PFE Options History — August 2010

In August 2010, PFE traded between $14.69 and $15.72. ATM implied volatility averaged 27.7%, placing in the 45.1% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 2.5% (HV 20d: 30.2%). Max pain ranged from $14.23 to $15.18. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.55.

Notable Days

2010-08-03: Highest Volume — 3,711,392 contracts
2010-08-06: Largest IV drop — 35.4% change
2010-08-02: Highest IV Rank — 100.0%
2010-08-02: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.27	$14.69	$15.72	$14.69	$15.09
Max Pain	$15.01	$14.23	$15.18	$14.23	$15.18
ATM IV	27.7%	22.9%	43.9%	43.9%	24.1%
Expected Move	7.4%	6.7%	8.7%	8.7%	6.9%
HV 20d	30.2%	20.7%	33.4%	24.7%	20.7%
HV 60d	26.7%	25.5%	28.0%	25.8%	25.5%
IV Rank	45.1%	29.1%	100.0%	100.0%	33.0%
IV Percentile	61.3%	21.0%	100.0%	100.0%	34.1%
Term Structure	1.7%	-2.2%	4.6%	-2.2%	2.6%
VWIV	27.4%	23.6%	44.0%	30.5%	24.3%
Skew 25d	3.0%	0.1%	4.7%	1.9%	2.4%
Skew 10d	8.3%	2.3%	12.7%	6.6%	8.1%
Call IV 25d	25.8%	23.3%	29.9%	29.9%	25.6%
Put IV 25d	28.8%	26.7%	31.8%	31.8%	27.9%
Bid-Ask Spread %	2.63	2.05	3.75	3.61	2.39
Gamma HHI	0.22	0.17	0.33	0.20	0.24
Net GEX	46.9M	37.4M	66.1M	43.0M	45.6M
Net DEX	-452.7M	-834.9M	-176.7M	-176.7M	-260.3M
Net VEX	-9.9M	-10.4M	-8.7M	-8.7M	-9.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.02	1.15	0.26	0.23
Total Volume	240,278.818	18,157	3,711,392	181,354	41,919
Total OI	3,690,148.409	3,551,559	3,874,265	3,723,440	3,648,533

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
2010-08-02	$14.69	$14.23	43.9%	8.7%	24.7%	100.0%	30.5%	1.9%	-2.2%	43.0M	-176.7M	-8.7M	0.26	3.61	144,128	37,226	2,507,579	1,215,861
2010-08-03	$15.50	$14.23	32.0%	7.1%	30.3%	59.8%	44.0%	2.4%	0.9%	56.8M	-834.9M	-9.8M	0.02	3.00	3,635,317	76,075	2,537,658	1,228,803
2010-08-04	$15.60	$14.23	35.6%	7.4%	29.7%	72.2%	27.2%	3.2%	1.9%	43.3M	-671.7M	-10.1M	0.90	2.83	93,072	83,858	2,295,984	1,255,575
2010-08-05	$15.36	$14.23	35.5%	7.2%	30.5%	71.7%	25.8%	3.1%	-0.2%	40.0M	-510.6M	-10.2M	0.33	2.57	100,525	32,712	2,292,136	1,308,076
2010-08-06	$15.41	$15.18	22.9%	7.3%	30.4%	29.1%	25.7%	4.0%	1.7%	40.1M	-499.4M	-10.1M	0.80	2.69	24,596	19,734	2,269,191	1,322,689
2010-08-09	$15.58	$15.18	24.5%	7.3%	30.4%	34.3%	26.7%	4.7%	1.6%	43.3M	-611.9M	-10.0M	0.66	2.49	22,911	15,175	2,279,114	1,315,511
2010-08-10	$15.72	$15.18	26.2%	7.1%	29.9%	40.1%	25.7%	4.3%	1.1%	42.0M	-726.6M	-10.3M	0.20	3.75	104,310	20,661	2,276,273	1,319,107
2010-08-11	$15.18	$15.18	27.4%	7.9%	33.2%	44.1%	27.4%	3.5%	0.9%	37.4M	-364.8M	-9.8M	0.18	2.45	130,075	23,911	2,320,024	1,330,890
2010-08-12	$15.37	$15.18	27.8%	8.0%	33.4%	45.6%	27.7%	4.5%	0.9%	48.6M	-559.7M	-10.4M	0.39	2.26	29,325	11,391	2,430,776	1,341,235
2010-08-13	$15.26	$15.18	28.0%	8.0%	32.3%	46.3%	28.6%	4.0%	1.6%	50.9M	-510.5M	-10.4M	0.43	2.74	28,600	12,179	2,448,069	1,344,629
2010-08-16	$15.21	$15.18	27.3%	7.8%	32.3%	43.9%	27.4%	4.3%	1.5%	51.6M	-459.9M	-10.1M	0.90	2.05	21,721	19,636	2,457,663	1,350,978
2010-08-17	$15.44	$15.18	26.5%	7.6%	31.9%	41.2%	26.5%	3.1%	2.4%	56.8M	-627.8M	-10.1M	0.65	2.97	68,800	44,554	2,447,273	1,358,035
2010-08-18	$15.28	$15.18	26.6%	7.6%	32.3%	41.6%	27.0%	3.4%	2.5%	54.3M	-471.5M	-9.9M	0.79	2.57	31,853	25,005	2,443,988	1,371,119
2010-08-19	$15.21	$15.18	27.0%	7.7%	31.9%	42.8%	28.2%	3.0%	2.6%	56.1M	-432.7M	-10.0M	0.37	2.26	65,337	24,262	2,447,117	1,376,307
2010-08-20	$15.10	$15.18	25.0%	7.2%	31.3%	36.0%	26.2%	0.5%	4.6%	66.1M	-359.2M	-10.0M	0.87	2.15	37,326	32,491	2,487,569	1,386,696
2010-08-23	$15.28	$15.18	24.0%	6.9%	30.0%	32.8%	25.1%	3.4%	2.4%	42.9M	-378.7M	-9.9M	0.36	2.68	47,989	17,097	2,339,889	1,253,142
2010-08-24	$15.01	$15.18	25.8%	7.4%	30.5%	38.6%	27.0%	2.5%	1.7%	39.1M	-235.2M	-9.5M	1.07	2.43	26,526	28,354	2,359,633	1,253,967
2010-08-25	$15.17	$15.18	25.2%	7.2%	29.7%	36.7%	26.9%	3.1%	2.0%	42.6M	-323.4M	-9.7M	1.15	3.08	17,263	19,903	2,365,626	1,270,852
2010-08-26	$15.09	$15.18	25.2%	7.2%	29.9%	36.9%	25.7%	2.3%	2.3%	42.2M	-302.2M	-9.7M	0.64	2.58	12,829	8,196	2,370,390	1,276,416
2010-08-27	$15.27	$15.18	23.2%	6.7%	29.9%	30.0%	23.6%	3.3%	2.8%	46.2M	-400.5M	-9.7M	0.37	2.11	22,725	8,410	2,369,493	1,270,248
2010-08-30	$15.05	$15.18	24.8%	7.1%	28.6%	35.4%	25.8%	0.1%	2.6%	41.8M	-241.4M	-9.3M	0.49	2.14	12,200	5,957	2,367,722	1,271,429
2010-08-31	$15.09	$15.18	24.1%	6.9%	20.7%	33.0%	24.3%	2.4%	2.6%	45.6M	-260.3M	-9.2M	0.23	2.39	34,003	7,916	2,376,648	1,271,885