PFE Options History — December 2011

In December 2011, PFE traded between $18.82 and $20.71. ATM implied volatility averaged 21.2%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 4.1% (HV 20d: 25.4%). Max pain ranged from $16.60 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 0.74.

Notable Days

2011-12-15: Highest Volume — 174,354 contracts
2011-12-28: Largest IV spike — 28.3% change
2011-12-08: Highest IV Rank — 28.3%
2011-12-08: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.87	$18.82	$20.71	$19.00	$20.53
Max Pain	$17.21	$16.60	$18.03	$18.03	$18.03
ATM IV	21.2%	16.6%	25.7%	22.1%	16.6%
Expected Move	6.1%	4.7%	7.0%	6.3%	6.1%
HV 20d	25.4%	16.5%	31.2%	31.2%	16.6%
HV 60d	26.4%	24.9%	27.2%	27.2%	24.9%
IV Rank	18.4%	8.1%	28.3%	20.3%	8.1%
IV Percentile	42.3%	3.2%	68.3%	52.8%	3.6%
Term Structure	2.1%	0.3%	4.4%	0.6%	0.6%
VWIV	22.6%	19.1%	29.0%	25.1%	20.6%
Skew 25d	4.7%	3.3%	6.2%	5.1%	4.1%
Skew 10d	11.6%	7.3%	15.0%	10.9%	12.9%
Call IV 25d	19.4%	16.7%	22.3%	21.1%	18.7%
Put IV 25d	24.1%	21.0%	27.8%	26.2%	22.8%
Bid-Ask Spread %	3.62	1.81	5.25	4.36	4.55
Gamma HHI	0.25	0.21	0.37	0.23	0.25
Net GEX	46.8M	32.5M	76.8M	32.5M	49.7M
Net DEX	-1.17B	-1.45B	-697.4M	-766.0M	-1.33B
Net VEX	-7.1M	-7.5M	-6.6M	-7.5M	-6.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.18	3.19	0.90	0.36
Total Volume	70,544.619	19,463	174,354	69,265	35,632
Total OI	2,696,853.238	2,451,137	2,872,855	2,730,162	2,559,192

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
2011-12-01	$19.00	$18.03	22.1%	6.3%	31.2%	20.3%	25.1%	5.1%	0.6%	32.5M	-766.0M	-7.5M	0.90	4.36	36,457	32,808	1,472,830	1,257,332
2011-12-02	$18.87	$18.03	21.4%	6.1%	30.7%	18.7%	22.3%	3.3%	1.1%	35.5M	-735.4M	-7.5M	0.61	5.16	27,920	16,995	1,503,147	1,276,414
2011-12-05	$18.82	$16.60	21.9%	6.4%	30.4%	19.9%	24.5%	6.2%	2.2%	34.4M	-697.4M	-7.3M	0.54	4.18	53,599	28,852	1,505,152	1,278,352
2011-12-06	$19.19	$16.60	22.9%	6.5%	30.3%	22.0%	24.0%	5.5%	2.3%	41.9M	-937.7M	-7.3M	0.92	2.69	37,067	34,008	1,495,996	1,282,837
2011-12-07	$19.42	$16.60	24.9%	6.9%	30.6%	26.7%	23.8%	5.6%	2.2%	43.4M	-1.07B	-7.3M	0.93	2.79	29,161	27,034	1,504,468	1,289,604
2011-12-08	$19.16	$16.60	25.7%	7.0%	27.6%	28.3%	29.0%	5.5%	2.2%	36.4M	-865.0M	-7.5M	3.19	3.67	12,358	39,440	1,515,386	1,304,546
2011-12-09	$19.51	$16.60	20.2%	5.9%	27.1%	16.0%	24.2%	6.0%	2.2%	43.7M	-1.11B	-7.4M	1.01	2.86	35,127	35,313	1,513,049	1,332,109
2011-12-12	$19.35	$16.60	24.4%	6.7%	27.2%	25.5%	23.1%	5.1%	2.5%	45.1M	-1.05B	-7.2M	0.45	5.25	83,284	37,429	1,526,345	1,328,399
2011-12-13	$19.70	$16.60	22.1%	6.0%	27.5%	20.4%	22.1%	5.1%	2.4%	49.2M	-1.21B	-7.3M	0.38	4.15	67,773	26,044	1,515,736	1,342,490
2011-12-14	$19.79	$16.60	22.9%	6.2%	27.5%	22.2%	24.0%	4.7%	2.6%	49.3M	-1.25B	-7.3M	0.28	3.37	72,147	20,200	1,515,752	1,349,064
2011-12-15	$20.06	$16.60	21.8%	6.2%	26.9%	19.6%	23.8%	4.4%	3.0%	55.2M	-1.40B	-7.3M	0.37	4.08	127,226	47,128	1,521,365	1,351,490
2011-12-16	$19.95	$16.60	20.6%	5.9%	26.9%	17.1%	21.2%	4.4%	3.3%	76.8M	-1.31B	-6.9M	0.18	3.16	57,141	10,190	1,471,443	1,371,152
2011-12-19	$20.06	$16.60	20.9%	6.0%	26.9%	17.8%	22.0%	3.9%	2.9%	36.2M	-1.10B	-6.8M	0.64	3.39	52,560	33,603	1,325,303	1,125,834
2011-12-20	$20.36	$16.60	20.8%	6.0%	24.1%	17.4%	21.6%	4.2%	3.5%	47.4M	-1.33B	-6.7M	0.91	3.69	24,273	22,140	1,353,133	1,144,817
2011-12-21	$20.57	$18.03	20.3%	5.8%	23.8%	16.4%	20.5%	3.5%	1.3%	49.3M	-1.43B	-6.8M	1.22	3.27	64,581	78,744	1,356,085	1,156,137
2011-12-22	$20.52	$18.03	20.9%	6.0%	21.2%	17.6%	21.3%	4.5%	0.3%	50.0M	-1.38B	-6.8M	0.37	3.69	29,090	10,657	1,369,505	1,191,871
2011-12-23	$20.71	$18.03	16.6%	4.8%	21.0%	8.1%	20.4%	3.9%	3.8%	54.4M	-1.45B	-6.7M	0.44	2.47	13,543	5,920	1,367,404	1,188,964
2011-12-27	$20.65	$18.03	16.6%	4.7%	19.0%	8.1%	19.1%	4.6%	4.4%	52.0M	-1.43B	-6.7M	0.59	4.21	26,332	15,576	1,361,593	1,187,361
2011-12-28	$20.43	$18.03	21.2%	6.1%	19.6%	18.4%	21.7%	4.3%	0.5%	49.2M	-1.31B	-6.6M	0.57	1.81	33,131	18,849	1,373,495	1,190,409
2011-12-29	$20.60	$18.03	21.1%	6.0%	16.5%	18.1%	20.8%	4.2%	0.3%	51.9M	-1.36B	-6.6M	0.60	3.27	13,789	8,316	1,363,249	1,195,108
2011-12-30	$20.53	$18.03	16.6%	6.1%	16.6%	8.1%	20.6%	4.1%	0.6%	49.7M	-1.33B	-6.7M	0.36	4.55	26,110	9,522	1,363,733	1,195,459