PFE Options History — November 2009

In November 2009, PFE traded between $16.02 and $17.64. ATM implied volatility averaged 25.1%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 2.3% (HV 20d: 22.8%). Max pain ranged from $16.13 to $16.13. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.54.

Notable Days

  • 2009-11-03: Highest Volume — 456,161 contracts
  • 2009-11-27: Largest IV spike — 17.6% change
  • 2009-11-02: Highest IV Rank — 15.9%
  • 2009-11-02: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.84$16.02$17.64$16.08$17.24
Max Pain$16.13$16.13$16.13$16.13$16.13
ATM IV25.1%22.6%28.1%28.1%26.8%
Expected Move7.3%6.5%8.1%8.1%7.7%
HV 20d22.8%17.4%27.0%27.0%17.4%
HV 60d21.1%20.8%21.7%21.0%21.2%
IV Rank9.6%4.6%15.9%15.9%14.7%
IV Percentile11.5%1.2%29.4%29.4%23.0%
Term Structure1.8%-1.3%3.1%1.9%1.5%
VWIV26.7%24.5%37.9%28.5%27.0%
Skew 25d4.2%1.9%5.3%2.5%4.2%
Skew 10d9.8%3.3%13.3%5.3%10.1%
Call IV 25d24.5%22.4%28.1%28.1%25.4%
Put IV 25d28.7%26.7%30.6%30.6%29.6%
Bid-Ask Spread %5.112.5035.254.513.36
Gamma HHI0.190.160.260.160.17
Net GEX42.6M24.1M65.5M24.6M43.3M
Net DEX-815.2M-1.31B-304.1M-311.3M-1.02B
Net VEX-8.4M-8.6M-8.2M-8.3M-8.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.081.200.430.74
Total Volume84,536.3519,402456,16169,42530,945
Total OI3,176,822.13,052,7613,259,5393,148,9773,086,040

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-11-02$16.08$16.1328.1%8.1%27.0%15.9%28.5%2.5%1.9%24.6M-311.3M-8.3M0.434.5148,52720,8982,008,3611,140,616
2009-11-03$16.02$16.1327.0%7.7%25.8%13.5%37.9%2.3%2.1%24.1M-304.1M-8.4M0.123.99407,28548,8762,024,5231,140,211
2009-11-04$16.06$16.1326.6%7.6%25.8%12.5%27.1%2.7%2.3%26.8M-323.9M-8.5M0.824.7516,43513,4842,004,6611,156,455
2009-11-05$16.15$16.1325.5%7.3%25.8%10.2%25.6%1.9%2.2%29.0M-361.8M-8.4M1.2035.2554,22265,2102,004,8001,154,509
2009-11-06$16.09$16.1323.6%7.6%25.4%6.2%27.1%4.7%1.1%29.3M-330.4M-8.3M0.533.0913,4637,0732,062,5361,158,792
2009-11-09$16.54$16.1325.2%7.6%27.0%9.7%26.1%3.9%0.5%38.5M-606.8M-8.5M0.433.0433,48114,3902,058,2801,148,309
2009-11-10$16.66$16.1323.3%7.1%26.0%5.6%26.5%4.4%2.2%42.0M-711.9M-8.5M0.553.2233,80318,4622,056,5041,138,797
2009-11-11$16.72$16.1323.9%6.9%23.1%6.9%25.5%4.3%2.6%43.0M-726.9M-8.4M0.873.8735,69131,2162,058,0141,149,860
2009-11-12$16.72$16.1324.4%7.0%22.3%8.0%25.2%4.8%2.7%43.4M-755.7M-8.5M0.214.6533,6006,9202,065,4861,158,142
2009-11-13$16.69$16.1324.3%7.0%22.2%7.8%25.7%4.6%2.7%44.0M-756.2M-8.5M0.083.7163,0185,1302,077,4001,159,577
2009-11-16$17.02$16.1325.0%7.2%22.9%9.2%25.9%5.2%2.3%54.4M-996.1M-8.6M0.443.5943,85419,4042,092,7351,160,114
2009-11-17$17.02$16.1324.7%7.1%22.9%8.5%25.1%5.1%2.7%58.0M-970.0M-8.6M0.403.6939,91816,1312,091,2891,154,765
2009-11-18$17.26$16.1324.8%7.1%20.6%8.7%25.1%4.7%2.6%62.0M-1.17B-8.4M0.672.9255,04436,7472,085,8181,159,855
2009-11-19$17.18$16.1324.5%7.0%20.6%8.2%25.1%4.9%3.1%65.5M-1.14B-8.5M0.372.5031,30611,6162,090,5151,169,024
2009-11-20$17.42$16.1326.3%7.5%19.6%12.0%26.2%5.3%-1.3%45.2M-1.31B-8.5M0.203.32122,46224,7132,079,4531,173,739
2009-11-23$17.58$16.1323.6%6.8%19.3%6.7%27.3%4.6%1.4%45.4M-1.19B-8.6M0.253.39106,94727,0471,968,0601,084,701
2009-11-24$17.37$16.1324.7%7.1%20.1%9.7%24.8%3.9%-0.2%44.2M-1.07B-8.5M0.553.4043,94924,1591,969,3951,093,291
2009-11-25$17.64$16.1322.6%6.5%20.4%4.6%24.5%4.7%1.6%46.6M-1.21B-8.5M0.942.5733,93931,9601,976,4631,100,175
2009-11-27$17.31$16.1326.6%7.6%21.0%14.1%26.7%4.6%1.6%43.5M-1.04B-8.4M0.933.3210,0569,3461,975,6981,099,479
2009-11-30$17.24$16.1326.8%7.7%17.4%14.7%27.0%4.2%1.5%43.3M-1.02B-8.2M0.743.3617,78813,1571,981,5531,104,487