PFE Options History — April 2011

In April 2011, PFE traded between $18.78 and $19.90. ATM implied volatility averaged 20.8%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 4.9% (HV 20d: 15.9%). Max pain ranged from $18.03 to $18.98. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.62.

Notable Days

2011-04-21: Highest Volume — 363,964 contracts
2011-04-14: Largest IV spike — 45.7% change
2011-04-29: Highest IV Rank — 52.5%
2011-04-21: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.40	$18.78	$19.90	$19.34	$19.90
Max Pain	$18.41	$18.03	$18.98	$18.03	$18.98
ATM IV	20.8%	14.5%	29.9%	17.8%	29.9%
Expected Move	6.2%	5.2%	7.2%	5.2%	6.8%
HV 20d	15.9%	10.6%	19.5%	19.0%	17.5%
HV 60d	19.8%	18.0%	21.1%	19.6%	18.0%
IV Rank	21.4%	0.0%	52.5%	11.7%	52.5%
IV Percentile	37.1%	0.0%	92.9%	5.6%	92.9%
Term Structure	-0.4%	-2.9%	3.6%	3.6%	-2.9%
VWIV	22.2%	17.7%	26.1%	17.7%	26.1%
Skew 25d	3.3%	1.8%	4.2%	1.8%	3.4%
Skew 10d	7.1%	4.6%	10.6%	8.1%	10.6%
Call IV 25d	20.4%	17.3%	24.6%	17.3%	22.7%
Put IV 25d	23.7%	19.1%	28.1%	19.1%	26.1%
Bid-Ask Spread %	3.45	2.58	6.61	3.37	3.06
Gamma HHI	0.31	0.27	0.34	0.34	0.28
Net GEX	46.9M	30.8M	57.4M	50.9M	50.4M
Net DEX	-1.29B	-1.57B	-773.0M	-1.39B	-1.45B
Net VEX	-9.4M	-10.0M	-8.8M	-9.3M	-9.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.10	1.01	0.67	0.27
Total Volume	75,110.5	15,256	363,964	15,256	71,179
Total OI	2,436,780.1	2,244,174	2,529,497	2,464,095	2,476,316

Daily Data (20 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
2011-04-01	$19.34	$18.03	17.8%	5.2%	19.0%	11.7%	17.7%	1.8%	3.6%	50.9M	-1.39B	-9.3M	0.67	3.37	9,123	6,133	1,569,248	894,847
2011-04-04	$19.49	$18.03	17.4%	5.9%	19.0%	10.4%	20.5%	3.7%	0.3%	52.3M	-1.47B	-9.2M	0.32	4.12	30,374	9,858	1,572,625	896,901
2011-04-05	$19.40	$18.03	17.6%	6.2%	19.2%	10.9%	21.6%	3.3%	0.2%	53.1M	-1.35B	-10.0M	0.96	3.29	12,543	12,103	1,575,722	902,576
2011-04-06	$19.25	$18.03	18.8%	6.1%	19.5%	15.0%	22.1%	3.5%	-0.2%	50.8M	-1.34B	-9.0M	1.01	2.58	17,015	17,268	1,571,870	904,741
2011-04-07	$19.29	$18.03	18.6%	6.2%	18.4%	14.5%	22.6%	3.5%	-0.1%	49.7M	-1.28B	-9.9M	0.36	3.13	28,122	10,102	1,575,035	912,563
2011-04-08	$19.41	$18.03	19.5%	6.3%	18.4%	16.3%	22.7%	3.4%	-0.1%	52.8M	-1.36B	-9.8M	0.70	3.36	35,431	24,980	1,583,183	916,257
2011-04-11	$19.61	$18.03	20.7%	5.9%	17.8%	20.4%	21.3%	4.1%	0.5%	57.4M	-1.57B	-9.1M	0.40	3.35	33,009	13,245	1,601,027	926,822
2011-04-12	$19.41	$18.03	19.7%	6.2%	18.3%	16.9%	22.4%	3.7%	-0.0%	52.5M	-1.43B	-8.9M	0.43	3.09	62,082	26,530	1,590,196	927,494
2011-04-13	$19.41	$18.03	14.5%	6.1%	15.7%	0.0%	20.8%	3.7%	0.3%	54.7M	-1.36B	-9.8M	0.52	3.15	35,078	18,319	1,601,362	921,394
2011-04-14	$19.44	$18.03	21.1%	6.1%	12.1%	22.6%	20.8%	3.5%	-0.1%	53.3M	-1.45B	-8.9M	0.89	3.36	22,078	19,631	1,594,820	925,534
2011-04-15	$19.48	$18.03	19.9%	5.7%	11.0%	18.4%	20.3%	2.6%	0.4%	40.7M	-1.45B	-8.8M	0.10	2.98	104,829	10,404	1,590,547	938,950
2011-04-18	$19.35	$18.03	20.5%	5.9%	10.6%	20.4%	21.1%	3.3%	0.2%	40.0M	-1.17B	-8.9M	0.95	2.70	31,657	30,204	1,441,347	802,827
2011-04-19	$19.48	$18.98	19.5%	5.6%	10.7%	16.9%	21.1%	3.3%	-0.1%	40.1M	-1.21B	-8.9M	0.92	2.84	18,810	17,274	1,433,238	818,530
2011-04-20	$19.35	$18.98	21.9%	6.3%	11.1%	25.2%	21.9%	3.5%	-1.4%	38.2M	-1.16B	-8.9M	0.66	3.50	44,513	29,253	1,438,467	825,792
2011-04-21	$18.78	$18.98	25.2%	7.2%	13.9%	36.4%	25.6%	3.5%	-2.1%	30.8M	-773.0M	-9.7M	0.89	6.61	192,332	171,632	1,457,189	837,079
2011-04-25	$19.11	$18.98	24.2%	6.9%	15.4%	33.0%	24.5%	3.3%	-1.7%	40.0M	-975.3M	-9.8M	0.60	3.48	36,902	22,316	1,526,912	898,951
2011-04-26	$19.16	$18.98	22.5%	6.4%	15.4%	27.2%	22.4%	2.6%	-1.6%	39.3M	-997.2M	-9.6M	0.78	3.66	37,347	28,948	1,497,707	900,430
2011-04-27	$19.57	$18.98	23.6%	6.8%	17.1%	31.0%	24.7%	3.0%	-2.3%	42.8M	-1.21B	-10.0M	0.55	4.41	53,968	29,603	1,517,108	916,153
2011-04-28	$19.76	$18.98	22.9%	6.6%	17.4%	28.7%	23.4%	4.2%	-1.8%	47.2M	-1.32B	-10.0M	0.33	3.01	96,516	31,499	1,524,310	929,532
2011-04-29	$19.90	$18.98	29.9%	6.8%	17.5%	52.5%	26.1%	3.4%	-2.9%	50.4M	-1.45B	-9.1M	0.27	3.06	56,074	15,105	1,531,758	944,558