PFE Options History — December 2009

In December 2009, PFE traded between $16.85 and $17.88. ATM implied volatility averaged 26.1%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 3.5% (HV 20d: 22.7%). Max pain ranged from $16.13 to $16.60. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.65.

Notable Days

  • 2009-12-01: Highest Volume — 142,992 contracts
  • 2009-12-31: Largest IV spike — 15.2% change
  • 2009-12-08: Highest IV Rank — 30.4%
  • 2009-12-09: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.48$16.85$17.88$17.88$17.26
Max Pain$16.54$16.13$16.60$16.13$16.60
ATM IV26.1%23.3%31.1%24.5%27.8%
Expected Move7.5%6.7%8.7%7.0%8.0%
HV 20d22.7%17.2%24.6%20.8%18.0%
HV 60d22.6%21.9%23.4%22.1%21.9%
IV Rank15.9%7.6%30.4%9.2%20.8%
IV Percentile22.7%4.0%53.6%10.7%40.5%
Term Structure1.8%-0.4%4.2%1.8%0.2%
VWIV27.8%24.0%31.5%28.2%27.3%
Skew 25d3.9%2.4%5.5%4.1%3.5%
Skew 10d9.6%7.1%13.3%13.3%9.3%
Call IV 25d25.8%23.3%28.6%24.3%25.2%
Put IV 25d29.6%26.4%32.9%28.4%28.7%
Bid-Ask Spread %2.511.883.993.251.88
Gamma HHI0.220.170.270.210.25
Net GEX45.1M36.3M54.7M48.6M36.3M
Net DEX-1.02B-1.37B-723.8M-1.37B-723.8M
Net VEX-8.0M-8.6M-7.2M-8.5M-7.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.181.370.490.87
Total Volume69,746.40917,140142,992142,99234,408
Total OI3,060,859.52,760,4573,296,9053,097,2902,850,667

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$17.88$16.1324.5%7.0%20.8%9.2%28.2%4.1%1.8%48.6M-1.37B-8.5M0.493.2596,28046,7121,990,9441,106,346
2009-12-02$17.78$16.1324.9%7.1%21.0%12.0%27.3%4.9%1.1%50.0M-1.31B-8.6M1.372.6350,17168,8462,017,2631,111,585
2009-12-03$17.69$16.1325.2%7.2%21.3%12.9%28.3%3.5%0.6%49.4M-1.28B-8.4M0.402.8737,96015,2772,011,1891,119,571
2009-12-04$17.54$16.6027.7%7.6%21.8%20.1%29.7%5.5%3.1%48.2M-1.16B-8.4M1.062.9030,99332,7252,022,4641,121,647
2009-12-07$17.13$16.6028.4%8.4%23.8%22.6%31.0%4.9%0.2%45.0M-936.0M-8.2M0.642.4146,89629,8502,024,3311,127,274
2009-12-08$16.85$16.6031.1%8.5%22.9%30.4%30.6%4.3%0.2%42.0M-764.2M-8.2M1.041.9050,04952,0102,030,5311,137,585
2009-12-09$17.31$16.6030.2%8.7%24.6%27.8%31.5%5.4%-0.4%46.7M-1.02B-8.3M0.752.4547,38735,7642,036,2051,163,510
2009-12-10$17.38$16.6027.3%7.8%24.6%19.4%29.8%4.5%2.6%48.5M-1.06B-8.4M0.582.6339,36522,9422,045,9571,171,376
2009-12-11$17.36$16.6027.0%7.7%24.6%18.4%27.5%4.3%2.8%49.9M-1.09B-8.3M0.183.9961,05710,8372,058,9431,185,446
2009-12-14$17.46$16.6027.7%7.9%24.6%20.5%29.1%3.8%2.0%52.0M-1.15B-8.3M0.722.6265,05046,9262,087,5851,186,923
2009-12-15$17.35$16.6027.2%7.8%23.9%19.1%29.4%4.0%1.9%53.6M-1.06B-8.1M0.552.5140,30021,9622,098,5521,198,353
2009-12-16$17.47$16.6026.7%7.6%24.0%17.5%29.3%4.2%2.8%54.7M-1.11B-8.1M0.292.6858,81517,0772,096,1691,195,829
2009-12-17$17.29$16.6028.8%8.3%23.8%23.8%28.6%3.7%0.3%49.2M-1.01B-7.8M0.631.9244,16427,7172,073,0341,192,167
2009-12-18$17.36$16.6025.0%7.2%23.8%12.6%26.3%3.6%3.6%48.6M-1.07B-7.8M0.392.3483,30132,3352,074,6821,196,626
2009-12-21$17.66$16.6023.9%6.9%24.1%9.5%25.2%4.1%2.3%36.7M-901.8M-7.8M0.552.3041,32922,5811,740,8431,019,614
2009-12-22$17.66$16.6024.0%6.9%23.9%9.6%24.9%3.2%2.0%36.9M-905.0M-7.7M0.512.0927,00013,9001,750,7171,030,024
2009-12-23$17.63$16.6023.3%6.7%23.4%7.6%24.0%3.1%2.5%38.0M-890.4M-7.5M0.662.7726,92017,6641,760,1271,032,397
2009-12-24$17.65$16.6023.4%6.7%22.8%8.1%25.2%2.8%2.2%39.1M-890.8M-7.5M0.702.5110,0867,0541,767,6271,038,186
2009-12-28$17.68$16.6023.4%6.7%21.7%8.0%27.8%3.2%2.4%39.1M-928.3M-7.3M1.071.9912,00612,8981,764,5311,040,157
2009-12-29$17.61$16.6023.9%6.8%21.7%9.4%24.1%2.5%2.2%38.7M-885.5M-7.3M0.242.5657,56313,8541,768,3591,042,822
2009-12-30$17.55$16.6024.1%6.9%17.2%10.1%26.0%2.4%4.2%41.2M-886.3M-7.3M0.631.9914,9939,3971,802,8601,047,891
2009-12-31$17.26$16.6027.8%8.0%18.0%20.8%27.3%3.5%0.2%36.3M-723.8M-7.2M0.871.8818,44015,9681,802,4181,048,249