PFE Options History — November 2011

In November 2011, PFE traded between $17.50 and $19.05. ATM implied volatility averaged 26.3%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 2.2% (HV 20d: 28.5%). 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 9 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2011-11-07: Highest Volume — 2,865,854 contracts
  • 2011-11-09: Largest IV spike — 42.6% change
  • 2011-11-09: Highest IV Rank — 40.5%
  • 2011-11-25: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.49$17.50$19.05$18.34$19.04
Max Pain$17.89$17.08$18.03$17.08$18.03
ATM IV26.3%21.9%31.2%29.4%23.4%
Expected Move7.5%6.5%8.8%8.4%6.7%
HV 20d28.5%25.7%31.3%26.4%31.3%
HV 60d27.2%25.6%30.9%30.9%27.5%
IV Rank29.8%19.8%40.5%36.6%23.2%
IV Percentile73.5%56.3%90.1%84.5%59.9%
Term Structure-0.4%-2.8%1.2%-1.6%-0.0%
VWIV27.0%23.0%29.9%29.9%25.2%
Skew 25d5.9%3.2%7.1%7.1%6.7%
Skew 10d11.7%7.5%15.6%8.6%13.4%
Call IV 25d24.2%20.5%28.5%25.9%20.5%
Put IV 25d30.1%25.9%33.0%33.0%27.1%
Bid-Ask Spread %3.973.025.725.723.78
Gamma HHI0.220.150.260.200.24
Net GEX28.5M9.7M46.7M27.9M36.1M
Net DEX-534.4M-1.01B-60.1M-526.9M-828.6M
Net VEX-8.0M-8.4M-7.4M-8.0M-7.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.011.350.420.26
Total Volume190,073.71413,1532,865,854116,858153,082
Total OI2,774,317.6192,697,2622,855,8202,757,9622,762,963

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$18.34$17.0829.4%8.4%26.4%36.6%29.9%7.1%-1.6%27.9M-526.9M-8.0M0.425.7282,09234,7661,538,6561,219,306
2011-11-02$18.53$17.0824.6%7.0%25.7%25.9%26.4%6.9%0.4%30.3M-557.0M-8.1M0.435.3733,67414,6481,560,9441,233,230
2011-11-03$18.86$17.0822.7%6.5%25.9%21.6%26.2%6.0%1.2%36.8M-773.1M-8.3M0.364.2028,14710,2741,565,5291,236,052
2011-11-04$18.65$18.0322.8%6.7%26.3%21.8%25.3%6.2%0.5%35.3M-680.7M-8.1M0.824.9735,63429,2771,564,8971,235,104
2011-11-07$19.04$18.0322.4%6.6%25.8%21.0%23.1%4.5%0.1%46.7M-1.01B-7.7M0.014.182,850,01315,8411,565,5571,251,894
2011-11-08$19.05$18.0321.9%6.5%25.7%19.8%23.0%5.2%0.3%38.0M-758.9M-8.0M0.514.4641,97921,6011,443,5011,256,617
2011-11-09$18.35$18.0331.2%8.1%29.5%40.5%27.1%6.5%-0.6%21.4M-358.2M-7.9M0.894.3952,09646,2671,459,5211,262,225
2011-11-10$18.79$18.0325.9%7.4%30.4%28.8%26.4%6.6%0.1%33.4M-682.5M-8.3M1.353.3328,07238,0221,480,6571,279,050
2011-11-11$18.97$18.0325.3%7.3%30.2%27.6%27.2%6.5%0.0%38.5M-787.3M-8.4M0.863.5217,90615,4711,489,9861,297,852
2011-11-14$18.78$18.0325.8%7.4%29.6%28.7%27.8%7.0%-0.1%35.6M-669.1M-8.1M0.893.1147,57342,3021,489,5981,303,038
2011-11-15$18.85$18.0325.1%7.2%29.2%26.9%25.6%6.1%0.0%37.7M-702.2M-8.4M0.363.239,6683,4851,519,0271,321,262
2011-11-16$18.57$18.0325.7%7.4%29.7%28.4%26.5%6.7%-0.4%29.8M-523.3M-8.3M0.713.5814,0869,9611,520,9941,320,399
2011-11-17$18.47$18.0329.5%8.5%29.7%36.9%29.4%6.7%-0.8%24.3M-471.5M-8.2M0.644.9720,78713,3781,525,5261,324,971
2011-11-18$18.53$18.0324.6%7.1%29.1%25.9%28.0%6.1%0.5%25.1M-506.3M-8.2M0.704.1223,58616,4411,530,6561,325,164
2011-11-21$17.99$18.0327.9%8.0%30.6%33.3%27.5%5.8%-0.2%17.9M-282.6M-7.8M0.673.0843,41628,8791,464,5331,232,729
2011-11-22$17.93$18.0327.0%7.7%29.2%31.1%26.9%5.1%-0.2%17.4M-214.9M-7.8M0.603.0215,5709,3351,497,3451,245,491
2011-11-23$17.50$18.0330.4%8.7%29.2%38.9%28.8%3.2%-2.7%9.7M-60.1M-7.4M0.633.5523,45314,7111,476,5891,237,382
2011-11-25$17.50$18.0330.7%8.8%26.9%39.4%29.5%3.8%-2.8%10.6M-85.6M-7.5M0.533.5317,9999,4971,487,1311,248,299
2011-11-28$18.11$18.0328.2%8.1%30.0%33.8%28.7%6.0%-1.4%19.9M-288.4M-7.5M0.413.1226,04810,5951,488,0211,250,944
2011-11-29$18.41$18.0328.7%8.2%28.9%35.1%27.6%4.8%-1.4%26.2M-452.4M-7.6M0.544.1127,20614,7101,497,4031,250,627
2011-11-30$19.04$18.0323.4%6.7%31.3%23.2%25.2%6.7%-0.0%36.1M-828.6M-7.6M0.263.78121,12431,9581,510,1051,252,858