PFE Options History — December 2010

In December 2010, PFE traded between $15.83 and $16.71. ATM implied volatility averaged 19.1%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 3.5% (HV 20d: 15.6%). Max pain ranged from $16.13 to $16.60. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.53.

Notable Days

2010-12-28: Highest Volume — 173,762 contracts
2010-12-06: Largest IV spike — 22.6% change
2010-12-13: Highest IV Rank — 27.3%
2010-12-13: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.27	$15.83	$16.71	$15.84	$16.61
Max Pain	$16.54	$16.13	$16.60	$16.13	$16.60
ATM IV	19.1%	17.2%	22.4%	18.9%	19.5%
Expected Move	5.5%	4.9%	6.0%	5.4%	5.6%
HV 20d	15.6%	11.1%	17.6%	17.6%	11.1%
HV 60d	16.7%	15.4%	17.6%	17.6%	15.4%
IV Rank	16.2%	9.5%	27.3%	15.5%	17.4%
IV Percentile	12.7%	3.2%	36.5%	9.5%	16.7%
Term Structure	2.4%	0.8%	4.0%	3.5%	0.9%
VWIV	19.7%	17.2%	21.6%	19.4%	19.6%
Skew 25d	2.1%	0.4%	4.1%	3.7%	3.0%
Skew 10d	4.5%	0.9%	10.0%	10.0%	5.1%
Call IV 25d	20.0%	17.5%	22.2%	19.5%	20.8%
Put IV 25d	22.2%	20.6%	24.0%	23.2%	23.7%
Bid-Ask Spread %	2.14	1.42	2.90	2.45	1.59
Gamma HHI	0.28	0.18	0.63	0.18	0.30
Net GEX	39.8M	18.1M	137.9M	18.1M	41.8M
Net DEX	-287.6M	-529.1M	55.9M	55.9M	-487.5M
Net VEX	-6.3M	-6.7M	-5.9M	-6.4M	-6.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.12	1.77	0.38	0.37
Total Volume	77,570.364	21,349	173,762	108,917	29,289
Total OI	2,972,340.818	2,722,786	3,182,881	2,989,174	2,922,234

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
2010-12-01	$15.84	$16.13	18.9%	5.4%	17.6%	15.5%	19.4%	3.7%	3.5%	18.1M	55.9M	-6.4M	0.38	2.45	79,170	29,747	1,681,916	1,307,258
2010-12-02	$15.83	$16.13	18.2%	5.2%	17.2%	13.1%	19.1%	2.3%	3.6%	21.4M	-38.3M	-6.2M	0.21	2.55	63,100	13,553	1,703,749	1,303,794
2010-12-03	$15.86	$16.13	17.2%	4.9%	16.9%	9.5%	17.2%	2.3%	4.0%	24.0M	-60.3M	-6.2M	1.27	2.31	9,390	11,959	1,728,644	1,303,742
2010-12-06	$15.95	$16.60	21.0%	5.9%	16.6%	22.6%	21.3%	1.6%	2.1%	24.9M	-59.8M	-6.3M	0.62	2.48	58,143	36,269	1,703,385	1,302,671
2010-12-07	$15.91	$16.60	19.4%	5.8%	16.5%	16.9%	20.7%	1.4%	2.0%	26.5M	-43.5M	-6.3M	0.39	2.40	55,849	21,544	1,724,750	1,304,417
2010-12-08	$15.86	$16.60	19.9%	6.0%	16.5%	18.7%	20.9%	1.4%	1.3%	25.0M	591.3K	-6.1M	0.53	2.15	39,005	20,769	1,741,819	1,306,374
2010-12-09	$15.90	$16.60	18.2%	5.7%	16.2%	13.0%	20.3%	0.4%	1.9%	30.0M	-81.9M	-6.1M	0.68	2.66	26,996	18,372	1,765,340	1,308,189
2010-12-10	$16.15	$16.60	20.1%	6.0%	16.8%	19.5%	21.6%	0.4%	2.3%	39.1M	-255.3M	-6.5M	0.20	2.90	108,287	21,672	1,775,545	1,312,190
2010-12-13	$16.31	$16.60	22.4%	6.0%	16.9%	27.3%	21.3%	0.7%	2.1%	48.6M	-420.1M	-6.5M	0.23	2.33	74,994	17,417	1,835,338	1,312,070
2010-12-14	$16.23	$16.60	19.9%	5.6%	16.8%	18.8%	20.8%	1.3%	2.6%	52.8M	-362.0M	-6.3M	0.68	2.31	80,085	54,061	1,843,329	1,311,639
2010-12-15	$16.20	$16.60	19.7%	5.7%	16.4%	18.1%	19.9%	1.5%	2.4%	52.4M	-322.1M	-6.4M	0.25	2.16	46,676	11,469	1,853,483	1,329,398
2010-12-16	$16.34	$16.60	19.2%	5.5%	16.3%	16.4%	19.9%	1.0%	2.6%	49.3M	-399.1M	-6.3M	0.39	1.88	41,055	16,064	1,835,352	1,328,991
2010-12-17	$16.16	$16.60	18.6%	5.3%	15.3%	14.2%	18.9%	1.0%	2.6%	137.9M	-334.9M	-5.9M	0.51	2.90	71,722	36,435	1,833,751	1,332,225
2010-12-20	$16.29	$16.60	17.7%	5.1%	15.5%	11.2%	18.0%	1.7%	3.4%	27.7M	-243.1M	-6.2M	0.19	1.85	79,167	15,289	1,550,796	1,171,990
2010-12-21	$16.49	$16.60	17.6%	5.0%	15.4%	10.9%	18.2%	3.5%	3.9%	33.2M	-362.8M	-6.2M	0.70	2.05	40,356	28,186	1,569,022	1,178,135
2010-12-22	$16.66	$16.60	18.1%	5.2%	15.5%	12.8%	19.4%	3.3%	0.9%	35.0M	-463.0M	-6.5M	0.21	1.62	69,860	14,557	1,590,033	1,187,695
2010-12-23	$16.71	$16.60	17.8%	5.1%	15.4%	11.6%	17.9%	3.0%	1.6%	40.6M	-529.1M	-6.5M	0.36	1.56	34,865	12,675	1,603,377	1,183,031
2010-12-27	$16.59	$16.60	19.1%	5.5%	14.8%	16.2%	19.4%	4.1%	3.5%	34.0M	-429.8M	-6.4M	0.29	1.81	44,222	12,851	1,597,231	1,183,940
2010-12-28	$16.69	$16.60	19.3%	5.5%	14.9%	16.8%	19.4%	3.2%	1.6%	33.1M	-486.9M	-6.4M	0.12	1.87	154,664	19,098	1,567,506	1,191,774
2010-12-29	$16.70	$16.60	19.7%	5.7%	13.2%	18.2%	19.8%	3.3%	0.8%	39.1M	-525.7M	-6.7M	1.77	1.42	16,416	29,037	1,689,562	1,200,837
2010-12-30	$16.59	$16.60	19.4%	5.6%	11.2%	17.0%	19.4%	2.8%	3.4%	41.5M	-477.5M	-6.7M	1.41	1.77	17,528	24,685	1,694,714	1,220,262
2010-12-31	$16.61	$16.60	19.5%	5.6%	11.1%	17.4%	19.6%	3.0%	0.9%	41.8M	-487.5M	-6.7M	0.37	1.59	21,341	7,948	1,693,985	1,228,249