PFE Options History — March 2011

In March 2011, PFE traded between $18.16 and $19.34. ATM implied volatility averaged 20.3%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 0.1% (HV 20d: 20.1%). Max pain ranged from $17.08 to $18.03. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.65.

Notable Days

2011-03-14: Highest Volume — 337,248 contracts
2011-03-16: Largest IV spike — 14.4% change
2011-03-16: Highest IV Rank — 36.1%
2011-03-16: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.82	$18.16	$19.34	$18.16	$19.27
Max Pain	$17.90	$17.08	$18.03	$17.08	$18.03
ATM IV	20.3%	18.1%	25.0%	19.9%	19.0%
Expected Move	5.8%	5.2%	7.2%	5.7%	5.5%
HV 20d	20.1%	15.9%	24.8%	24.8%	19.1%
HV 60d	18.8%	17.0%	20.0%	17.0%	19.7%
IV Rank	20.0%	12.7%	36.1%	18.8%	15.6%
IV Percentile	33.2%	7.5%	75.8%	29.8%	17.9%
Term Structure	2.4%	0.5%	3.9%	1.4%	3.1%
VWIV	20.8%	18.1%	25.1%	20.5%	18.8%
Skew 25d	1.9%	0.3%	3.2%	2.6%	1.5%
Skew 10d	4.8%	0.6%	8.6%	5.6%	0.9%
Call IV 25d	20.1%	17.9%	24.4%	20.2%	18.4%
Put IV 25d	22.0%	19.0%	27.0%	22.8%	19.9%
Bid-Ask Spread %	3.41	2.22	6.71	2.67	6.71
Gamma HHI	0.42	0.31	0.52	0.41	0.32
Net GEX	54.8M	43.2M	71.6M	51.9M	47.9M
Net DEX	-1.18B	-1.50B	-901.3M	-928.0M	-1.32B
Net VEX	-9.4M	-10.3M	-8.8M	-8.9M	-10.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.12	1.73	0.89	0.43
Total Volume	91,283.565	23,282	337,248	33,547	23,282
Total OI	2,393,504.391	2,213,180	2,538,760	2,293,522	2,459,155

Daily Data (23 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
2011-03-01	$18.16	$17.08	19.9%	5.7%	24.8%	18.8%	20.5%	2.6%	1.4%	51.9M	-928.0M	-8.9M	0.89	2.67	17,767	15,780	1,455,859	837,663
2011-03-02	$18.21	$17.08	19.3%	5.5%	15.9%	16.8%	20.4%	2.6%	2.0%	51.4M	-925.5M	-8.8M	0.27	2.83	25,709	6,943	1,458,711	845,468
2011-03-03	$18.76	$17.08	19.4%	5.6%	18.2%	17.1%	20.4%	1.3%	0.5%	60.5M	-1.23B	-9.2M	0.28	2.22	136,758	37,721	1,451,364	846,531
2011-03-04	$18.65	$18.03	19.0%	5.8%	18.1%	15.8%	21.2%	2.6%	2.4%	62.7M	-1.20B	-9.2M	0.40	3.38	44,786	18,080	1,506,631	865,548
2011-03-07	$18.61	$18.03	20.1%	6.0%	18.0%	19.3%	22.0%	3.0%	2.1%	61.0M	-1.16B	-8.9M	1.46	4.35	20,175	29,509	1,500,942	869,489
2011-03-08	$18.67	$18.03	20.6%	5.9%	17.2%	21.2%	21.3%	3.2%	2.1%	61.3M	-1.18B	-8.9M	0.15	3.26	52,307	8,095	1,501,768	886,576
2011-03-09	$18.65	$18.03	20.3%	5.9%	17.2%	20.1%	20.9%	2.4%	2.1%	71.6M	-1.14B	-8.9M	0.29	4.19	32,297	9,385	1,516,877	888,761
2011-03-10	$18.37	$18.03	22.2%	6.4%	18.0%	26.5%	21.9%	2.9%	2.5%	57.5M	-1.02B	-9.0M	0.28	3.19	69,148	19,663	1,532,308	891,476
2011-03-11	$18.47	$18.03	20.9%	6.0%	18.1%	22.1%	20.2%	2.2%	3.1%	59.3M	-1.08B	-8.9M	0.42	4.10	53,248	22,199	1,520,675	897,857
2011-03-14	$18.80	$18.03	20.3%	5.8%	18.4%	20.0%	20.7%	0.5%	2.7%	68.6M	-1.28B	-9.1M	0.38	2.77	245,155	92,093	1,530,284	904,358
2011-03-15	$18.75	$18.03	21.9%	6.3%	18.2%	25.4%	22.3%	0.7%	1.8%	71.3M	-1.22B	-9.3M	0.85	3.19	59,200	50,037	1,584,896	947,391
2011-03-16	$18.31	$18.03	25.0%	7.2%	20.3%	36.1%	25.1%	2.6%	1.1%	46.8M	-901.3M	-9.3M	1.21	3.58	55,349	66,766	1,547,691	952,048
2011-03-17	$18.86	$18.03	22.9%	6.6%	22.4%	29.0%	24.9%	2.9%	1.6%	62.9M	-1.25B	-9.5M	0.78	3.29	29,488	22,973	1,557,253	979,883
2011-03-18	$19.15	$18.03	21.2%	6.1%	22.9%	23.1%	22.2%	2.5%	2.9%	59.6M	-1.50B	-9.4M	0.31	3.46	173,335	53,394	1,556,543	982,217
2011-03-21	$18.96	$18.03	20.2%	5.8%	23.0%	19.7%	20.4%	1.5%	2.0%	43.2M	-1.12B	-9.4M	1.73	3.22	29,244	50,486	1,430,350	782,830
2011-03-22	$18.92	$18.03	18.9%	5.4%	22.0%	15.2%	19.0%	1.2%	2.4%	43.3M	-1.07B	-9.5M	0.44	3.26	30,306	13,437	1,431,429	812,413
2011-03-23	$18.90	$18.03	18.5%	5.3%	21.8%	14.1%	20.2%	1.7%	3.2%	43.4M	-1.04B	-9.7M	1.04	2.80	30,384	31,737	1,440,863	826,342
2011-03-24	$19.26	$18.03	19.6%	5.6%	22.5%	17.7%	19.7%	2.5%	3.0%	45.0M	-1.23B	-9.8M	0.12	3.15	131,902	15,966	1,458,080	855,301
2011-03-25	$19.31	$18.03	19.7%	5.7%	22.4%	18.2%	19.6%	1.1%	3.0%	47.1M	-1.35B	-10.1M	0.52	2.96	47,053	24,473	1,539,395	859,157
2011-03-28	$19.23	$18.03	20.1%	5.8%	21.7%	19.5%	20.1%	0.3%	2.7%	46.3M	-1.26B	-10.3M	0.56	3.52	37,104	20,642	1,548,649	868,466
2011-03-29	$19.34	$18.03	19.2%	5.5%	21.5%	16.4%	19.1%	1.4%	3.0%	48.5M	-1.40B	-9.3M	0.98	3.01	48,355	47,325	1,556,057	875,255
2011-03-30	$19.30	$18.03	18.1%	5.2%	21.6%	12.7%	18.1%	1.1%	3.9%	48.7M	-1.35B	-10.0M	1.06	3.36	24,507	25,959	1,585,053	904,738
2011-03-31	$19.27	$18.03	19.0%	5.5%	19.1%	15.6%	18.8%	1.5%	3.1%	47.9M	-1.32B	-10.2M	0.43	6.71	16,322	6,960	1,564,942	894,213