PFE Options History — January 2011

In January 2011, PFE traded between $16.77 and $17.53. ATM implied volatility averaged 21.3%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 9.8% (HV 20d: 11.5%). Max pain ranged from $16.13 to $17.08. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.52.

Notable Days

  • 2011-01-26: Highest Volume — 279,340 contracts
  • 2011-01-12: Largest IV drop — 19.9% change
  • 2011-01-11: Highest IV Rank — 32.5%
  • 2011-01-28: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.32$16.77$17.53$16.77$17.29
Max Pain$16.32$16.13$17.08$16.60$17.08
ATM IV21.3%19.2%24.0%19.4%23.4%
Expected Move6.1%5.5%6.8%5.5%6.7%
HV 20d11.5%10.0%12.5%11.4%12.5%
HV 60d14.9%13.8%15.8%15.4%14.1%
IV Rank23.5%16.3%32.5%16.9%30.8%
IV Percentile36.2%14.7%61.5%15.5%59.5%
Term Structure-0.1%-1.8%2.5%2.5%-0.2%
VWIV21.7%19.4%25.5%19.4%23.7%
Skew 25d5.5%-0.9%56.6%56.6%2.5%
Skew 10d16.2%3.1%112.4%112.4%8.3%
Call IV 25d20.6%18.8%24.4%21.5%23.7%
Put IV 25d26.1%20.1%78.2%78.2%26.2%
Bid-Ask Spread %2.491.334.141.754.14
Gamma HHI0.250.220.300.300.26
Net GEX40.3M30.6M46.9M44.2M41.5M
Net DEX-831.8M-1.04B-567.9M-573.4M-620.7M
Net VEX-7.4M-8.3M-6.6M-6.7M-7.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.131.130.450.67
Total Volume89,239.632,893279,34072,54475,833
Total OI2,780,893.31,918,4313,219,7422,925,4982,241,047

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$16.77$16.6019.4%5.5%11.4%16.9%19.4%56.6%2.5%44.2M-573.4M-6.7M0.451.7550,05322,4911,700,5051,224,993
2011-01-04$17.07$16.6019.7%5.7%12.5%18.2%19.9%2.9%1.4%40.7M-766.3M-6.6M0.311.7751,02215,6551,714,3891,232,185
2011-01-05$17.18$16.6019.8%5.7%12.4%18.2%19.8%-0.9%1.9%45.5M-857.8M-6.9M0.501.3364,84932,5881,723,8771,240,790
2011-01-06$17.25$16.6020.8%6.0%12.1%21.8%20.8%1.1%0.4%43.6M-896.5M-6.7M0.211.4980,27117,0511,735,6711,254,052
2011-01-07$17.40$16.1319.4%6.3%12.2%17.0%23.5%4.4%-0.2%42.6M-955.4M-7.2M0.332.3092,88330,6761,751,0301,254,256
2011-01-10$17.32$16.1321.1%6.3%11.9%22.9%22.4%3.7%0.3%41.6M-965.4M-7.3M1.052.7134,66036,2941,799,1641,275,401
2011-01-11$17.29$16.1324.0%6.2%11.8%32.5%21.0%2.9%0.1%42.5M-924.0M-7.6M0.662.7125,52116,9161,808,9051,274,722
2011-01-12$17.43$16.1319.2%6.1%11.6%16.3%20.3%3.6%-0.1%41.0M-1.04B-7.4M0.483.3432,63315,6481,809,3041,279,700
2011-01-13$17.29$16.1320.2%5.8%12.2%19.8%20.7%3.0%0.1%43.2M-929.8M-7.2M0.842.8451,37643,2461,810,7681,288,527
2011-01-14$17.40$16.1320.5%5.9%12.1%20.9%21.5%3.8%0.0%42.1M-976.7M-7.3M1.132.5826,03729,4151,817,9751,324,460
2011-01-18$17.44$16.1321.4%6.1%10.9%24.0%20.7%3.6%-0.4%40.1M-996.7M-7.3M0.262.6626,0826,8111,829,6551,342,198
2011-01-19$17.38$16.1321.7%6.2%11.0%24.8%21.4%3.9%-0.4%30.6M-976.5M-7.4M0.332.6276,52425,2951,837,1311,338,537
2011-01-20$17.31$16.1321.8%6.2%10.8%25.1%22.5%3.6%-0.4%40.6M-916.0M-7.5M0.573.2945,59825,9411,869,5831,344,610
2011-01-21$17.42$16.1320.7%5.9%10.6%21.5%20.9%2.6%-1.1%32.2M-968.2M-7.5M0.152.32113,28516,4611,860,8571,358,885
2011-01-24$17.50$16.1321.4%6.1%10.6%24.0%20.3%3.0%-1.8%35.6M-648.8M-7.8M0.452.3451,73923,0371,219,081699,350
2011-01-25$17.52$16.1321.7%6.2%10.0%24.8%21.8%3.4%-1.8%37.3M-693.7M-8.0M0.432.1460,24225,9381,258,109710,099
2011-01-26$17.42$16.1323.0%6.6%10.4%29.1%23.0%2.3%-1.6%35.2M-635.9M-7.9M0.132.29246,86632,4741,263,290723,408
2011-01-27$17.53$17.0823.2%6.7%10.5%30.0%25.5%2.9%-1.2%46.9M-730.8M-8.3M0.482.1556,79927,1761,453,823744,234
2011-01-28$17.22$16.1323.7%6.8%12.5%31.6%24.5%1.3%-0.2%38.9M-567.9M-8.2M1.002.9539,79639,6101,446,875756,420
2011-01-31$17.29$17.0823.4%6.7%12.5%30.8%23.7%2.5%-0.2%41.5M-620.7M-7.6M0.674.1445,49330,3401,460,269780,778