PFE Options History — February 2011

In February 2011, PFE traded between $17.80 and $18.38. ATM implied volatility averaged 19.0%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 4.5% (HV 20d: 23.5%). Max pain ranged from $17.08 to $18.03. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.55.

Notable Days

2011-02-01: Highest Volume — 2,665,061 contracts
2011-02-22: Largest IV spike — 9.1% change
2011-02-01: Highest IV Rank — 21.0%
2011-02-01: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.09	$17.80	$18.38	$18.24	$18.25
Max Pain	$17.18	$17.08	$18.03	$17.08	$17.08
ATM IV	19.0%	17.9%	20.6%	20.6%	19.2%
Expected Move	5.5%	5.1%	5.9%	5.9%	5.5%
HV 20d	23.5%	22.1%	24.9%	22.1%	24.6%
HV 60d	17.5%	16.9%	17.7%	17.5%	16.9%
IV Rank	15.8%	12.0%	21.0%	21.0%	16.5%
IV Percentile	15.2%	6.3%	29.0%	29.0%	20.2%
Term Structure	1.5%	-0.2%	3.6%	3.6%	1.4%
VWIV	20.0%	18.3%	21.4%	21.2%	20.5%
Skew 25d	2.8%	1.7%	7.0%	7.0%	3.0%
Skew 10d	7.6%	6.0%	9.3%	7.5%	6.7%
Call IV 25d	19.0%	18.0%	20.6%	18.4%	19.4%
Put IV 25d	21.9%	20.3%	25.4%	25.4%	22.4%
Bid-Ask Spread %	2.86	2.02	3.61	2.02	2.49
Gamma HHI	0.37	0.33	0.43	0.33	0.43
Net GEX	52.6M	40.6M	64.3M	57.9M	53.0M
Net DEX	-871.6M	-1.17B	-709.4M	-1.17B	-960.5M
Net VEX	-8.7M	-8.9M	-8.0M	-8.0M	-8.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.04	1.25	0.04	0.40
Total Volume	193,292.263	15,139	2,665,061	2,665,061	62,557
Total OI	2,242,831.789	2,170,299	2,328,749	2,269,718	2,267,143

Daily Data (19 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
2011-02-01	$18.24	$17.08	20.6%	5.9%	22.1%	21.0%	21.2%	7.0%	3.6%	57.9M	-1.17B	-8.0M	0.04	2.02	2,570,381	94,680	1,471,039	798,679
2011-02-02	$17.99	$18.03	19.7%	5.6%	22.3%	18.0%	20.6%	3.0%	-0.2%	48.3M	-825.5M	-8.4M	0.45	2.30	63,805	28,876	1,357,058	827,408
2011-02-03	$18.19	$18.03	19.0%	5.4%	22.5%	15.6%	19.4%	3.0%	0.9%	50.1M	-885.8M	-8.6M	0.30	2.62	59,910	17,939	1,341,581	828,718
2011-02-04	$18.31	$17.08	18.5%	5.6%	22.5%	14.0%	20.0%	3.4%	0.6%	53.9M	-947.9M	-8.6M	1.17	2.82	19,706	23,055	1,353,361	834,671
2011-02-07	$18.06	$17.08	19.4%	5.6%	23.2%	17.0%	20.6%	2.3%	0.9%	49.9M	-821.7M	-8.6M	1.25	2.55	18,604	23,200	1,356,729	846,231
2011-02-08	$18.18	$17.08	18.8%	5.6%	23.1%	15.0%	20.2%	2.6%	0.5%	52.7M	-875.6M	-8.6M	0.59	3.00	9,501	5,638	1,362,521	852,355
2011-02-09	$18.07	$17.08	18.4%	5.6%	23.2%	13.8%	19.9%	2.1%	0.9%	53.8M	-818.2M	-8.6M	0.89	3.50	9,304	8,249	1,364,841	851,036
2011-02-10	$18.06	$17.08	18.9%	5.4%	23.1%	15.4%	19.2%	2.4%	0.8%	55.9M	-794.8M	-8.5M	0.23	3.30	60,040	13,683	1,367,052	852,658
2011-02-11	$17.87	$17.08	18.5%	5.3%	23.3%	14.1%	20.1%	2.3%	1.3%	53.7M	-709.4M	-8.6M	0.22	2.28	43,448	9,648	1,406,194	855,948
2011-02-14	$18.07	$17.08	19.0%	5.5%	23.5%	15.8%	21.4%	2.6%	1.1%	59.3M	-837.1M	-8.6M	0.25	3.27	37,160	9,192	1,401,340	857,257
2011-02-15	$18.07	$17.08	18.9%	5.4%	23.5%	15.3%	19.0%	2.7%	1.6%	61.1M	-853.9M	-8.7M	0.22	3.61	58,911	13,249	1,425,394	859,333
2011-02-16	$18.29	$17.08	18.6%	5.3%	23.7%	14.5%	18.8%	2.5%	1.8%	64.3M	-1.01B	-8.8M	0.14	2.59	63,082	9,009	1,441,761	866,855
2011-02-17	$18.38	$17.08	19.4%	5.6%	23.6%	17.1%	19.7%	3.1%	1.5%	61.6M	-1.08B	-8.9M	0.34	2.45	46,848	16,064	1,460,262	868,487
2011-02-18	$18.21	$17.08	18.2%	5.2%	23.9%	12.9%	18.3%	2.3%	2.2%	54.2M	-971.1M	-8.9M	0.34	3.20	53,027	17,801	1,447,196	876,081
2011-02-22	$17.92	$17.08	19.8%	5.7%	24.7%	18.5%	20.6%	1.7%	1.7%	42.4M	-777.5M	-8.7M	0.40	2.86	60,455	24,372	1,397,665	790,701
2011-02-23	$17.80	$17.08	19.7%	5.7%	24.9%	18.2%	21.4%	2.4%	1.9%	40.6M	-722.6M	-8.8M	1.24	3.20	25,799	32,085	1,417,080	802,267
2011-02-24	$17.93	$17.08	18.7%	5.4%	24.8%	14.7%	19.7%	2.4%	2.7%	44.5M	-787.0M	-8.8M	0.84	3.43	23,385	19,716	1,433,564	814,558
2011-02-25	$17.89	$17.08	17.9%	5.1%	24.8%	12.0%	19.7%	2.6%	2.4%	42.5M	-713.2M	-8.9M	1.15	2.93	9,400	10,774	1,433,227	825,553
2011-02-28	$18.25	$17.08	19.2%	5.5%	24.6%	16.5%	20.5%	3.0%	1.4%	53.0M	-960.5M	-8.8M	0.40	2.49	44,658	17,899	1,436,452	830,691