PFE Options History — August 2011

In August 2011, PFE traded between $15.81 and $18.04. ATM implied volatility averaged 34.0%, placing in the 53.6% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 3.6% (HV 20d: 37.6%). Max pain ranged from $18.03 to $18.98. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.94.

Notable Days

2011-08-02: Highest Volume — 450,646 contracts
2011-08-08: Largest IV spike — 59.8% change
2011-08-08: Highest IV Rank — 100.0%
2011-08-08: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.11	$15.81	$18.04	$18.04	$18.01
Max Pain	$18.19	$18.03	$18.98	$18.98	$18.03
ATM IV	34.0%	27.4%	58.0%	40.0%	33.2%
Expected Move	8.7%	7.1%	11.5%	7.7%	7.4%
HV 20d	37.6%	14.5%	48.6%	14.5%	45.3%
HV 60d	27.0%	17.9%	31.4%	17.9%	31.4%
IV Rank	53.6%	32.1%	100.0%	87.5%	44.9%
IV Percentile	96.4%	92.9%	100.0%	99.6%	96.0%
Term Structure	-1.0%	-3.8%	1.0%	-2.2%	1.0%
VWIV	31.4%	25.4%	41.2%	27.9%	27.7%
Skew 25d	7.2%	2.3%	11.5%	4.2%	5.5%
Skew 10d	15.2%	2.3%	23.7%	6.4%	15.9%
Call IV 25d	28.4%	24.2%	37.8%	26.2%	24.7%
Put IV 25d	35.6%	27.5%	47.3%	30.5%	30.2%
Bid-Ask Spread %	4.32	2.47	6.82	3.99	4.72
Gamma HHI	0.16	0.13	0.20	0.16	0.20
Net GEX	8.8M	-2.1M	24.6M	9.1M	24.2M
Net DEX	111.3M	-378.6M	497.7M	-8.4M	-378.6M
Net VEX	-8.4M	-9.4M	-7.7M	-8.3M	-9.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.08	2.49	0.67	1.81
Total Volume	104,081.739	26,778	450,646	102,621	56,464
Total OI	2,725,495.652	2,465,350	2,854,779	2,465,350	2,844,352

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
2011-08-01	$18.04	$18.98	40.0%	7.7%	14.5%	87.5%	27.9%	4.2%	-2.2%	9.1M	-8.4M	-8.3M	0.67	3.99	61,632	40,989	1,386,228	1,079,122
2011-08-02	$17.21	$18.98	35.5%	7.4%	20.7%	83.5%	27.2%	2.3%	0.2%	364.7K	279.2M	-7.9M	0.08	5.38	417,624	33,022	1,409,761	1,087,098
2011-08-03	$17.11	$18.98	29.8%	7.1%	20.6%	62.3%	25.4%	3.3%	0.3%	-1.4M	315.6M	-7.9M	0.89	2.81	53,169	47,335	1,436,301	1,097,366
2011-08-04	$16.47	$18.98	39.7%	10.0%	22.3%	99.0%	33.8%	4.9%	-3.3%	-2.1M	450.5M	-7.7M	0.57	6.48	87,833	50,307	1,455,809	1,108,784
2011-08-05	$16.59	$18.03	36.3%	9.3%	22.9%	86.3%	33.0%	7.0%	-1.3%	1.2M	401.8M	-7.9M	0.43	3.79	109,420	47,090	1,499,854	1,112,438
2011-08-08	$15.81	$18.03	58.0%	11.5%	27.2%	100.0%	41.2%	9.6%	-3.8%	782.0K	497.7M	-7.7M	0.63	4.74	82,291	52,089	1,557,428	1,115,088
2011-08-09	$16.70	$18.03	30.0%	9.1%	35.4%	38.0%	35.5%	7.4%	-2.1%	4.0M	327.5M	-8.1M	1.47	6.82	67,979	100,036	1,573,499	1,120,829
2011-08-10	$16.18	$18.03	46.6%	10.9%	36.5%	74.7%	39.7%	9.1%	-3.5%	2.2M	432.1M	-8.1M	0.72	4.29	62,251	45,086	1,629,799	1,164,982
2011-08-11	$16.90	$18.03	34.5%	9.9%	40.8%	47.9%	36.3%	8.4%	-2.9%	8.0M	190.2M	-8.7M	0.80	3.30	54,744	43,520	1,646,079	1,164,899
2011-08-12	$16.94	$18.03	31.3%	9.0%	40.9%	40.7%	32.4%	7.3%	-1.6%	7.2M	182.9M	-8.6M	0.67	4.02	39,976	26,914	1,648,840	1,181,495
2011-08-15	$17.40	$18.03	28.9%	8.3%	42.4%	35.5%	28.1%	5.9%	-0.5%	12.7M	-10.4M	-8.9M	0.53	4.47	33,615	17,730	1,648,860	1,175,285
2011-08-16	$17.37	$18.03	29.0%	8.3%	41.8%	35.7%	29.4%	6.3%	-0.6%	11.1M	10.1M	-8.7M	2.49	3.61	7,675	19,103	1,654,566	1,179,125
2011-08-17	$17.54	$18.03	27.4%	7.9%	42.1%	32.1%	26.5%	5.4%	0.2%	13.5M	-62.1M	-8.8M	0.83	2.86	17,391	14,349	1,647,196	1,185,452
2011-08-18	$16.80	$18.03	32.7%	9.4%	44.0%	43.9%	36.1%	10.0%	-1.6%	5.6M	247.9M	-8.3M	1.87	5.10	38,174	71,257	1,646,945	1,182,972
2011-08-19	$16.76	$18.03	32.7%	9.4%	44.0%	44.0%	35.3%	10.9%	-1.1%	4.7M	258.2M	-8.4M	0.96	5.11	42,916	41,019	1,657,185	1,197,594
2011-08-22	$16.77	$18.03	30.9%	8.9%	44.0%	40.0%	31.9%	11.5%	-0.4%	5.8M	179.4M	-8.1M	0.84	4.33	31,195	26,320	1,558,163	1,108,598
2011-08-23	$17.31	$18.03	28.9%	8.3%	45.9%	35.5%	28.4%	9.1%	0.3%	10.8M	-4.5M	-8.6M	0.98	4.13	21,189	20,868	1,568,413	1,118,300
2011-08-24	$17.45	$18.03	29.1%	8.3%	45.8%	35.9%	28.3%	8.7%	-0.3%	13.8M	-69.9M	-8.7M	0.95	4.93	20,751	19,714	1,576,926	1,129,782
2011-08-25	$17.04	$18.03	31.9%	9.1%	46.3%	42.1%	34.3%	9.2%	-1.9%	9.9M	78.8M	-8.4M	1.00	3.44	83,025	82,780	1,582,105	1,139,024
2011-08-26	$17.28	$18.03	34.1%	8.4%	46.7%	46.9%	30.5%	7.8%	-0.2%	13.6M	-46.4M	-8.8M	0.41	5.02	50,415	20,685	1,624,612	1,177,988
2011-08-29	$17.91	$18.03	30.3%	7.3%	48.6%	38.6%	27.5%	5.5%	0.2%	24.6M	-364.7M	-9.2M	0.68	2.47	35,829	24,403	1,630,243	1,167,478
2011-08-30	$17.91	$18.03	30.1%	7.2%	45.3%	38.0%	26.6%	5.8%	1.0%	22.4M	-347.4M	-9.1M	1.38	3.46	30,959	42,747	1,639,054	1,170,483
2011-08-31	$18.01	$18.03	33.2%	7.4%	45.3%	44.9%	27.7%	5.5%	1.0%	24.2M	-378.6M	-9.4M	1.81	4.72	20,103	36,361	1,648,118	1,196,234