PFE Options History — November 2010

In November 2010, PFE traded between $15.46 and $16.72. ATM implied volatility averaged 20.8%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 4.4% (HV 20d: 16.4%). 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 16 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2010-11-03: Highest Volume — 2,511,387 contracts
  • 2010-11-26: Largest IV spike — 22.6% change
  • 2010-11-01: Highest IV Rank — 37.7%
  • 2010-11-01: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.02$15.46$16.72$16.72$15.46
Max Pain$16.13$16.13$16.13$16.13$16.13
ATM IV20.8%17.3%25.5%25.5%22.6%
Expected Move6.0%5.0%7.3%7.3%6.5%
HV 20d16.4%14.0%17.7%17.3%14.7%
HV 60d17.5%16.6%18.8%18.8%16.9%
IV Rank21.8%9.9%37.7%37.7%28.0%
IV Percentile19.8%3.2%61.9%61.9%34.5%
Term Structure0.8%-2.1%3.8%-2.1%-0.2%
VWIV22.0%18.4%36.2%25.8%22.5%
Skew 25d2.7%1.0%4.8%4.8%2.9%
Skew 10d6.7%1.2%11.7%11.7%4.9%
Call IV 25d20.8%18.6%25.1%25.1%22.3%
Put IV 25d23.5%19.8%29.9%29.9%25.2%
Bid-Ask Spread %3.192.254.063.983.87
Gamma HHI0.160.140.200.190.17
Net GEX23.8M6.7M41.9M41.9M6.7M
Net DEX-103.8M-658.5M227.3M-658.5M227.3M
Net VEX-7.0M-8.1M-6.1M-8.1M-6.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.011.400.791.37
Total Volume171,579.71423,0852,511,387134,23538,395
Total OI3,074,473.4762,944,9553,190,0543,093,9592,984,768

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$16.72$16.1325.5%7.3%17.3%37.7%25.8%4.8%-2.1%41.9M-658.5M-8.1M0.793.9874,94659,2891,869,5591,224,400
2010-11-02$16.56$16.1323.4%6.7%16.5%30.6%23.2%3.7%-1.3%41.0M-557.0M-7.8M0.943.1530,28128,3781,888,6031,246,773
2010-11-03$16.69$16.1321.1%6.0%16.7%22.8%36.2%3.7%-0.5%41.0M-598.3M-7.6M0.013.222,478,44832,9391,873,6291,259,311
2010-11-04$16.49$16.1321.1%6.0%17.2%22.7%21.1%3.1%0.3%37.4M-344.4M-7.6M0.742.5641,65630,7171,745,1681,276,157
2010-11-05$16.30$16.1321.0%6.0%17.5%22.6%21.5%2.6%0.2%31.3M-227.4M-7.5M0.362.8257,06520,7631,752,0431,289,243
2010-11-08$16.18$16.1320.4%5.9%17.7%20.5%21.0%3.0%0.4%30.1M-171.8M-7.2M0.763.3541,58131,4691,767,3181,295,713
2010-11-09$16.12$16.1320.8%5.9%17.5%21.8%21.0%1.7%0.0%27.7M-134.9M-7.3M0.732.8831,37922,8221,776,2691,317,993
2010-11-10$15.97$16.1320.8%6.0%16.7%21.7%21.5%2.4%0.1%25.2M-89.2M-7.5M0.942.8114,33813,5081,779,2081,337,483
2010-11-11$16.11$16.1320.1%5.8%17.2%19.6%20.9%2.6%0.4%26.3M-91.1M-7.3M0.763.0952,66539,9051,776,2591,340,211
2010-11-12$15.99$16.1321.2%6.1%17.1%23.3%22.3%2.4%0.2%20.2M6.8M-7.2M0.602.9853,18432,1041,773,0091,349,887
2010-11-15$15.89$16.1320.7%5.9%17.0%21.4%21.8%2.0%2.4%20.5M63.5M-7.2M1.403.3213,44618,8561,806,7811,368,442
2010-11-16$15.75$16.1321.5%6.2%15.4%24.3%23.4%2.8%2.4%14.1M108.1M-6.9M0.383.0435,37213,5821,781,2761,360,144
2010-11-17$15.64$16.1323.0%6.6%14.0%29.2%23.8%3.5%-0.0%12.1M148.5M-6.7M1.053.2328,66830,2001,800,6491,358,942
2010-11-18$15.97$16.1319.0%5.5%16.5%15.8%19.4%3.0%0.7%21.0M-48.1M-6.9M0.422.9923,92310,0011,814,7781,375,276
2010-11-19$15.94$16.1318.4%5.3%16.4%13.9%18.9%1.7%1.1%20.8M-10.1M-6.7M1.003.4311,54611,5391,801,0081,370,080
2010-11-22$15.78$16.1318.5%5.3%16.2%13.9%19.5%1.0%2.7%17.0M50.8M-6.2M0.922.2518,40416,9181,653,6111,291,344
2010-11-23$15.72$16.1318.6%5.3%16.2%14.4%19.3%1.3%2.8%14.4M66.9M-6.4M0.732.8323,05216,7191,661,0151,294,976
2010-11-24$15.83$16.1317.3%5.0%16.1%9.9%18.6%2.1%3.8%18.4M-13.7M-6.3M0.483.3015,5917,5401,670,4231,293,233
2010-11-26$15.65$16.1321.2%6.1%15.0%23.2%18.4%2.0%1.0%16.3M27.3M-6.3M0.334.0623,6407,7891,673,3081,298,230
2010-11-29$15.71$16.1320.6%5.9%15.0%21.1%21.8%3.4%1.9%15.8M65.5M-6.4M1.133.7123,73626,8201,667,6391,299,784
2010-11-30$15.46$16.1322.6%6.5%14.7%28.0%22.5%2.9%-0.2%6.7M227.3M-6.1M1.373.8716,19622,1991,676,7891,307,979