PFE Options History — April 2010

In April 2010, PFE traded between $15.62 and $16.40. ATM implied volatility averaged 19.3%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 4.0% (HV 20d: 15.3%). Max pain ranged from $16.13 to $16.13. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2010-04-22: Highest Volume — 268,605 contracts
  • 2010-04-15: Largest IV spike — 40.9% change
  • 2010-04-30: Highest IV Rank — 45.4%
  • 2010-04-27: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.02$15.62$16.40$16.20$15.86
Max Pain$16.13$16.13$16.13$16.13$16.13
ATM IV19.3%14.4%25.4%17.1%24.9%
Expected Move6.1%4.9%7.3%4.9%7.1%
HV 20d15.3%10.8%17.2%16.6%17.2%
HV 60d18.7%16.7%20.3%20.2%16.7%
IV Rank17.2%0.0%45.4%0.0%45.4%
IV Percentile9.6%0.0%40.9%0.0%36.9%
Term Structure1.2%-0.7%4.9%4.9%1.0%
VWIV21.7%17.2%25.6%17.2%25.5%
Skew 25d2.7%-0.4%3.7%-0.4%2.6%
Skew 10d6.2%0.0%8.1%0.0%6.1%
Call IV 25d20.8%18.0%25.3%19.7%25.3%
Put IV 25d23.5%19.3%27.9%19.3%27.9%
Bid-Ask Spread %3.562.617.994.233.78
Gamma HHI0.170.160.200.170.19
Net GEX11.7M2.7M17.4M15.2M16.6M
Net DEX-4.3M-193.4M192.8M-54.9M-39.3M
Net VEX-8.6M-9.6M-7.9M-8.1M-9.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.161.500.620.68
Total Volume85,511.90542,174268,60549,12950,171
Total OI2,668,159.3332,450,5132,966,7682,450,5132,966,768

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$16.20$16.1317.1%4.9%16.6%0.0%17.2%-0.4%4.9%15.2M-54.9M-8.1M0.624.2330,38718,7421,501,683948,830
2010-04-05$16.03$16.1317.5%6.3%16.6%2.0%22.5%2.9%0.1%9.9M34.2M-7.9M0.203.3282,62316,7621,510,887953,493
2010-04-06$16.09$16.1317.1%6.2%16.6%0.3%21.9%2.8%0.1%12.6M-23.5M-8.1M0.483.3130,26514,4511,531,584963,150
2010-04-07$16.20$16.1316.7%6.2%16.6%0.0%21.6%2.5%0.4%15.3M-87.4M-8.2M0.653.4926,26617,0331,543,839967,282
2010-04-08$16.26$16.1315.8%6.1%16.6%0.0%21.7%3.5%0.4%16.5M-133.1M-8.3M0.202.8163,58612,7051,543,839967,282
2010-04-09$16.37$16.1314.4%6.1%16.5%0.0%21.2%3.0%0.4%17.4M-160.6M-8.5M1.503.1716,89825,2761,573,485983,586
2010-04-12$16.40$16.1316.8%6.2%15.9%8.9%21.9%3.7%0.5%16.4M-193.4M-8.6M1.012.9635,69235,8981,577,9511,009,515
2010-04-13$16.30$16.1315.5%6.1%15.6%4.2%21.6%3.0%0.6%13.7M-126.1M-8.3M0.443.3171,27131,1111,590,7451,020,735
2010-04-14$16.20$16.1314.8%6.0%15.8%1.6%21.1%2.9%1.0%11.7M-41.5M-8.4M0.493.8262,17530,2161,605,9391,044,024
2010-04-15$16.12$16.1320.9%6.0%15.8%24.1%21.2%2.7%1.0%15.9M-34.9M-8.5M0.312.7371,81122,0581,640,2411,058,072
2010-04-16$15.94$16.1319.8%5.7%16.3%20.3%20.5%2.6%1.9%5.8M135.2M-8.2M0.852.6149,59942,3581,657,3761,066,564
2010-04-19$15.93$16.1319.1%5.5%14.9%17.4%19.5%2.5%1.9%4.6M99.0M-8.2M0.827.9941,34634,0761,509,1671,022,238
2010-04-20$15.90$16.1318.0%5.2%13.9%13.4%18.4%2.2%2.8%4.4M111.8M-8.1M0.302.9967,06220,2251,532,8471,040,275
2010-04-21$15.75$16.1318.9%5.4%11.0%16.9%19.8%2.6%2.1%2.7M178.2M-8.2M0.373.7978,26828,8821,581,3431,050,056
2010-04-22$15.64$16.1322.9%6.6%10.8%31.8%23.0%3.3%-0.7%3.9M192.8M-8.2M0.313.16205,75262,8531,636,7021,061,951
2010-04-23$16.04$16.1321.1%6.0%14.4%24.9%21.6%2.5%2.3%11.9M-16.3M-9.2M0.163.7198,60015,8081,707,5181,096,752
2010-04-26$15.96$16.1322.0%6.3%13.7%28.3%21.9%2.5%1.5%12.8M-20.7M-9.1M0.173.8285,91314,9831,737,9181,094,009
2010-04-27$15.62$16.1325.4%7.3%15.1%41.2%25.0%3.2%-0.5%9.6M123.9M-9.0M0.933.4621,87720,3401,792,9831,102,714
2010-04-28$15.68$16.1324.3%7.0%15.2%42.7%25.6%3.4%1.4%12.0M50.8M-9.3M0.373.2049,30318,0761,789,8761,106,140
2010-04-29$16.00$16.1323.3%6.7%17.0%38.4%23.5%2.5%2.2%17.4M-85.1M-9.5M0.243.0560,50114,5311,823,8951,118,092
2010-04-30$15.86$16.1324.9%7.1%17.2%45.4%25.5%2.6%1.0%16.6M-39.3M-9.6M0.683.7829,88820,2831,848,2141,118,554