.18 to $16.13. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.58.

Notable Days

  • 2009-10-19: Highest Volume — 423,287 contracts
  • 2009-10-14: Largest IV spike — 25.6% change
  • 2009-10-14: Highest IV Rank — 25.7%
  • 2009-10-14: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.26$15.32$17.06$15.47$16.16
Max Pain$15.83$15.18$16.13$15.18$16.13
ATM IV26.8%23.2%35.2%26.1%28.5%
Expected Move7.9%7.0%8.8%7.5%8.2%
HV 20d22.2%17.7%27.3%18.4%27.3%
HV 60d20.4%19.5%21.4%21.4%21.1%
IV Rank11.2%3.5%25.7%7.5%16.7%
IV Percentile16.7%3.2%57.5%8.3%31.3%
Term Structure0.6%-2.4%4.0%3.6%1.8%
VWIV27.9%24.4%31.4%25.8%29.3%
Skew 25d3.1%2.5%3.7%3.3%2.5%
Skew 10d5.8%4.1%8.3%5.4%5.1%
Call IV 25d26.4%23.9%28.8%25.2%28.3%
Put IV 25d29.5%26.4%31.5%28.5%30.8%
Bid-Ask Spread %3.852.045.533.314.11
Gamma HHI0.190.160.230.190.16
Net GEX23.5M10.3M34.5M11.5M25.7M
Net DEX-470.7M-856.4M-61.4M-119.7M-370.2M
Net VEX-7.8M-8.5M-7.0M-7.1M-8.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.211.000.950.81
Total Volume101,777.63627,447423,28729,59672,724
Total OI2,733,809.6822,413,6723,123,2102,413,6723,123,210

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$15.47$15.1826.1%7.5%18.4%7.5%25.8%3.3%3.6%11.5M-119.7M-7.1M0.953.3115,17514,4211,462,127951,545
2009-10-02$15.32$15.1825.7%7.4%18.2%7.0%26.1%3.0%4.0%10.3M-61.4M-7.0M1.003.6619,60419,6961,466,632949,019
2009-10-05$15.56$16.1326.7%8.4%17.7%8.3%28.7%3.4%0.0%12.7M-163.8M-7.0M0.543.5742,85523,1531,470,883951,809
2009-10-06$15.92$16.1326.3%8.3%18.9%7.8%28.7%3.5%-0.0%15.9M-308.2M-7.2M0.313.3063,43519,8161,475,683961,619
2009-10-07$15.83$16.1325.6%8.2%19.1%6.8%28.6%3.4%-0.1%17.1M-279.4M-7.4M0.513.3918,1929,2551,522,730974,787
2009-10-08$15.84$16.1324.0%7.9%18.8%4.6%27.8%3.4%0.3%18.1M-297.4M-7.2M0.373.5625,1439,4201,529,636976,844
2009-10-09$16.05$16.1323.2%8.2%19.1%3.5%29.9%3.1%-0.7%21.8M-392.7M-7.4M0.613.1232,77320,1371,552,597979,523
2009-10-12$16.22$15.1828.5%8.4%19.2%10.9%28.9%3.1%-0.7%23.9M-498.6M-7.3M0.334.0064,12521,1461,557,255979,346
2009-10-13$15.92$15.1828.1%8.3%20.3%13.0%29.1%3.0%-1.2%23.8M-359.2M-7.4M0.873.9721,63718,7781,592,930989,773
2009-10-14$16.48$15.1835.2%8.8%23.1%25.7%31.4%2.8%-2.4%26.2M-619.0M-7.5M0.444.36127,39655,4321,594,875998,607
2009-10-15$16.76$15.1829.1%8.3%23.4%14.9%29.8%3.4%-1.7%28.1M-793.8M-7.7M0.874.2672,04162,8171,640,5781,017,344
2009-10-16$16.86$15.1826.9%7.7%23.2%13.2%28.8%3.7%-0.4%22.1M-786.6M-7.7M0.473.9990,13141,9951,645,9951,070,200
2009-10-19$17.06$16.1327.9%8.0%23.3%15.3%28.8%3.7%-1.2%24.2M-793.8M-7.6M0.214.40350,60072,6871,583,323987,058
2009-10-20$17.01$16.1325.0%7.2%23.3%9.2%25.7%2.8%0.6%34.5M-856.4M-8.4M0.563.82161,94090,8891,841,3041,032,440
2009-10-21$16.52$16.1326.4%7.6%24.5%12.2%26.5%2.5%0.5%27.8M-569.0M-8.3M0.715.5393,60566,3601,854,9501,077,782
2009-10-22$16.66$16.1324.3%7.0%24.6%7.7%24.4%2.5%2.1%28.8M-606.9M-8.5M0.502.5557,91328,8281,886,3631,108,735
2009-10-23$16.37$16.1326.5%7.6%25.6%12.3%26.4%2.5%1.8%27.2M-468.3M-8.3M0.573.4549,68828,3971,913,2451,095,612
2009-10-26$16.24$16.1326.8%7.7%25.7%13.0%27.4%2.8%1.9%26.0M-422.4M-8.2M0.795.3972,30457,2731,938,1801,107,696
2009-10-27$16.38$16.1326.9%7.7%25.5%13.3%26.8%3.2%1.5%29.3M-516.2M-8.4M0.364.3821,9567,8391,973,2211,112,840
2009-10-28$16.33$16.1327.8%8.0%25.0%15.2%28.5%3.0%2.2%28.1M-470.0M-8.4M0.744.6133,76024,9531,968,5121,112,694
2009-10-29$16.65$16.1325.0%7.2%24.9%9.2%26.6%3.6%2.0%32.7M-603.1M-8.5M0.222.0431,7127,1071,981,4641,132,847
2009-10-30$16.16$16.1328.5%8.2%27.3%16.7%29.3%2.5%1.8%25.7M-370.2M-8.3M0.814.1140,13532,5891,987,0781,136,132