PFE Options History — July 2011

In July 2011, PFE traded between $18.26 and $19.72. ATM implied volatility averaged 21.1%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.4% (HV 20d: 18.8%). Max pain ranged from $18.98 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 1.19.

Notable Days

2011-07-07: Highest Volume — 144,341 contracts
2011-07-29: Largest IV spike — 39.4% change
2011-07-29: Highest IV Rank — 74.4%
2011-07-29: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.95	$18.26	$19.72	$19.69	$18.26
Max Pain	$18.98	$18.98	$18.98	$18.98	$18.98
ATM IV	21.1%	14.1%	35.9%	14.1%	35.9%
Expected Move	6.2%	4.1%	7.9%	4.1%	7.9%
HV 20d	18.8%	14.7%	23.3%	21.3%	14.7%
HV 60d	19.3%	17.9%	20.0%	19.4%	17.9%
IV Rank	26.5%	3.8%	74.4%	3.8%	74.4%
IV Percentile	49.6%	0.4%	99.2%	0.4%	99.2%
Term Structure	-0.0%	-1.6%	4.6%	4.6%	-1.6%
VWIV	22.3%	15.2%	29.0%	15.2%	29.0%
Skew 25d	4.6%	3.1%	5.5%	3.1%	5.1%
Skew 10d	9.9%	7.5%	11.9%	7.5%	10.2%
Call IV 25d	20.3%	15.2%	25.9%	15.2%	25.9%
Put IV 25d	24.9%	18.4%	31.1%	18.4%	31.1%
Bid-Ask Spread %	4.52	3.28	5.95	4.65	5.53
Gamma HHI	0.16	0.15	0.18	0.17	0.16
Net GEX	21.1M	11.9M	35.4M	33.1M	11.9M
Net DEX	-431.0M	-818.5M	-127.9M	-782.2M	-132.3M
Net VEX	-9.0M	-9.5M	-8.5M	-9.5M	-8.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.19	0.39	2.27	2.27	0.68
Total Volume	50,146.85	20,476	144,341	27,299	47,505
Total OI	2,394,723.35	2,322,602	2,458,203	2,343,279	2,458,203

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
2011-07-01	$19.69	$18.98	14.1%	4.1%	21.3%	3.8%	15.2%	3.1%	4.6%	33.1M	-782.2M	-9.5M	2.27	4.65	8,345	18,954	1,337,191	1,006,088
2011-07-05	$19.72	$18.98	16.5%	5.6%	21.2%	11.6%	21.4%	5.1%	0.2%	34.0M	-800.5M	-9.4M	1.17	4.98	10,526	12,347	1,336,420	1,011,631
2011-07-06	$19.72	$18.98	15.8%	5.6%	21.2%	9.4%	21.7%	5.1%	0.6%	35.4M	-818.5M	-9.4M	1.20	5.03	14,690	17,618	1,339,325	1,016,702
2011-07-07	$19.19	$18.98	19.7%	6.1%	23.3%	21.8%	21.2%	4.3%	-0.4%	24.0M	-542.3M	-9.1M	0.66	4.72	86,819	57,522	1,345,208	1,018,579
2011-07-08	$19.13	$18.98	17.6%	6.0%	23.2%	15.1%	21.8%	3.8%	-0.3%	22.6M	-521.0M	-9.2M	1.97	4.27	15,159	29,792	1,373,100	1,042,753
2011-07-11	$19.01	$18.98	20.8%	6.5%	20.5%	25.3%	22.5%	4.3%	-0.9%	19.8M	-452.4M	-9.1M	0.83	3.77	46,133	38,423	1,366,789	1,037,356
2011-07-12	$18.98	$18.98	20.3%	6.2%	19.4%	24.0%	21.7%	4.1%	-0.2%	20.5M	-440.1M	-9.1M	1.58	4.65	13,642	21,559	1,373,392	1,043,274
2011-07-13	$18.97	$18.98	18.9%	6.1%	19.3%	19.5%	21.8%	4.1%	-0.2%	19.6M	-435.2M	-9.1M	2.17	5.47	11,533	25,041	1,373,872	1,050,567
2011-07-14	$18.89	$18.98	21.6%	6.2%	18.1%	27.9%	22.3%	4.7%	0.4%	18.4M	-366.1M	-9.1M	1.85	5.12	21,071	39,020	1,374,396	1,055,252
2011-07-15	$18.74	$18.98	22.0%	6.3%	18.3%	29.2%	23.3%	4.7%	-0.2%	17.6M	-283.2M	-9.0M	1.25	3.39	32,901	41,123	1,380,927	1,073,542
2011-07-18	$18.63	$18.98	22.4%	6.4%	18.3%	30.6%	23.1%	5.5%	0.1%	15.0M	-282.0M	-9.1M	1.01	4.29	21,894	22,059	1,303,005	1,019,597
2011-07-19	$18.92	$18.98	19.9%	5.7%	19.3%	22.4%	20.6%	5.2%	1.0%	19.0M	-406.8M	-9.1M	0.39	4.63	35,443	13,684	1,313,460	1,029,518
2011-07-20	$18.88	$18.98	20.5%	5.9%	19.0%	24.4%	21.8%	5.0%	0.5%	21.0M	-407.3M	-9.1M	1.45	3.81	14,390	20,882	1,327,246	1,034,149
2011-07-21	$19.07	$18.98	21.2%	6.1%	19.2%	26.7%	20.9%	3.8%	-0.2%	22.3M	-483.8M	-9.1M	0.45	3.72	39,357	17,574	1,325,573	1,044,174
2011-07-22	$19.04	$18.98	21.0%	6.0%	18.0%	26.0%	21.2%	4.3%	-0.3%	23.6M	-497.1M	-9.0M	0.83	3.59	34,668	28,770	1,346,727	1,047,127
2011-07-25	$18.80	$18.98	22.0%	6.3%	15.7%	29.3%	22.7%	4.7%	-0.7%	20.7M	-383.6M	-8.6M	1.12	3.28	9,662	10,814	1,350,975	1,056,492
2011-07-26	$18.62	$18.98	21.8%	6.2%	15.8%	28.6%	23.4%	4.8%	-0.4%	18.4M	-291.2M	-8.5M	1.67	4.62	13,818	23,088	1,353,134	1,062,550
2011-07-27	$18.31	$18.98	25.1%	7.2%	14.9%	39.3%	25.6%	4.8%	-1.4%	12.0M	-127.9M	-8.7M	0.72	4.96	26,686	19,240	1,357,061	1,067,826
2011-07-28	$18.37	$18.98	25.8%	7.4%	14.7%	41.5%	24.6%	4.9%	-1.2%	12.5M	-166.5M	-8.8M	0.47	5.95	28,007	13,178	1,366,917	1,074,369
2011-07-29	$18.26	$18.98	35.9%	7.9%	14.7%	74.4%	29.0%	5.1%	-1.6%	11.9M	-132.3M	-8.9M	0.68	5.53	28,225	19,280	1,381,516	1,076,687