PFE Options History — September 2011

In September 2011, PFE traded between $16.56 and $18.04. ATM implied volatility averaged 30.6%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 0.6% (HV 20d: 30.0%). Max pain ranged from $18.03 to $18.03. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.03.

Notable Days

2011-09-22: Highest Volume — 145,776 contracts
2011-09-09: Largest IV spike — 30.8% change
2011-09-12: Highest IV Rank — 53.6%
2011-09-22: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.24	$16.56	$18.04	$17.94	$16.77
Max Pain	$18.03	$18.03	$18.03	$18.03	$18.03
ATM IV	30.6%	27.0%	37.1%	27.0%	33.1%
Expected Move	8.7%	7.2%	10.1%	7.2%	9.1%
HV 20d	30.0%	21.8%	43.9%	42.8%	24.4%
HV 60d	31.5%	31.1%	31.9%	31.4%	31.7%
IV Rank	39.2%	31.1%	53.6%	31.3%	44.7%
IV Percentile	90.6%	84.1%	98.0%	88.1%	94.0%
Term Structure	1.8%	0.8%	3.2%	0.9%	2.4%
VWIV	30.1%	25.4%	34.7%	26.3%	31.7%
Skew 25d	8.5%	5.0%	10.2%	5.0%	9.6%
Skew 10d	18.4%	11.9%	21.9%	11.9%	19.0%
Call IV 25d	26.8%	23.2%	29.8%	24.7%	29.2%
Put IV 25d	35.3%	29.7%	39.1%	29.7%	38.8%
Bid-Ask Spread %	4.88	3.60	5.92	3.60	4.81
Gamma HHI	0.16	0.14	0.19	0.19	0.15
Net GEX	11.0M	4.3M	23.4M	23.3M	6.8M
Net DEX	-20.0M	-371.3M	229.6M	-371.3M	145.5M
Net VEX	-8.6M	-9.3M	-7.9M	-9.2M	-8.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.03	0.41	4.52	0.98	0.41
Total Volume	54,389.286	18,605	145,776	50,272	29,288
Total OI	2,792,837.286	2,556,967	3,019,813	2,856,345	2,693,395

Daily Data (21 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
2011-09-01	$17.94	$18.03	27.0%	7.2%	42.8%	31.3%	26.3%	5.0%	0.9%	23.3M	-371.3M	-9.2M	0.98	3.60	25,365	24,907	1,658,761	1,197,584
2011-09-02	$17.51	$18.03	29.8%	8.3%	43.9%	37.4%	26.0%	5.8%	1.1%	15.1M	-154.2M	-9.0M	4.52	4.27	11,612	52,510	1,662,724	1,209,342
2011-09-06	$17.69	$18.03	30.6%	8.4%	39.5%	39.3%	32.3%	9.2%	1.0%	16.4M	-205.9M	-9.2M	0.74	5.82	34,036	25,338	1,643,034	1,231,176
2011-09-07	$18.04	$18.03	28.0%	8.1%	35.4%	33.5%	29.0%	8.3%	1.3%	23.4M	-357.3M	-9.3M	0.61	4.68	22,019	13,479	1,656,314	1,237,564
2011-09-08	$17.86	$18.03	27.6%	8.2%	33.3%	32.5%	30.3%	8.3%	1.2%	19.6M	-270.8M	-9.1M	0.77	4.31	20,472	15,858	1,662,322	1,241,027
2011-09-09	$17.34	$18.03	36.1%	9.7%	32.1%	51.4%	32.6%	10.2%	0.8%	9.9M	-17.0M	-8.8M	1.12	5.18	42,243	47,398	1,672,279	1,247,595
2011-09-12	$17.31	$18.03	37.1%	9.8%	32.1%	53.6%	34.7%	9.3%	1.1%	8.3M	-12.1M	-8.8M	0.91	4.72	46,562	42,334	1,680,712	1,259,981
2011-09-13	$17.39	$18.03	31.7%	9.2%	30.7%	41.7%	31.6%	8.6%	1.6%	8.5M	-39.5M	-8.9M	1.22	4.30	28,346	34,441	1,704,709	1,278,089
2011-09-14	$17.47	$18.03	31.1%	9.1%	30.8%	40.4%	30.5%	8.2%	1.9%	9.8M	-80.1M	-8.9M	1.35	4.88	25,942	34,929	1,714,698	1,299,111
2011-09-15	$17.54	$18.03	30.2%	8.7%	30.6%	38.4%	28.8%	8.9%	1.9%	11.2M	-115.6M	-8.8M	1.16	4.06	15,719	18,241	1,716,300	1,299,562
2011-09-16	$17.22	$18.03	27.0%	7.7%	27.0%	31.1%	25.4%	7.9%	3.2%	4.3M	32.1M	-8.3M	1.26	4.88	40,016	50,611	1,716,463	1,303,350
2011-09-19	$17.13	$18.03	27.3%	7.8%	27.1%	32.0%	27.7%	7.7%	3.2%	10.1M	23.6M	-8.3M	0.46	4.62	31,663	14,608	1,444,996	1,111,971
2011-09-20	$17.31	$18.03	27.1%	7.8%	27.3%	31.4%	26.0%	7.8%	2.9%	12.4M	-49.9M	-8.4M	0.67	5.69	28,465	19,015	1,456,811	1,117,653
2011-09-21	$16.93	$18.03	28.4%	8.1%	26.2%	34.3%	28.1%	7.5%	2.5%	7.7M	110.7M	-8.2M	0.64	4.57	21,650	13,777	1,467,340	1,129,753
2011-09-22	$16.59	$18.03	35.3%	10.1%	26.7%	49.5%	32.5%	9.2%	0.9%	4.8M	200.9M	-8.0M	0.99	4.96	73,164	72,612	1,465,451	1,136,699
2011-09-23	$16.56	$18.03	34.9%	10.0%	25.5%	48.8%	33.2%	9.5%	1.2%	4.9M	222.3M	-8.1M	1.18	5.68	15,068	17,842	1,497,692	1,160,890
2011-09-26	$16.86	$18.03	29.8%	8.5%	25.9%	37.3%	29.9%	9.8%	2.5%	7.5M	119.2M	-8.1M	0.44	5.39	20,831	9,168	1,495,699	1,154,127
2011-09-27	$16.84	$18.03	29.4%	8.4%	21.8%	36.7%	29.6%	9.4%	2.4%	8.4M	113.7M	-8.1M	0.46	5.92	31,170	14,203	1,505,457	1,162,739
2011-09-28	$16.66	$18.03	30.2%	8.7%	22.0%	38.4%	32.9%	9.5%	2.2%	5.8M	229.6M	-7.9M	0.74	5.07	10,713	7,892	1,508,837	1,166,058
2011-09-29	$17.06	$18.03	30.2%	8.7%	23.8%	38.4%	31.9%	9.0%	2.4%	11.9M	56.1M	-8.2M	0.98	4.99	19,493	19,175	1,512,145	1,169,173
2011-09-30	$16.77	$18.03	33.1%	9.1%	24.4%	44.7%	31.7%	9.6%	2.4%	6.8M	145.5M	-8.1M	0.41	4.81	20,830	8,458	1,514,752	1,178,643