PFE Options History — October 2011

In October 2011, PFE traded between $16.44 and $18.82. ATM implied volatility averaged 28.8%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 3.9% (HV 20d: 24.9%). Max pain ranged from $17.08 to $18.03. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.16.

Notable Days

  • 2011-10-21: Highest Volume — 107,347 contracts
  • 2011-10-04: Largest IV drop — 24.8% change
  • 2011-10-03: Highest IV Rank — 72.7%
  • 2011-10-03: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.83$16.44$18.82$16.44$18.27
Max Pain$17.26$17.08$18.03$18.03$17.08
ATM IV28.8%22.4%45.7%45.7%28.4%
Expected Move8.1%6.9%10.8%10.8%8.2%
HV 20d24.9%23.2%26.6%24.0%26.6%
HV 60d32.9%31.9%33.8%31.9%32.6%
IV Rank35.2%21.1%72.7%72.7%34.5%
IV Percentile80.5%61.9%99.2%99.2%81.3%
Term Structure-0.6%-2.7%3.3%1.4%-2.7%
VWIV29.0%25.8%33.9%33.9%28.9%
Skew 25d7.2%3.7%10.2%10.2%3.7%
Skew 10d15.2%7.7%20.9%19.5%7.7%
Call IV 25d25.6%22.3%32.8%32.8%26.9%
Put IV 25d32.8%28.5%43.0%43.0%30.6%
Bid-Ask Spread %4.162.717.825.057.82
Gamma HHI0.210.140.400.140.21
Net GEX25.7M3.1M65.2M3.1M25.9M
Net DEX-283.6M-792.9M282.3M282.3M-461.3M
Net VEX-8.1M-8.3M-7.7M-7.8M-7.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.349.570.950.68
Total Volume59,210.95231,963107,34758,02940,893
Total OI2,753,446.7622,668,6882,844,8462,690,8882,750,198

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$16.44$18.0345.7%10.8%24.0%72.7%33.9%10.2%1.4%3.1M282.3M-7.8M0.955.0529,82628,2031,514,6311,176,257
2011-10-04$16.69$18.0334.4%8.5%24.3%47.5%31.4%8.9%2.8%4.7M243.0M-7.8M0.914.2831,79329,0611,530,1181,187,506
2011-10-05$17.06$18.0337.5%8.6%24.7%54.6%28.9%8.0%2.7%12.5M52.3M-8.0M0.343.8071,86024,3001,537,5591,178,681
2011-10-06$17.30$18.0334.9%7.9%25.2%48.9%26.6%8.5%3.3%19.0M-90.5M-8.2M0.672.7121,57514,4021,557,8001,184,249
2011-10-07$17.50$17.0827.7%9.3%23.4%32.9%30.1%8.8%-1.8%17.1M-190.3M-8.3M0.393.5041,90416,1371,559,2141,188,691
2011-10-10$17.95$17.0824.1%8.2%25.0%24.8%27.6%9.4%-0.7%25.1M-350.7M-8.3M0.483.3947,57522,8291,548,4931,181,238
2011-10-11$17.88$17.0824.0%8.1%25.1%24.6%29.8%8.2%-0.4%25.6M-324.1M-8.3M1.032.9915,71616,2471,561,8591,185,395
2011-10-12$17.86$17.0822.4%7.9%25.1%21.1%28.7%6.9%-0.7%25.4M-324.3M-8.1M0.663.6545,65930,2741,555,0801,185,457
2011-10-13$17.80$17.0827.2%7.8%25.1%31.7%31.1%7.0%-0.4%27.2M-247.2M-7.9M9.573.296,88965,9611,576,1881,194,166
2011-10-14$18.06$17.0826.6%7.6%24.5%30.4%27.9%7.0%-1.4%30.1M-378.6M-8.3M0.363.3437,80913,4531,574,2821,242,118
2011-10-17$17.73$17.0828.0%8.0%25.5%33.4%30.0%7.1%-1.0%26.8M-250.1M-8.1M0.823.4618,35315,1391,583,0341,239,791
2011-10-18$18.00$17.0827.6%7.9%25.7%32.6%28.6%6.8%-1.6%32.3M-320.2M-8.1M0.344.5227,1749,1921,575,0241,242,438
2011-10-19$17.85$17.0828.8%8.3%24.5%35.2%29.9%6.7%-1.6%29.6M-261.4M-8.1M1.013.7726,86527,2061,571,5181,243,494
2011-10-20$17.77$17.0828.9%8.3%23.2%35.4%31.8%6.9%-0.6%28.9M-213.2M-8.1M0.654.2527,43717,7621,572,7221,262,375
2011-10-21$18.08$17.0828.2%8.1%23.6%33.9%28.6%7.1%-1.7%65.2M-411.8M-8.1M0.593.9967,60339,7441,578,2881,266,558
2011-10-24$18.37$17.0827.5%7.9%23.4%32.4%25.8%6.6%-2.0%26.8M-487.7M-8.1M0.834.2621,19517,6061,487,4931,181,195
2011-10-25$17.90$17.0826.8%7.7%25.7%30.7%28.3%5.5%-1.5%19.9M-291.5M-7.8M0.695.4447,40232,7841,487,3461,188,406
2011-10-26$18.29$17.0826.7%7.7%25.9%30.6%26.7%5.6%-1.0%24.9M-423.1M-8.0M0.894.7917,85915,8671,515,8601,190,996
2011-10-27$18.82$17.0825.4%7.3%26.4%27.8%27.9%5.1%-1.9%35.0M-792.9M-8.1M1.054.6348,25050,8131,518,7251,202,736
2011-10-28$18.80$17.0823.9%6.9%25.3%24.4%26.5%6.2%-1.2%33.8M-714.2M-8.1M1.484.4425,29237,5211,532,8541,212,349
2011-10-31$18.27$17.0828.4%8.2%26.6%34.5%28.9%3.7%-2.7%25.9M-461.3M-7.7M0.687.8224,32816,5651,535,8271,214,371