PFE Options History — May 2011

In May 2011, PFE traded between $19.35 and $20.35. ATM implied volatility averaged 21.2%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.2% (HV 20d: 19.9%). Max pain ranged from $18.03 to $18.98. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2011-05-10: Highest Volume — 4,084,417 contracts
  • 2011-05-03: Largest IV drop — 28.2% change
  • 2011-05-02: Highest IV Rank — 80.4%
  • 2011-05-02: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.75$19.35$20.35$19.94$20.35
Max Pain$18.84$18.03$18.98$18.98$18.98
ATM IV21.2%15.9%38.1%38.1%16.2%
Expected Move5.5%4.7%7.3%7.3%5.3%
HV 20d19.9%17.1%21.6%17.4%19.2%
HV 60d18.7%17.7%19.1%17.9%18.2%
IV Rank22.7%4.6%80.4%80.4%5.7%
IV Percentile31.9%0.4%99.2%99.2%0.8%
Term Structure0.4%-3.4%2.4%-3.4%0.6%
VWIV20.4%17.2%26.2%26.2%18.4%
Skew 25d2.6%0.4%4.0%2.9%3.1%
Skew 10d6.5%-0.8%10.6%8.4%10.6%
Call IV 25d18.9%15.8%25.0%25.0%16.6%
Put IV 25d21.5%19.2%27.9%27.9%19.8%
Bid-Ask Spread %3.482.795.404.875.40
Gamma HHI0.240.170.370.260.17
Net GEX44.5M30.5M72.1M44.3M40.2M
Net DEX-1.02B-1.36B-744.3M-1.36B-1.17B
Net VEX-9.7M-10.0M-9.0M-9.9M-9.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.011.690.390.63
Total Volume253,584.33322,0074,084,41791,34546,187
Total OI2,404,170.0952,228,3302,590,5122,450,7802,318,729

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$19.94$18.9838.1%7.3%17.4%80.4%26.2%2.9%-3.4%44.3M-1.36B-9.9M0.394.8765,75225,5931,513,707937,073
2011-05-03$19.39$18.9827.4%6.6%20.2%43.8%23.5%0.4%-2.5%43.1M-1.15B-9.0M0.963.0382,08779,2061,523,459944,483
2011-05-04$19.58$18.9828.7%6.3%20.4%48.2%22.9%0.7%-0.9%44.9M-1.16B-10.0M1.073.2234,26936,5761,541,566985,655
2011-05-05$19.35$18.9823.8%6.1%20.7%31.6%22.1%0.7%-1.4%41.7M-1.01B-10.0M0.653.3135,45322,9991,551,847993,570
2011-05-06$19.50$18.0323.7%5.5%20.9%31.2%20.5%3.0%0.7%44.9M-1.12B-10.0M1.603.0123,03136,8971,566,3881,004,426
2011-05-09$19.54$18.0328.9%5.5%20.8%49.1%20.2%3.4%0.6%45.7M-1.16B-10.0M1.093.1517,06718,5441,560,5521,019,116
2011-05-10$19.79$18.0322.6%5.2%20.9%27.4%23.4%1.4%0.5%57.2M-1.36B-9.8M0.014.664,059,34725,0701,565,4951,025,017
2011-05-11$19.55$18.9818.1%5.4%21.0%12.4%21.2%2.9%0.9%34.0M-783.7M-9.6M0.833.4254,44445,0321,299,0121,040,277
2011-05-12$19.82$18.9818.2%5.2%21.6%12.4%20.3%1.9%0.9%48.8M-947.5M-9.6M0.723.9333,74824,3431,313,6151,062,882
2011-05-13$19.85$18.9818.6%5.3%21.6%13.9%19.8%2.5%0.8%52.5M-991.6M-9.5M0.493.2629,02414,3091,325,4921,058,402
2011-05-16$19.91$18.9819.1%5.5%21.6%15.5%19.2%3.0%1.0%47.8M-981.5M-9.5M0.643.2129,38918,8821,321,0961,053,425
2011-05-17$20.06$18.9819.3%5.5%21.5%16.4%19.7%3.3%0.7%51.9M-1.08B-9.7M0.603.1253,31131,9051,331,6031,059,412
2011-05-18$20.09$18.9819.3%5.5%21.4%16.4%20.1%3.4%0.5%56.5M-1.09B-9.9M0.792.7938,46630,3351,350,9591,068,418
2011-05-19$19.95$18.9818.8%5.4%21.4%14.6%19.3%3.6%0.8%72.1M-1.02B-9.6M1.212.9225,37730,7821,334,9171,068,424
2011-05-20$19.63$18.9818.3%5.2%19.2%12.8%19.9%4.0%1.3%34.0M-812.9M-9.7M0.853.3130,01725,6611,345,1901,090,273
2011-05-23$19.54$18.9818.3%5.3%18.5%13.0%19.6%3.7%1.4%30.5M-777.7M-9.6M1.092.8515,26116,5881,264,325964,005
2011-05-24$19.47$18.9817.8%5.1%18.6%11.1%19.7%3.2%1.1%30.9M-744.3M-9.6M0.783.0519,39515,1591,269,306969,926
2011-05-25$19.72$18.9817.3%5.0%17.5%9.5%17.6%2.2%1.3%35.4M-869.2M-9.5M0.614.1428,92817,6381,283,798971,047
2011-05-26$19.83$18.9816.5%4.7%17.2%6.9%17.2%2.4%2.1%38.2M-917.2M-9.7M1.193.1930,69136,5011,298,254979,891
2011-05-27$19.86$18.9815.9%4.7%17.1%4.6%17.7%3.9%2.4%39.8M-924.6M-9.7M1.693.308,16713,8401,309,5601,002,980
2011-05-31$20.35$18.9816.2%5.3%19.2%5.7%18.4%3.1%0.6%40.2M-1.17B-9.8M0.635.4028,38317,8041,314,4961,004,233