PFE Options History — January 2012

In January 2012, PFE traded between $20.30 and $20.86. ATM implied volatility averaged 20.9%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 7.6% (HV 20d: 13.3%). Max pain ranged from $18.03 to $19.92. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.51.

Notable Days

  • 2012-01-31: Highest Volume — 2,902,593 contracts
  • 2012-01-27: Largest IV spike — 43.4% change
  • 2012-01-30: Highest IV Rank — 46.5%
  • 2012-01-19: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.65$20.30$20.86$20.84$20.30
Max Pain$19.26$18.03$19.92$18.03$19.92
ATM IV20.9%16.2%33.9%18.4%31.6%
Expected Move5.6%4.9%6.0%4.9%4.9%
HV 20d13.3%10.6%17.1%16.5%11.0%
HV 60d23.4%21.1%24.9%24.9%21.2%
IV Rank17.7%7.3%46.5%12.2%41.5%
IV Percentile31.7%2.4%92.9%9.9%90.1%
Term Structure0.2%-1.8%4.5%4.5%0.4%
VWIV21.5%19.3%27.6%20.9%27.6%
Skew 25d4.1%2.4%6.4%4.1%3.5%
Skew 10d8.5%-0.9%13.9%-0.9%4.6%
Call IV 25d18.7%16.2%19.8%17.7%16.2%
Put IV 25d22.8%19.7%25.2%21.8%19.7%
Bid-Ask Spread %4.142.1310.474.262.26
Gamma HHI0.240.140.370.350.20
Net GEX42.2M22.9M64.8M63.0M27.1M
Net DEX-1.16B-1.55B-588.6M-1.50B-598.9M
Net VEX-6.3M-6.5M-5.9M-6.2M-6.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.021.210.620.02
Total Volume208,148.5534,4462,902,59367,4882,902,593
Total OI2,288,110.41,572,5042,709,0652,563,0631,735,188

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-01-03$20.84$18.0318.4%4.9%16.5%12.2%20.9%4.1%4.5%63.0M-1.50B-6.2M0.624.2641,66025,8281,364,7861,198,277
2012-01-04$20.65$18.0319.8%4.9%17.1%15.3%20.7%3.0%3.9%54.5M-1.42B-6.5M0.163.0261,69710,0851,386,8881,203,781
2012-01-05$20.49$18.0317.6%5.7%16.7%10.3%19.3%2.4%0.6%47.3M-1.31B-6.3M0.422.6136,79215,3561,377,3791,207,329
2012-01-06$20.46$18.9817.6%6.0%16.4%10.4%20.9%5.5%0.5%46.5M-1.29B-6.2M0.923.9422,34020,6321,370,9601,205,813
2012-01-09$20.70$18.9817.9%5.8%15.5%11.0%21.9%6.4%0.4%54.6M-1.46B-5.9M0.313.9026,2318,2151,378,2251,212,737
2012-01-10$20.82$18.9817.3%5.8%14.6%9.8%20.8%5.0%-0.2%56.8M-1.46B-5.9M0.622.9330,46418,9321,386,8071,216,894
2012-01-11$20.78$18.9816.2%5.9%14.1%7.3%21.8%4.8%-0.5%60.3M-1.49B-6.1M0.472.9524,80111,7581,399,9611,221,801
2012-01-12$20.86$18.9820.3%5.8%13.0%16.4%20.9%5.1%-0.4%64.8M-1.55B-6.1M0.475.8033,97315,9641,411,2991,223,368
2012-01-13$20.72$18.9820.5%5.9%13.4%16.8%22.1%5.3%0.4%57.4M-1.47B-6.2M0.263.8353,67714,1981,421,6501,225,771
2012-01-17$20.81$18.9820.8%6.0%12.8%17.5%21.6%4.7%-0.2%54.6M-1.51B-6.1M0.323.0538,29712,4161,418,9561,228,991
2012-01-18$20.84$18.9820.8%6.0%12.6%17.5%21.4%4.3%-0.6%54.4M-1.50B-6.0M0.225.11146,37232,7511,425,7821,236,207
2012-01-19$20.72$19.9220.9%6.0%12.8%17.7%22.3%5.1%-0.3%22.9M-1.45B-6.4M1.212.9029,93636,1171,435,3961,256,186
2012-01-20$20.78$19.9219.4%5.6%11.8%14.4%20.0%3.3%0.0%33.0M-1.47B-6.4M0.602.1949,92129,9081,435,8571,273,208
2012-01-23$20.60$19.9219.1%5.5%11.8%13.6%19.6%3.2%-0.0%23.7M-658.6M-6.2M0.6510.4750,82732,844890,752681,752
2012-01-24$20.55$19.9218.6%5.3%11.8%12.6%20.0%3.8%-0.2%24.8M-645.1M-6.3M0.565.9929,12416,302924,124694,473
2012-01-25$20.61$19.9219.0%5.5%11.3%13.5%22.6%3.3%-0.6%24.2M-642.2M-6.4M0.262.1353,94913,923935,253705,599
2012-01-26$20.52$19.9220.0%5.7%11.4%15.6%21.8%3.2%-1.3%24.5M-617.3M-6.5M0.722.5634,30824,697961,475713,974
2012-01-27$20.38$19.9228.6%5.9%10.9%34.9%22.7%2.9%-1.8%23.9M-588.6M-6.5M0.702.4129,81820,774976,478723,078
2012-01-30$20.47$19.9233.9%5.7%10.6%46.5%20.7%2.7%-1.3%26.4M-638.3M-6.5M0.6410.4764,45641,035981,145714,608
2012-01-31$20.30$19.9231.6%4.9%11.0%41.5%27.6%3.5%0.4%27.1M-598.9M-6.4M0.022.262,855,41147,1821,006,106729,082