PFE Options History — May 2010

In May 2010, PFE traded between $14.29 and $16.38. ATM implied volatility averaged 28.9%, placing in the 62.9% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 3.9% (HV 20d: 25.0%). Max pain ranged from $16.13 to $16.13. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2010-05-04: Highest Volume — 1,176,348 contracts
  • 2010-05-20: Largest IV spike — 28.7% change
  • 2010-05-20: Highest IV Rank — 100.0%
  • 2010-05-20: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.30$14.29$16.38$16.04$14.45
Max Pain$16.13$16.13$16.13$16.13$16.13
ATM IV28.9%21.8%38.9%26.7%28.5%
Expected Move8.4%6.9%11.2%7.7%8.2%
HV 20d25.0%17.3%29.7%17.3%27.4%
HV 60d18.9%15.6%20.8%15.6%20.8%
IV Rank62.9%31.7%100.0%53.2%57.5%
IV Percentile70.2%13.1%100.0%54.0%79.8%
Term Structure0.2%-3.3%1.6%-0.0%1.6%
VWIV30.3%25.8%37.9%27.7%28.5%
Skew 25d6.5%2.3%11.2%2.3%6.3%
Skew 10d14.6%4.9%25.2%6.2%13.8%
Call IV 25d27.4%23.1%34.5%26.7%27.2%
Put IV 25d33.9%28.1%45.8%29.0%33.6%
Bid-Ask Spread %3.752.7311.134.063.32
Gamma HHI0.190.160.240.200.19
Net GEX11.1M-3.4M32.0M19.7M1.9M
Net DEX144.8M-407.5M568.5M-141.4M443.1M
Net VEX-9.2M-10.6M-8.0M-9.6M-8.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.051.780.490.29
Total Volume156,18828,1551,176,348176,32736,074
Total OI3,154,320.952,981,6253,271,3862,981,6253,221,283

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$16.04$16.1326.7%7.7%17.3%53.2%27.7%2.3%-0.0%19.7M-141.4M-9.6M0.494.06118,52957,7981,855,7671,125,858
2010-05-04$16.38$16.1324.4%7.0%18.8%43.0%37.9%3.4%0.9%29.0M-352.9M-10.2M0.052.901,124,70751,6411,920,8721,143,295
2010-05-05$16.30$16.1324.7%7.1%18.7%44.5%26.2%4.0%1.4%32.0M-407.5M-10.6M0.572.9970,14540,2261,953,0011,161,825
2010-05-06$15.88$16.1329.9%8.6%20.8%66.9%32.5%4.8%-1.8%20.9M-187.7M-10.4M1.6311.1357,01393,0901,933,1661,161,072
2010-05-07$15.62$16.1334.2%9.5%21.4%85.3%31.6%6.8%-1.3%16.5M-8.8M-10.3M0.634.7460,08537,7461,952,3931,204,365
2010-05-10$16.13$16.1325.8%7.6%24.6%49.2%26.7%5.4%0.7%25.9M-297.0M-10.6M1.303.4629,41738,3551,951,4481,210,667
2010-05-11$16.14$16.1323.9%7.5%24.5%40.9%25.8%5.8%1.0%24.7M-231.2M-10.2M0.854.1355,44547,2461,937,8031,226,420
2010-05-12$16.03$16.1321.8%6.9%24.5%31.7%26.0%5.0%1.6%23.0M-155.4M-9.8M0.483.6719,0849,0711,944,7681,235,537
2010-05-13$15.71$16.1324.6%7.0%25.5%48.9%26.7%5.2%1.1%13.8M39.2M-9.6M0.292.8833,9879,9221,943,6681,227,738
2010-05-14$15.37$16.1329.2%8.4%26.3%71.2%28.2%6.2%-0.2%8.3M200.2M-9.3M0.853.5363,09053,8511,949,0141,232,590
2010-05-17$15.28$16.1329.9%8.6%26.4%74.3%31.5%6.7%-0.1%4.3M240.4M-9.0M1.103.0553,95859,4961,956,6361,242,753
2010-05-18$15.00$16.1330.6%8.8%27.0%77.8%31.5%7.4%-0.7%-794.9K382.5M-8.6M0.512.9141,67921,4111,964,2351,244,294
2010-05-19$15.01$16.1330.2%8.7%26.9%76.1%32.8%9.1%0.6%-3.4M398.1M-8.8M1.783.1123,55742,0291,976,2241,252,242
2010-05-20$14.45$16.1338.9%11.2%29.7%100.0%37.7%11.2%-3.3%1.5M541.0M-8.4M1.293.6560,30077,8741,983,5161,266,594
2010-05-21$14.61$16.1335.4%10.1%28.2%85.7%33.8%10.0%-0.6%2.3M568.5M-8.4M0.733.01127,37492,3691,992,4671,278,919
2010-05-24$14.44$16.1332.6%9.3%28.3%74.2%33.9%9.3%0.4%668.8K459.9M-8.2M0.273.5933,4918,9051,870,1191,176,223
2010-05-25$14.29$16.1330.8%8.8%27.7%66.9%31.8%7.4%1.3%-459.3K482.9M-8.1M0.432.86113,34149,2811,894,9611,179,212
2010-05-26$14.34$16.1328.7%8.2%27.7%58.3%28.4%6.4%0.8%372.1K474.3M-8.0M0.433.2744,03918,7531,952,0651,194,873
2010-05-27$14.58$16.1327.5%7.9%27.4%53.4%27.6%7.4%0.7%1.6M448.7M-8.0M0.322.73112,93836,4431,972,5341,196,002
2010-05-28$14.45$16.1328.5%8.2%27.4%57.5%28.5%6.3%1.6%1.9M443.1M-8.1M0.293.3227,9598,1152,009,9511,211,332