PFE Options History — June 2010

In June 2010, PFE traded between $13.53 and $14.72. ATM implied volatility averaged 27.1%, placing in the 51.9% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 0.5% (HV 20d: 26.6%). Max pain ranged from $14.23 to $16.13. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.66.

Notable Days

2010-06-09: Highest Volume — 298,309 contracts
2010-06-29: Largest IV spike — 27.1% change
2010-06-09: Highest IV Rank — 83.0%
2010-06-01: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.16	$13.53	$14.72	$14.22	$13.53
Max Pain	$14.49	$14.23	$16.13	$16.13	$14.23
ATM IV	27.1%	22.6%	34.7%	30.9%	30.0%
Expected Move	7.7%	6.5%	8.8%	8.8%	8.6%
HV 20d	26.6%	23.0%	29.5%	27.0%	26.0%
HV 60d	22.9%	20.9%	24.0%	20.9%	24.0%
IV Rank	51.9%	33.6%	83.0%	67.2%	63.6%
IV Percentile	61.1%	16.7%	98.8%	92.1%	91.7%
Term Structure	2.2%	-0.1%	5.1%	0.3%	3.3%
VWIV	27.3%	22.6%	32.0%	32.0%	29.5%
Skew 25d	6.1%	4.3%	8.4%	6.1%	7.5%
Skew 10d	13.3%	10.0%	15.8%	12.4%	14.6%
Call IV 25d	25.8%	21.3%	30.7%	30.7%	27.3%
Put IV 25d	31.9%	26.8%	37.4%	36.8%	34.9%
Bid-Ask Spread %	3.52	2.27	5.04	2.52	3.01
Gamma HHI	0.17	0.13	0.22	0.18	0.13
Net GEX	10.1M	-1.9M	25.1M	1.6M	10.8M
Net DEX	380.3M	90.8M	681.6M	507.5M	399.0M
Net VEX	-7.9M	-8.7M	-7.1M	-7.9M	-7.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.08	1.75	0.86	0.54
Total Volume	80,327.273	38,355	298,309	54,270	77,980
Total OI	3,310,432.364	2,870,295	3,758,421	3,247,833	3,119,019

Daily Data (22 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
2010-06-01	$14.22	$16.13	30.9%	8.8%	27.0%	67.2%	32.0%	6.1%	0.3%	1.6M	507.5M	-7.9M	0.86	2.52	29,182	25,088	2,033,930	1,213,903
2010-06-02	$14.42	$16.13	27.7%	7.9%	26.2%	54.3%	26.3%	8.4%	1.2%	1.6M	477.9M	-8.0M	0.29	2.27	31,620	9,145	2,045,169	1,229,550
2010-06-03	$14.45	$16.13	25.9%	7.4%	26.4%	47.1%	25.9%	6.6%	1.6%	2.2M	468.1M	-7.9M	0.84	3.43	28,614	24,102	2,059,296	1,227,965
2010-06-04	$14.00	$14.23	28.8%	8.5%	27.0%	58.7%	30.9%	7.7%	0.3%	-288.8K	598.5M	-7.5M	0.58	4.82	39,765	23,027	2,069,259	1,236,323
2010-06-07	$13.78	$14.23	30.2%	8.7%	27.0%	64.6%	31.6%	7.4%	0.1%	-1.2M	661.9M	-7.1M	1.06	4.37	35,799	37,833	2,074,113	1,236,865
2010-06-08	$13.80	$14.23	27.9%	8.2%	23.1%	54.9%	30.0%	7.6%	1.4%	-1.9M	681.6M	-7.2M	0.69	4.00	38,153	26,370	2,090,962	1,258,956
2010-06-09	$13.78	$14.23	34.7%	8.8%	23.0%	83.0%	31.1%	6.8%	-0.1%	-458.5K	638.5M	-7.2M	0.08	4.57	275,291	23,018	2,102,715	1,251,862
2010-06-10	$14.15	$14.23	28.9%	8.3%	26.0%	59.1%	30.8%	5.7%	0.8%	13.1M	423.0M	-8.1M	0.53	3.09	37,891	20,122	2,322,780	1,246,145
2010-06-11	$14.67	$14.23	28.6%	8.2%	29.5%	58.1%	28.5%	4.9%	1.1%	25.1M	90.8M	-8.7M	0.63	3.57	49,742	31,113	2,409,752	1,246,584
2010-06-14	$14.54	$14.23	27.9%	8.0%	28.7%	55.1%	26.7%	5.3%	0.9%	17.2M	291.1M	-8.2M	1.06	3.09	27,393	29,015	2,331,646	1,265,107
2010-06-15	$14.72	$14.23	24.1%	6.9%	29.2%	39.6%	27.3%	6.5%	2.0%	18.3M	203.0M	-8.3M	0.51	2.62	101,476	51,479	2,340,956	1,275,743
2010-06-16	$14.69	$14.23	27.2%	7.8%	28.5%	52.4%	26.6%	5.1%	1.4%	20.0M	205.3M	-8.5M	1.75	3.71	13,923	24,432	2,430,817	1,304,898
2010-06-17	$14.68	$14.23	25.9%	7.4%	28.5%	47.0%	26.1%	5.8%	1.9%	18.3M	231.3M	-8.5M	0.72	5.04	33,788	24,248	2,416,425	1,315,283
2010-06-18	$14.43	$14.23	23.8%	6.8%	25.8%	38.2%	23.6%	5.3%	3.1%	17.1M	294.6M	-8.2M	0.34	3.54	67,779	23,260	2,433,237	1,325,184
2010-06-21	$14.33	$14.23	22.6%	6.5%	25.5%	33.6%	22.6%	5.6%	3.4%	12.1M	249.0M	-7.7M	0.48	2.75	55,507	26,434	1,826,873	1,043,422
2010-06-22	$14.20	$14.23	23.4%	6.7%	25.4%	36.9%	24.0%	4.4%	3.1%	12.6M	240.3M	-8.0M	0.36	3.97	37,477	13,477	1,856,740	1,051,123
2010-06-23	$14.12	$14.23	23.0%	6.6%	25.2%	35.2%	23.4%	4.3%	4.2%	12.3M	251.0M	-8.1M	0.71	3.33	36,149	25,725	1,881,689	1,057,958
2010-06-24	$13.72	$14.23	27.9%	8.0%	27.0%	55.0%	26.3%	5.9%	5.0%	8.4M	407.5M	-7.4M	0.31	3.36	94,828	29,518	1,896,922	1,077,098
2010-06-25	$13.89	$14.23	23.4%	6.7%	26.6%	36.9%	24.4%	5.0%	5.1%	12.3M	318.4M	-7.7M	0.73	3.57	41,063	30,125	1,965,003	1,085,711
2010-06-28	$13.80	$14.23	23.7%	6.8%	26.6%	38.0%	25.2%	4.5%	4.5%	12.3M	345.9M	-7.6M	0.74	3.25	26,935	19,986	1,983,988	1,095,416
2010-06-29	$13.55	$14.23	30.1%	8.6%	26.7%	64.2%	28.9%	7.8%	3.2%	10.6M	381.9M	-7.6M	0.60	3.56	43,227	26,101	1,991,944	1,101,181
2010-06-30	$13.53	$14.23	30.0%	8.6%	26.0%	63.6%	29.5%	7.5%	3.3%	10.8M	399.0M	-7.5M	0.54	3.01	50,753	27,227	2,013,594	1,105,425