PFE Options History — February 2010

In February 2010, PFE traded between $16.65 and $18.25. ATM implied volatility averaged 24.9%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 0.4% (HV 20d: 25.2%). Max pain ranged from $17.08 to $18.03. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.66.

Notable Days

  • 2010-02-02: Highest Volume — 1,204,891 contracts
  • 2010-02-04: Largest IV spike — 21.9% change
  • 2010-02-05: Highest IV Rank — 24.3%
  • 2010-02-05: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.06$16.65$18.25$17.83$16.65
Max Pain$17.28$17.08$18.03$18.03$17.08
ATM IV24.9%21.0%29.0%27.4%21.0%
Expected Move7.2%6.0%8.6%7.9%6.0%
HV 20d25.2%21.3%28.7%26.6%21.3%
HV 60d23.7%22.2%24.7%22.2%23.4%
IV Rank12.2%1.0%24.3%19.7%1.0%
IV Percentile19.8%0.4%58.3%38.9%0.4%
Term Structure0.8%-0.8%1.8%-0.8%1.4%
VWIV26.7%21.9%45.9%27.8%21.9%
Skew 25d3.5%1.5%5.1%4.0%2.2%
Skew 10d8.6%4.8%11.1%9.3%4.8%
Call IV 25d25.1%22.0%28.7%27.0%22.0%
Put IV 25d28.6%24.2%33.7%31.1%24.2%
Bid-Ask Spread %3.642.364.853.134.56
Gamma HHI0.250.190.460.420.19
Net GEX22.4M13.4M43.3M33.1M21.3M
Net DEX-316.7M-831.3M-146.3M-651.8M-181.0M
Net VEX-8.5M-8.9M-8.2M-8.5M-8.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.051.900.520.87
Total Volume149,553.63216,7821,204,89157,38043,529
Total OI2,372,892.2112,149,6412,559,9222,149,6412,344,220

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-02-01$17.83$18.0327.4%7.9%26.6%19.7%27.8%4.0%-0.8%33.1M-651.8M-8.5M0.523.1337,68319,6971,411,872737,769
2010-02-02$18.25$18.0325.7%7.4%24.0%14.8%45.9%3.7%0.1%43.3M-831.3M-8.6M0.054.311,146,94857,9431,431,365750,099
2010-02-03$17.67$18.0322.9%6.6%26.3%6.6%23.5%2.6%1.5%31.3M-556.2M-8.6M0.293.83186,42053,1661,441,144777,017
2010-02-04$17.11$18.0328.0%8.0%28.7%21.3%28.1%2.8%1.0%21.8M-369.2M-8.7M0.814.04120,74497,6171,497,078805,640
2010-02-05$17.04$17.0829.0%8.6%28.7%24.3%29.6%5.0%-0.1%22.5M-351.0M-8.8M0.544.8590,30149,1401,506,810845,007
2010-02-08$16.93$17.0827.4%8.2%28.5%19.6%28.7%5.1%-0.0%19.3M-283.1M-8.6M1.903.4624,91447,3271,543,229863,440
2010-02-09$16.96$17.0826.6%8.2%28.3%17.4%28.0%4.7%0.2%17.6M-269.4M-8.7M0.464.0639,89118,3551,549,434894,873
2010-02-10$16.83$17.0825.3%7.9%28.4%13.4%28.3%4.5%0.4%15.5M-207.8M-8.6M0.443.5224,95311,0131,559,534902,718
2010-02-11$16.95$17.0826.0%7.5%27.0%15.7%26.1%4.6%1.3%17.2M-254.7M-8.7M0.333.6084,44927,5381,573,581908,156
2010-02-12$16.89$17.0825.4%7.3%26.6%13.9%26.4%4.6%1.7%16.3M-260.3M-8.9M0.843.959,1377,6451,635,649924,273
2010-02-16$16.81$17.0825.9%7.4%26.3%15.4%26.2%4.2%0.6%13.4M-166.5M-8.5M0.393.8636,88614,2091,591,261923,289
2010-02-17$16.76$17.0825.2%7.2%23.7%13.1%25.7%3.8%0.8%14.9M-147.1M-8.3M0.503.8423,92411,9311,611,211922,893
2010-02-18$16.82$17.0823.6%6.8%24.0%8.7%25.1%3.5%1.5%16.8M-146.3M-8.3M0.933.2148,89745,4721,622,162923,459
2010-02-19$17.07$17.0823.0%6.6%22.2%6.7%22.9%3.0%1.8%19.8M-248.6M-8.3M0.263.30133,15334,1241,589,421904,571
2010-02-22$17.03$17.0821.5%6.2%21.8%2.4%21.9%2.7%1.1%27.1M-332.5M-8.3M0.563.7060,87134,0531,389,400824,230
2010-02-23$16.76$17.0823.2%6.6%22.3%7.3%23.9%2.2%0.3%24.6M-240.1M-8.2M1.782.7924,44643,5661,425,487841,448
2010-02-24$16.90$17.0822.9%6.6%22.6%6.4%23.6%1.5%0.6%26.0M-278.9M-8.4M0.362.3657,65320,8521,421,218873,988
2010-02-25$16.78$17.0822.3%6.4%22.0%4.9%23.6%1.8%1.1%24.0M-241.5M-8.4M0.712.7231,08721,9851,435,338882,668
2010-02-26$16.65$17.0821.0%6.0%21.3%1.0%21.9%2.2%1.4%21.3M-181.0M-8.3M0.874.5623,27320,2561,450,760893,460