PFE Options History — September 2010

In September 2010, PFE traded between $15.45 and $16.54. ATM implied volatility averaged 20.7%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 2.4% (HV 20d: 18.3%). Max pain ranged from $13.28 to $16.13. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2010-09-20: Highest Volume — 189,041 contracts
  • 2010-09-08: Largest IV drop — 8.1% change
  • 2010-09-07: Highest IV Rank — 29.9%
  • 2010-09-07: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.11$15.45$16.54$15.45$16.29
Max Pain$15.41$13.28$16.13$15.18$16.13
ATM IV20.7%18.8%23.2%22.2%18.8%
Expected Move6.0%5.4%7.1%6.4%5.4%
HV 20d18.3%15.4%22.3%22.3%16.7%
HV 60d24.2%23.1%25.8%25.8%23.5%
IV Rank21.4%15.0%29.9%26.5%15.0%
IV Percentile9.7%4.4%22.2%13.9%4.4%
Term Structure3.6%1.9%5.3%3.4%5.3%
VWIV21.5%17.8%27.5%22.2%19.0%
Skew 25d3.2%1.4%4.6%1.4%3.8%
Skew 10d8.9%2.0%11.1%2.0%7.4%
Call IV 25d20.4%17.7%23.7%23.7%18.4%
Put IV 25d23.6%20.2%27.4%25.1%22.1%
Bid-Ask Spread %3.332.124.272.123.05
Gamma HHI0.250.170.460.220.17
Net GEX47.2M29.0M76.2M51.3M32.9M
Net DEX-714.9M-1.14B-483.2M-539.0M-529.3M
Net VEX-9.0M-9.5M-8.7M-9.5M-8.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.171.930.200.63
Total Volume77,518.76223,136189,04180,60326,797
Total OI3,335,311.3812,895,8073,691,2973,637,5692,961,877

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$15.45$15.1822.2%6.4%22.3%26.5%22.2%1.4%3.4%51.3M-539.0M-9.5M0.202.1267,06213,5412,365,0201,272,549
2010-09-02$15.56$15.1821.5%6.2%21.8%24.3%21.5%1.6%3.2%49.9M-557.4M-9.4M0.752.4323,19917,4552,344,8041,276,235
2010-09-03$15.62$13.2821.5%7.0%21.8%24.3%24.5%4.6%2.4%52.1M-572.1M-9.2M1.033.3420,43321,1152,335,5931,280,607
2010-09-07$15.49$14.2323.2%7.1%21.6%29.9%27.5%4.4%1.9%51.3M-496.1M-9.0M1.153.4313,91815,9842,341,8321,288,029
2010-09-08$15.71$14.2321.3%6.5%22.0%23.5%23.3%4.0%2.0%54.8M-635.4M-9.0M0.463.9767,86330,9692,337,2821,297,533
2010-09-09$15.91$15.1822.0%6.3%18.1%25.9%23.2%3.3%1.9%62.3M-824.8M-9.4M0.503.1536,21818,2222,350,2821,310,256
2010-09-10$16.12$15.1821.2%6.1%18.1%23.3%21.4%3.7%3.1%64.0M-943.6M-9.1M0.453.9747,47821,5622,350,2471,306,383
2010-09-13$16.10$15.1821.3%6.1%17.8%23.6%22.2%3.6%2.6%69.4M-922.8M-9.0M0.673.8145,35730,3382,359,4811,310,821
2010-09-14$16.20$15.1820.8%6.0%17.7%21.8%21.3%3.1%3.2%76.2M-1.05B-9.2M0.393.41129,11450,2252,367,7641,323,533
2010-09-15$16.39$15.1821.2%6.1%17.4%23.1%22.1%4.2%3.1%46.3M-1.14B-9.2M0.904.2775,06567,9142,310,0241,340,775
2010-09-16$16.28$15.1820.8%6.0%17.0%21.8%20.9%3.6%3.4%49.1M-1.05B-9.0M0.223.8268,48615,1332,309,3521,361,710
2010-09-17$16.19$15.1820.3%5.8%17.1%20.0%20.7%3.0%3.9%73.4M-993.1M-9.0M0.493.8873,73736,4302,296,3591,356,656
2010-09-20$16.39$16.1320.0%5.7%17.0%19.0%20.0%2.6%3.6%34.2M-652.7M-9.0M0.184.22159,70929,3321,852,5951,043,212
2010-09-21$16.26$16.1320.0%5.7%17.3%19.1%20.4%3.8%3.8%33.0M-579.6M-8.9M0.712.4168,56748,5611,855,6241,058,403
2010-09-22$16.34$16.1319.8%5.7%15.4%18.4%20.1%3.7%4.7%32.9M-597.5M-9.0M0.472.8677,99536,6421,829,8401,066,301
2010-09-23$16.17$16.1320.3%5.8%16.1%20.1%20.7%2.4%4.8%29.0M-483.2M-8.9M1.242.4614,79418,3521,800,9111,097,119
2010-09-24$16.51$16.1319.7%5.6%16.9%18.0%22.6%3.5%4.7%33.2M-646.6M-8.7M1.932.8312,40323,9611,807,1211,095,280
2010-09-27$16.29$16.1319.8%5.7%17.8%18.3%20.4%2.4%4.5%30.4M-513.3M-8.7M0.983.1611,70511,4311,810,0721,113,213
2010-09-28$16.54$16.1319.4%5.6%17.0%17.2%19.7%2.3%4.9%32.5M-649.8M-8.8M0.643.5119,16112,2631,810,6211,113,680
2010-09-29$16.51$16.1319.1%5.5%17.1%16.0%17.8%2.5%5.1%32.8M-638.0M-8.7M0.173.8342,1627,2411,816,3781,116,165
2010-09-30$16.29$16.1318.8%5.4%16.7%15.0%19.0%3.8%5.3%32.9M-529.3M-8.7M0.633.0516,46610,3311,842,0261,119,851