PFE Options History — January 2010

In January 2010, PFE traded between $17.58 and $18.98. ATM implied volatility averaged 26.3%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 3.3% (HV 20d: 22.9%). Max pain ranged from $16.13 to $18.03. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.49.

Notable Days

2010-01-13: Highest Volume — 389,232 contracts
2010-01-21: Largest IV spike — 13.0% change
2010-01-22: Highest IV Rank — 26.1%
2010-01-22: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.03	$17.58	$18.98	$17.96	$17.70
Max Pain	$17.43	$16.13	$18.03	$17.08	$18.03
ATM IV	26.3%	23.7%	29.6%	26.1%	27.5%
Expected Move	7.5%	6.8%	8.5%	7.8%	7.9%
HV 20d	22.9%	19.0%	27.4%	23.2%	27.3%
HV 60d	22.6%	21.8%	23.5%	23.3%	22.2%
IV Rank	16.3%	8.9%	26.1%	15.9%	19.9%
IV Percentile	27.8%	7.5%	58.7%	21.4%	39.3%
Term Structure	-0.5%	-1.3%	0.2%	-0.9%	0.2%
VWIV	26.9%	23.5%	31.7%	27.2%	28.2%
Skew 25d	3.9%	2.9%	5.0%	4.5%	5.0%
Skew 10d	8.3%	6.4%	9.6%	9.3%	9.5%
Call IV 25d	25.2%	22.6%	28.4%	25.6%	26.8%
Put IV 25d	29.1%	25.8%	33.0%	30.1%	31.8%
Bid-Ask Spread %	3.79	2.85	4.85	4.46	4.62
Gamma HHI	0.39	0.27	0.48	0.30	0.43
Net GEX	41.2M	29.7M	61.7M	46.2M	31.3M
Net DEX	-969.3M	-1.62B	-620.6M	-1.09B	-632.3M
Net VEX	-7.8M	-8.9M	-6.9M	-7.3M	-8.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.18	1.72	0.49	0.50
Total Volume	92,651.158	27,127	389,232	44,131	41,272
Total OI	2,508,930.105	1,835,571	3,248,414	2,865,042	2,128,339

Daily Data (19 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
2010-01-04	$17.96	$17.08	26.1%	7.8%	23.2%	15.9%	27.2%	4.5%	-0.9%	46.2M	-1.09B	-7.3M	0.49	4.46	29,690	14,441	1,805,597	1,059,445
2010-01-05	$17.70	$18.03	26.1%	7.7%	23.6%	15.8%	28.1%	4.1%	-0.3%	43.4M	-916.5M	-7.1M	0.48	4.07	20,275	9,711	1,812,101	1,065,891
2010-01-06	$17.65	$18.03	26.6%	7.6%	21.9%	17.3%	26.8%	4.0%	-0.6%	43.0M	-956.5M	-7.0M	0.38	4.05	35,972	13,597	1,814,069	1,067,063
2010-01-07	$17.58	$18.03	26.3%	7.5%	20.9%	16.6%	26.3%	3.6%	-0.4%	42.4M	-923.2M	-6.9M	0.19	3.78	46,942	8,974	1,833,798	1,074,174
2010-01-08	$17.72	$18.03	24.3%	7.2%	19.0%	10.6%	31.1%	3.9%	0.1%	44.1M	-1.01B	-7.0M	0.32	3.22	26,324	8,507	1,853,788	1,072,910
2010-01-11	$17.87	$16.13	25.7%	7.2%	19.1%	14.6%	26.0%	3.6%	-0.8%	48.8M	-1.08B	-6.9M	0.67	3.61	16,239	10,888	1,867,838	1,075,923
2010-01-12	$17.81	$16.13	26.8%	7.2%	19.1%	18.0%	28.9%	3.8%	-0.8%	48.0M	-1.05B	-6.9M	0.34	3.41	57,407	19,441	1,873,368	1,078,514
2010-01-13	$18.23	$16.13	25.5%	7.1%	20.6%	14.1%	24.6%	3.1%	-0.9%	54.7M	-1.28B	-7.0M	0.18	2.85	329,815	59,417	1,898,026	1,089,340
2010-01-14	$18.39	$16.13	24.5%	7.0%	20.5%	11.1%	23.7%	3.6%	-0.5%	61.7M	-1.62B	-8.9M	0.50	2.86	84,021	42,329	2,116,249	1,132,165
2010-01-15	$18.49	$16.13	24.6%	7.0%	20.5%	11.4%	23.5%	2.9%	-0.3%	52.3M	-1.37B	-8.1M	0.18	3.42	190,169	33,754	1,960,259	1,158,205
2010-01-19	$18.98	$17.08	24.2%	6.9%	21.4%	10.2%	24.4%	3.1%	-1.2%	35.4M	-1.09B	-8.2M	0.24	2.89	84,802	20,623	1,218,598	616,973
2010-01-20	$18.92	$18.03	23.7%	6.8%	21.6%	8.9%	23.7%	3.2%	0.1%	37.7M	-1.09B	-8.4M	0.41	4.40	53,636	21,826	1,258,546	625,651
2010-01-21	$18.25	$18.03	26.8%	7.7%	25.3%	17.9%	26.7%	3.4%	-0.9%	35.0M	-835.4M	-8.3M	0.70	3.23	42,359	29,505	1,283,009	635,371
2010-01-22	$17.99	$18.03	29.6%	8.5%	25.9%	26.1%	31.7%	4.7%	-1.3%	31.0M	-752.4M	-8.3M	1.72	3.98	33,154	57,073	1,301,276	645,480
2010-01-25	$17.88	$18.03	27.3%	7.8%	26.0%	19.2%	27.6%	4.8%	-0.6%	29.7M	-684.0M	-8.3M	0.62	4.22	55,347	34,506	1,317,156	695,797
2010-01-26	$17.82	$18.03	27.8%	8.0%	26.1%	21.0%	27.3%	4.2%	-0.8%	30.0M	-639.0M	-8.4M	0.29	4.85	64,852	18,701	1,330,688	701,147
2010-01-27	$18.03	$18.03	27.6%	7.9%	26.4%	20.3%	27.9%	4.7%	-0.5%	36.9M	-762.2M	-8.5M	0.56	3.60	32,442	18,311	1,382,105	713,661
2010-01-28	$17.68	$18.03	28.1%	8.0%	27.4%	21.6%	27.9%	4.4%	0.0%	30.4M	-620.6M	-8.2M	0.49	4.43	63,186	30,864	1,385,195	721,957
2010-01-29	$17.70	$18.03	27.5%	7.9%	27.3%	19.9%	28.2%	5.0%	0.2%	31.3M	-632.3M	-8.3M	0.50	4.62	27,535	13,737	1,398,874	729,465