PFE Options History — October 2010

In October 2010, PFE traded between $16.03 and $16.89. ATM implied volatility averaged 21.9%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 4.1% (HV 20d: 17.8%). Max pain ranged from $16.13 to $16.13. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2010-10-15: Highest Volume — 157,451 contracts
  • 2010-10-26: Largest IV spike — 16.7% change
  • 2010-10-19: Highest IV Rank — 38.5%
  • 2010-10-19: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.57$16.03$16.89$16.30$16.52
Max Pain$16.13$16.13$16.13$16.13$16.13
ATM IV21.9%17.8%25.7%17.8%24.2%
Expected Move6.7%5.1%7.4%5.1%6.9%
HV 20d17.8%16.7%19.6%16.7%18.1%
HV 60d22.3%18.6%23.9%23.4%18.7%
IV Rank25.6%11.6%38.5%11.6%33.4%
IV Percentile27.3%4.0%61.5%4.0%48.4%
Term Structure0.4%-1.8%6.0%6.0%-1.8%
VWIV23.8%18.5%25.9%18.5%24.9%
Skew 25d3.9%2.8%4.9%2.8%3.3%
Skew 10d8.4%4.1%11.2%6.2%4.1%
Call IV 25d22.2%18.6%23.4%18.6%22.7%
Put IV 25d26.2%21.4%27.9%21.4%25.9%
Bid-Ask Spread %3.311.854.821.852.87
Gamma HHI0.180.170.190.170.19
Net GEX38.5M29.5M44.6M32.5M38.2M
Net DEX-656.9M-841.8M-396.0M-523.4M-545.1M
Net VEX-8.4M-8.9M-7.8M-8.7M-7.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.131.550.980.50
Total Volume62,762.76223,632157,45134,46438,618
Total OI3,055,825.6192,963,7203,147,1682,965,3613,079,123

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$16.30$16.1317.8%5.1%16.7%11.6%18.5%2.8%6.0%32.5M-523.4M-8.7M0.981.8517,43617,0281,840,5411,124,820
2010-10-04$16.03$16.1318.9%6.9%17.9%15.3%25.9%4.9%0.7%29.5M-396.0M-8.5M0.692.9921,37814,8471,847,6011,134,402
2010-10-05$16.35$16.1318.5%6.8%18.7%13.9%23.6%4.7%0.8%33.0M-560.9M-8.6M0.213.8324,3515,0821,831,1561,132,564
2010-10-06$16.38$16.1318.0%6.9%18.2%12.4%22.7%4.4%0.6%33.7M-572.3M-8.6M1.214.8244,77554,3281,840,3251,133,513
2010-10-07$16.49$16.1318.8%7.0%17.8%15.2%23.5%4.1%0.7%36.1M-644.9M-8.7M0.623.3658,81536,4321,865,2611,170,070
2010-10-08$16.57$16.1318.9%7.0%17.4%15.3%23.7%4.0%0.8%37.6M-684.1M-8.9M1.103.3420,47922,4331,901,4251,194,031
2010-10-11$16.49$16.1321.2%7.0%17.5%23.2%24.9%3.6%0.5%37.6M-657.0M-8.7M1.403.4315,43121,5711,903,8131,192,983
2010-10-12$16.58$16.1322.5%6.9%17.5%27.7%23.3%3.6%0.8%40.3M-724.0M-8.7M0.852.9966,30656,4781,908,6591,193,582
2010-10-13$16.82$16.1324.2%6.7%17.7%33.4%24.0%2.9%-0.4%43.8M-831.7M-8.7M0.523.1458,93730,4711,920,7051,199,249
2010-10-14$16.76$16.1323.0%6.6%17.6%29.4%24.7%3.4%0.4%43.8M-793.4M-8.7M0.763.7721,18516,0981,939,0201,208,148
2010-10-15$16.84$16.1323.4%6.7%17.4%30.4%25.1%3.7%0.7%42.8M-841.8M-8.7M0.133.98139,40318,0481,929,4551,205,577
2010-10-18$16.89$16.1322.5%6.4%17.0%27.5%24.4%4.1%0.7%41.5M-824.0M-8.7M0.812.7427,73522,4921,856,3221,160,123
2010-10-19$16.50$16.1325.7%7.4%18.9%38.5%24.6%4.5%-0.5%35.9M-598.3M-8.4M0.683.9339,77927,0201,859,0661,167,472
2010-10-20$16.76$16.1323.7%6.8%19.6%31.7%25.0%3.6%0.2%39.5M-725.9M-8.6M0.323.3449,51315,8491,874,7031,181,840
2010-10-21$16.73$16.1322.8%6.5%19.2%28.4%23.1%3.8%0.5%39.2M-696.2M-8.4M0.292.9633,5219,6471,864,6511,181,810
2010-10-22$16.60$16.1323.5%6.7%18.0%30.9%22.8%4.2%-0.7%40.8M-619.5M-8.2M0.773.5513,37910,2531,873,2391,184,941
2010-10-25$16.72$16.1321.9%6.3%17.4%25.6%23.3%4.5%0.4%41.7M-694.9M-8.1M1.553.419,52014,7891,870,1071,184,416
2010-10-26$16.59$16.1325.6%7.3%16.8%38.0%24.7%4.2%-1.4%40.6M-618.5M-8.0M0.612.6337,30622,9351,869,2701,190,745
2010-10-27$16.39$16.1323.7%6.8%17.4%31.7%23.6%4.3%-0.2%36.3M-508.6M-7.9M0.263.65108,50928,1311,868,2631,203,270
2010-10-28$16.67$16.1321.7%6.2%17.7%24.9%23.5%3.9%-0.2%44.6M-733.8M-7.9M0.882.8914,71013,0001,874,2141,211,863
2010-10-29$16.52$16.1324.2%6.9%18.1%33.4%24.9%3.3%-1.8%38.2M-545.1M-7.8M0.502.8725,66112,9571,863,3251,215,798