PFE Options History — July 2010

In July 2010, PFE traded between $13.42 and $14.49. ATM implied volatility averaged 26.4%, placing in the 48.9% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 4.3% (HV 20d: 22.0%). Max pain ranged from $13.28 to $14.23. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.57.

Notable Days

2010-07-27: Highest Volume — 299,439 contracts
2010-07-07: Largest IV drop — 21.9% change
2010-07-30: Highest IV Rank — 79.9%
2010-07-06: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.98	$13.42	$14.49	$13.50	$14.23
Max Pain	$14.05	$13.28	$14.23	$14.23	$14.23
ATM IV	26.4%	22.4%	34.0%	29.5%	34.0%
Expected Move	7.8%	6.8%	9.0%	8.5%	8.4%
HV 20d	22.0%	19.3%	25.9%	25.9%	22.8%
HV 60d	24.9%	23.9%	25.7%	23.9%	25.4%
IV Rank	48.9%	32.7%	79.9%	61.8%	79.9%
IV Percentile	57.4%	15.9%	98.0%	89.3%	98.0%
Term Structure	0.7%	-0.6%	4.7%	4.7%	-0.5%
VWIV	27.6%	24.4%	30.1%	29.3%	29.4%
Skew 25d	4.8%	0.8%	7.3%	7.3%	0.8%
Skew 10d	11.3%	6.8%	15.3%	15.3%	6.8%
Call IV 25d	26.2%	23.0%	30.5%	27.8%	30.5%
Put IV 25d	31.1%	28.1%	35.1%	35.1%	31.3%
Bid-Ask Spread %	3.06	1.78	4.63	2.76	4.63
Gamma HHI	0.16	0.13	0.23	0.13	0.17
Net GEX	19.0M	9.9M	33.2M	10.9M	32.8M
Net DEX	266.4M	7.8M	448.1M	408.0M	48.1M
Net VEX	-7.7M	-8.5M	-7.0M	-7.4M	-8.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.05	1.46	0.36	0.23
Total Volume	82,955.095	27,143	299,439	113,152	97,985
Total OI	3,323,784.571	3,155,870	3,686,759	3,161,160	3,686,759

Daily Data (21 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
2010-07-01	$13.50	$14.23	29.5%	8.5%	25.9%	61.8%	29.3%	7.3%	4.7%	10.9M	408.0M	-7.4M	0.36	2.76	83,206	29,946	2,045,571	1,115,589
2010-07-02	$13.42	$14.23	28.0%	8.0%	23.8%	55.5%	28.1%	6.4%	4.6%	11.1M	398.5M	-7.5M	1.31	3.12	38,486	50,567	2,074,995	1,126,011
2010-07-06	$13.56	$14.23	29.8%	9.0%	23.6%	63.0%	30.1%	6.6%	-0.5%	11.6M	413.0M	-7.5M	0.47	2.40	52,962	24,704	2,086,485	1,168,811
2010-07-07	$13.87	$13.28	23.3%	8.0%	25.0%	36.4%	28.7%	7.3%	0.9%	15.7M	314.4M	-7.6M	0.30	2.41	29,319	8,734	2,088,129	1,181,634
2010-07-08	$14.06	$13.28	23.8%	8.0%	25.5%	38.3%	29.7%	5.4%	-0.1%	18.4M	244.2M	-7.9M	0.26	3.55	33,719	8,750	2,095,793	1,178,231
2010-07-09	$14.01	$13.28	22.4%	7.7%	23.6%	32.7%	27.4%	5.6%	0.6%	19.7M	253.9M	-7.9M	0.56	4.06	17,447	9,696	2,107,936	1,180,020
2010-07-12	$14.17	$13.28	24.0%	7.6%	19.8%	39.1%	27.9%	5.3%	0.3%	21.7M	179.3M	-8.0M	1.46	3.52	16,461	24,041	2,101,102	1,183,882
2010-07-13	$14.03	$14.23	23.5%	7.5%	19.9%	37.4%	28.2%	5.7%	0.6%	20.5M	263.5M	-7.8M	0.35	3.05	32,504	11,480	2,104,059	1,195,089
2010-07-14	$14.08	$14.23	24.2%	7.5%	19.3%	40.2%	27.9%	4.9%	0.1%	23.2M	237.4M	-7.7M	1.31	1.78	34,145	44,575	2,108,100	1,197,790
2010-07-15	$14.11	$14.23	25.4%	7.3%	19.3%	44.9%	26.1%	4.8%	0.4%	26.8M	249.7M	-7.8M	1.09	2.50	19,029	20,823	2,110,732	1,220,447
2010-07-16	$13.81	$14.23	25.9%	7.4%	20.4%	47.1%	26.6%	4.5%	0.3%	10.5M	389.6M	-7.4M	1.04	3.55	28,732	29,809	2,116,217	1,218,789
2010-07-19	$13.98	$14.23	24.0%	6.9%	20.4%	39.2%	24.4%	5.3%	1.3%	12.2M	346.0M	-7.3M	0.50	2.79	25,806	12,869	1,991,990	1,163,880
2010-07-20	$13.80	$14.23	23.6%	6.8%	20.6%	37.5%	24.8%	5.2%	0.7%	9.9M	436.0M	-7.0M	0.51	2.23	35,973	18,376	2,002,388	1,171,007
2010-07-21	$13.76	$14.23	26.8%	7.7%	20.5%	50.5%	26.4%	5.0%	-0.6%	10.2M	448.1M	-7.1M	0.96	3.38	33,313	31,956	2,026,570	1,181,557
2010-07-22	$14.05	$14.23	24.7%	7.1%	21.9%	42.0%	24.5%	4.3%	0.8%	14.2M	341.7M	-7.3M	0.45	2.77	55,627	25,212	2,041,984	1,199,758
2010-07-23	$13.83	$14.23	27.4%	7.8%	20.1%	52.9%	26.9%	3.0%	0.4%	12.6M	367.1M	-7.3M	0.14	2.85	169,951	23,828	2,056,937	1,202,699
2010-07-26	$14.25	$14.23	27.8%	8.0%	22.3%	54.7%	27.8%	3.7%	0.1%	24.4M	120.5M	-8.0M	0.16	2.47	78,037	12,577	2,180,444	1,197,330
2010-07-27	$14.49	$14.23	27.7%	8.0%	22.7%	54.5%	26.4%	5.0%	-0.2%	27.8M	7.8M	-8.2M	0.05	2.88	286,064	13,375	2,189,211	1,202,571
2010-07-28	$14.23	$14.23	28.9%	8.3%	22.7%	59.2%	29.1%	2.8%	0.3%	31.2M	79.3M	-8.4M	0.23	3.69	71,880	16,361	2,437,103	1,202,413
2010-07-29	$14.32	$14.23	29.0%	8.3%	22.7%	59.7%	29.1%	2.8%	-0.3%	33.2M	48.5M	-8.5M	0.26	3.88	66,666	17,066	2,449,473	1,209,990
2010-07-30	$14.23	$14.23	34.0%	8.4%	22.8%	79.9%	29.4%	0.8%	-0.5%	32.8M	48.1M	-8.5M	0.23	4.63	79,877	18,108	2,471,275	1,215,484