PFE Options History — March 2010

In March 2010, PFE traded between $16.04 and $16.84. ATM implied volatility averaged 21.2%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 5.1% (HV 20d: 16.1%). Max pain ranged from $16.13 to $17.08. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.53.

Notable Days

2010-03-03: Highest Volume — 158,594 contracts
2010-03-11: Largest IV spike — 10.2% change
2010-03-12: Highest IV Rank — 13.4%
2010-03-02: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.42	$16.04	$16.84	$16.84	$16.27
Max Pain	$16.29	$16.13	$17.08	$17.08	$16.13
ATM IV	21.2%	17.6%	23.9%	21.7%	17.6%
Expected Move	6.1%	5.0%	6.9%	6.2%	5.0%
HV 20d	16.1%	13.4%	21.8%	21.8%	16.6%
HV 60d	21.6%	20.4%	22.4%	22.2%	20.4%
IV Rank	4.6%	0.0%	13.4%	3.1%	0.0%
IV Percentile	2.9%	0.0%	11.9%	1.6%	0.0%
Term Structure	2.0%	0.3%	4.5%	1.0%	4.5%
VWIV	21.8%	18.4%	24.2%	22.2%	18.4%
Skew 25d	1.6%	-0.5%	3.8%	1.7%	-0.2%
Skew 10d	3.9%	-1.1%	8.3%	5.7%	0.2%
Call IV 25d	21.7%	19.6%	24.5%	22.4%	19.6%
Put IV 25d	23.3%	19.4%	26.6%	24.1%	19.4%
Bid-Ask Spread %	4.93	2.74	12.27	4.24	6.83
Gamma HHI	0.18	0.17	0.20	0.20	0.19
Net GEX	16.5M	4.7M	25.4M	25.4M	18.2M
Net DEX	-111.1M	-309.4M	100.4M	-258.7M	-107.5M
Net VEX	-8.1M	-8.6M	-7.7M	-8.5M	-8.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.18	1.22	0.31	0.71
Total Volume	67,156.609	21,695	158,594	25,142	28,268
Total OI	2,462,531.478	2,221,195	2,684,942	2,366,656	2,443,012

Daily Data (23 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
2010-03-01	$16.84	$17.08	21.7%	6.2%	21.8%	3.1%	22.2%	1.7%	1.0%	25.4M	-258.7M	-8.5M	0.31	4.24	19,163	5,979	1,461,084	905,572
2010-03-02	$16.70	$17.08	23.9%	6.9%	21.6%	9.4%	24.0%	1.1%	0.3%	22.6M	-197.9M	-8.3M	0.27	4.94	93,123	24,965	1,462,214	908,036
2010-03-03	$16.43	$17.08	23.4%	6.7%	19.6%	8.9%	24.2%	2.5%	1.1%	18.5M	-74.3M	-8.0M	0.37	7.70	115,955	42,639	1,526,934	926,155
2010-03-04	$16.44	$17.08	22.6%	6.5%	16.7%	6.4%	22.4%	2.4%	0.9%	16.4M	-65.1M	-8.0M	0.26	12.27	51,073	13,462	1,516,544	935,663
2010-03-05	$16.58	$16.13	21.7%	6.6%	13.4%	3.5%	22.1%	3.8%	1.4%	21.5M	-160.6M	-8.2M	0.52	4.65	21,624	11,220	1,537,554	929,974
2010-03-08	$16.46	$16.13	22.1%	6.5%	13.5%	4.7%	22.8%	3.1%	1.2%	16.8M	-92.7M	-8.1M	0.48	3.95	14,644	7,051	1,537,076	931,952
2010-03-09	$16.35	$16.13	20.9%	6.5%	13.6%	0.7%	23.7%	2.6%	1.1%	15.5M	-44.2M	-7.8M	1.22	2.92	22,551	27,406	1,545,659	934,806
2010-03-10	$16.27	$16.13	20.0%	6.4%	13.5%	0.0%	22.3%	2.7%	1.4%	9.5M	-3.1M	-7.7M	0.71	3.52	12,688	9,043	1,554,829	957,040
2010-03-11	$16.40	$16.13	22.1%	6.3%	13.8%	7.9%	21.8%	2.6%	1.9%	12.9M	-57.4M	-7.9M	1.16	3.72	21,994	25,478	1,559,501	957,642
2010-03-12	$16.20	$16.13	23.1%	6.6%	13.9%	13.4%	23.3%	2.1%	1.2%	7.5M	28.3M	-7.8M	0.40	3.64	81,264	32,329	1,569,229	970,137
2010-03-15	$16.38	$16.13	22.9%	6.6%	14.6%	12.7%	22.8%	1.9%	1.2%	13.6M	-58.5M	-7.9M	0.30	3.41	34,111	10,212	1,625,641	974,702
2010-03-16	$16.38	$16.13	22.4%	6.4%	14.6%	10.5%	22.4%	2.5%	1.4%	13.7M	-75.5M	-7.9M	0.58	4.45	54,531	31,527	1,634,017	977,578
2010-03-17	$16.33	$16.13	22.4%	6.4%	14.6%	10.2%	22.7%	2.0%	1.1%	9.8M	-49.7M	-8.0M	0.59	2.74	36,632	21,646	1,651,468	996,595
2010-03-18	$16.35	$16.13	21.4%	6.1%	14.5%	6.1%	21.5%	1.6%	1.8%	10.1M	-50.5M	-8.0M	0.65	3.58	22,389	14,598	1,664,910	1,004,776
2010-03-19	$16.04	$16.13	20.1%	5.8%	14.5%	0.4%	20.9%	0.4%	2.8%	4.7M	100.4M	-7.8M	0.94	2.86	69,894	65,417	1,676,018	1,008,924
2010-03-22	$16.27	$16.13	19.7%	5.7%	15.7%	0.0%	20.2%	-0.5%	3.4%	15.4M	-135.5M	-8.1M	0.20	2.75	107,731	21,501	1,342,205	878,990
2010-03-23	$16.64	$16.13	20.0%	5.7%	17.1%	1.4%	20.6%	1.5%	1.2%	22.1M	-261.1M	-8.4M	0.35	6.96	71,645	25,346	1,398,818	891,408
2010-03-24	$16.71	$16.13	20.3%	5.8%	17.0%	2.4%	20.4%	0.4%	1.6%	22.7M	-309.4M	-8.6M	0.18	6.50	66,046	11,692	1,408,736	902,379
2010-03-25	$16.50	$16.13	20.2%	5.8%	17.4%	1.9%	20.4%	1.4%	3.4%	22.1M	-218.3M	-8.4M	0.48	6.74	28,893	13,934	1,440,276	905,465
2010-03-26	$16.26	$16.13	20.0%	5.7%	17.9%	1.2%	21.5%	0.3%	3.8%	18.3M	-130.2M	-8.4M	0.34	6.43	56,772	19,098	1,449,507	911,952
2010-03-29	$16.39	$16.13	19.7%	5.7%	17.6%	0.0%	20.4%	1.1%	3.4%	21.7M	-185.6M	-8.4M	0.42	3.04	30,507	12,717	1,479,285	925,011
2010-03-30	$16.38	$16.13	18.8%	5.4%	17.4%	0.0%	19.6%	0.4%	3.8%	20.6M	-147.4M	-8.4M	0.75	5.63	20,509	15,335	1,485,801	933,149
2010-03-31	$16.27	$16.13	17.6%	5.0%	16.6%	0.0%	18.4%	-0.2%	4.5%	18.2M	-107.5M	-8.4M	0.71	6.83	16,571	11,697	1,496,563	946,449