PFE Options History — June 2011

In June 2011, PFE traded between $19.05 and $19.97. ATM implied volatility averaged 21.0%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 1.5% (HV 20d: 19.5%). Max pain ranged from $18.98 to $18.98. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.94.

Notable Days

2011-06-23: Highest Volume — 112,450 contracts
2011-06-30: Largest IV drop — 33.8% change
2011-06-27: Highest IV Rank — 45.1%
2011-06-16: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.46	$19.05	$19.97	$19.97	$19.54
Max Pain	$18.98	$18.98	$18.98	$18.98	$18.98
ATM IV	21.0%	12.9%	27.8%	21.4%	12.9%
Expected Move	5.9%	4.6%	6.8%	5.4%	4.6%
HV 20d	19.5%	15.7%	22.8%	17.6%	21.3%
HV 60d	18.5%	17.7%	19.5%	18.7%	19.4%
IV Rank	22.3%	0.0%	45.1%	23.6%	0.0%
IV Percentile	47.3%	0.0%	92.5%	54.0%	0.0%
Term Structure	2.1%	0.4%	3.8%	0.4%	3.2%
VWIV	20.8%	17.8%	23.8%	19.9%	17.8%
Skew 25d	4.7%	3.2%	6.1%	3.3%	3.8%
Skew 10d	10.9%	7.5%	15.4%	7.5%	9.1%
Call IV 25d	19.2%	16.5%	21.8%	18.1%	16.5%
Put IV 25d	23.9%	20.3%	26.8%	21.4%	20.3%
Bid-Ask Spread %	5.08	3.46	6.92	3.87	4.98
Gamma HHI	0.18	0.15	0.21	0.18	0.17
Net GEX	30.8M	22.8M	40.3M	37.8M	30.3M
Net DEX	-722.7M	-994.0M	-530.2M	-994.0M	-703.4M
Net VEX	-9.4M	-9.7M	-9.2M	-9.7M	-9.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.34	2.19	1.38	1.71
Total Volume	42,481.727	15,073	112,450	27,369	30,222
Total OI	2,320,060	2,168,409	2,437,703	2,325,204	2,327,529

Daily Data (22 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
2011-06-01	$19.97	$18.98	21.4%	5.4%	17.6%	23.6%	19.9%	3.3%	0.4%	37.8M	-994.0M	-9.7M	1.38	3.87	11,507	15,862	1,316,508	1,008,696
2011-06-02	$19.92	$18.98	19.1%	5.4%	17.3%	15.7%	21.2%	3.2%	0.9%	37.7M	-961.8M	-9.7M	0.92	3.46	7,868	7,205	1,316,998	1,010,904
2011-06-03	$19.77	$18.98	19.2%	5.7%	16.9%	16.1%	20.9%	4.0%	1.8%	36.7M	-902.5M	-9.7M	0.68	5.93	17,414	11,789	1,320,022	1,013,065
2011-06-06	$19.68	$18.98	22.3%	5.9%	16.9%	26.5%	21.1%	4.5%	1.8%	36.5M	-859.0M	-9.5M	0.76	4.57	10,947	8,288	1,321,583	1,013,111
2011-06-07	$19.68	$18.98	20.5%	5.6%	16.9%	20.3%	19.8%	4.0%	2.0%	37.1M	-849.1M	-9.5M	0.72	5.71	16,607	11,980	1,323,011	1,015,444
2011-06-08	$19.62	$18.98	17.4%	5.6%	16.3%	9.7%	19.7%	4.2%	2.2%	36.4M	-809.3M	-9.4M	0.34	5.36	17,425	5,864	1,323,540	1,019,224
2011-06-09	$19.69	$18.98	18.9%	5.4%	15.7%	15.1%	19.7%	4.7%	2.4%	40.3M	-857.5M	-9.3M	0.44	4.63	21,153	9,220	1,332,080	1,020,873
2011-06-10	$19.08	$18.98	22.5%	6.4%	18.5%	27.2%	22.1%	5.0%	1.3%	27.9M	-552.3M	-9.2M	2.19	5.07	31,799	69,564	1,329,764	1,022,919
2011-06-13	$19.41	$18.98	23.2%	6.7%	19.7%	29.6%	23.8%	4.8%	1.7%	32.9M	-728.3M	-9.3M	0.67	4.94	28,510	19,211	1,336,641	1,055,779
2011-06-14	$19.53	$18.98	19.7%	5.7%	19.8%	17.8%	21.6%	4.9%	2.5%	36.4M	-753.8M	-9.2M	0.54	5.42	14,545	7,849	1,341,566	1,064,858
2011-06-15	$19.16	$18.98	23.5%	6.7%	20.6%	30.6%	22.3%	5.4%	1.5%	29.9M	-580.1M	-9.3M	0.77	4.37	20,712	15,991	1,346,346	1,069,311
2011-06-16	$19.20	$18.98	23.8%	6.8%	20.6%	31.5%	23.4%	5.0%	2.1%	27.8M	-627.4M	-9.4M	1.46	5.23	17,347	25,378	1,353,301	1,071,032
2011-06-17	$19.22	$18.98	23.1%	6.6%	20.5%	29.2%	22.4%	5.7%	1.7%	24.3M	-645.1M	-9.4M	0.56	6.92	57,665	32,064	1,357,887	1,079,816
2011-06-20	$19.23	$18.98	21.6%	6.2%	19.8%	24.2%	22.5%	5.5%	2.4%	23.7M	-578.9M	-9.3M	1.16	5.74	14,498	16,887	1,258,150	910,259
2011-06-21	$19.38	$18.98	20.6%	5.9%	20.0%	20.7%	19.4%	4.8%	2.7%	26.0M	-640.5M	-9.2M	0.47	4.83	36,600	17,295	1,261,491	918,012
2011-06-22	$19.24	$18.98	20.0%	5.7%	20.1%	18.8%	20.2%	4.3%	2.9%	24.7M	-591.8M	-9.3M	1.12	4.37	12,623	14,182	1,268,086	926,238
2011-06-23	$19.59	$18.98	18.6%	5.3%	20.7%	13.9%	19.6%	4.9%	2.5%	27.6M	-739.6M	-9.4M	0.78	5.76	63,181	49,269	1,272,760	932,964
2011-06-24	$19.05	$18.98	24.4%	6.4%	22.7%	33.8%	21.6%	6.1%	2.7%	22.9M	-536.7M	-9.5M	1.50	6.31	20,805	31,236	1,316,225	959,865
2011-06-27	$19.14	$18.98	27.8%	6.4%	22.8%	45.1%	21.7%	6.0%	1.9%	22.8M	-530.2M	-9.5M	0.96	5.24	20,119	19,318	1,317,257	972,693
2011-06-28	$19.50	$18.98	21.5%	5.4%	22.0%	24.0%	19.5%	5.1%	2.3%	28.2M	-702.3M	-9.5M	0.56	4.18	27,483	15,366	1,321,591	978,300
2011-06-29	$19.61	$18.98	19.5%	4.9%	21.3%	17.1%	18.1%	3.6%	3.8%	29.6M	-756.7M	-9.6M	0.95	4.96	16,285	15,465	1,326,186	989,435
2011-06-30	$19.54	$18.98	12.9%	4.6%	21.3%	0.0%	17.8%	3.8%	3.2%	30.3M	-703.4M	-9.5M	1.71	4.98	11,158	19,064	1,333,463	994,066