PFE Options History — February 2012

In February 2012, PFE traded between $19.88 and $20.27. ATM implied volatility averaged 17.3%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 6.8% (HV 20d: 10.5%). Max pain ranged from $19.92 to $19.92. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.68.

Notable Days

  • 2012-02-02: Highest Volume — 123,747 contracts
  • 2012-02-27: Largest IV spike — 25.1% change
  • 2012-02-01: Highest IV Rank — 16.0%
  • 2012-02-14: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.09$19.88$20.27$20.22$20.05
Max Pain$19.92$19.92$19.92$19.92$19.92
ATM IV17.3%14.7%20.1%20.1%16.9%
Expected Move4.9%4.3%5.5%4.5%4.5%
HV 20d10.5%8.7%12.6%9.3%12.2%
HV 60d17.8%13.6%20.9%20.9%13.6%
IV Rank9.8%4.0%16.0%16.0%8.9%
IV Percentile10.7%1.2%34.1%34.1%7.5%
Term Structure0.9%0.1%1.9%1.5%1.3%
VWIV17.3%15.2%21.9%15.9%16.5%
Skew 25d3.2%0.7%4.6%1.6%3.5%
Skew 10d7.1%2.0%10.3%2.0%6.9%
Call IV 25d16.1%14.5%17.4%15.3%15.3%
Put IV 25d19.3%16.7%21.8%16.8%18.8%
Bid-Ask Spread %2.681.805.702.352.50
Gamma HHI0.180.150.210.210.18
Net GEX22.9M16.9M28.9M21.5M26.7M
Net DEX-421.5M-515.1M-287.5M-395.3M-448.3M
Net VEX-6.7M-7.0M-6.2M-6.4M-6.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.391.170.720.72
Total Volume46,673.1515,172123,74775,28518,053
Total OI1,760,1851,648,7791,846,7631,648,7791,804,542

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-02-01$20.22$19.9220.1%4.5%9.3%16.0%15.9%1.6%1.5%21.5M-395.3M-6.4M0.722.3543,73431,551903,234745,545
2012-02-02$20.03$19.9216.6%4.3%9.4%8.1%15.2%0.7%1.9%16.9M-335.3M-6.2M0.722.4572,04351,704910,572746,163
2012-02-03$20.11$19.9214.7%4.8%9.3%4.0%16.8%2.7%0.6%22.3M-395.0M-6.6M0.764.7727,19620,612954,028761,247
2012-02-06$19.88$19.9217.2%5.0%10.1%9.4%17.5%2.2%0.4%17.9M-287.5M-6.4M0.682.2923,22815,743954,873760,563
2012-02-07$19.97$19.9217.4%5.0%9.1%9.9%18.2%2.9%0.4%20.0M-342.8M-6.5M0.972.1645,12643,775961,269767,805
2012-02-08$19.93$19.9214.7%4.9%8.7%4.0%17.0%2.7%0.6%18.7M-299.5M-6.6M0.465.7020,1499,243983,084791,799
2012-02-09$20.06$19.9217.5%5.0%9.2%10.1%17.6%2.2%0.7%22.4M-416.1M-6.6M0.593.6018,50110,905981,900788,827
2012-02-10$19.97$19.9218.2%5.2%9.0%11.7%19.6%3.0%1.0%17.2M-333.3M-6.6M0.453.2228,76813,063988,298793,076
2012-02-13$20.21$19.9218.6%5.3%10.1%12.5%18.4%4.1%0.1%25.0M-473.8M-6.6M0.391.9539,65015,4111,004,011796,041
2012-02-14$20.24$19.9219.3%5.5%9.9%14.2%21.9%4.4%0.2%24.9M-515.1M-6.9M1.012.1522,06722,2851,018,047801,821
2012-02-15$20.03$19.9218.4%5.3%10.3%12.3%19.5%4.3%0.8%19.3M-406.8M-6.9M0.812.7011,4369,2731,029,458810,366
2012-02-16$20.24$19.9218.4%5.3%11.1%12.2%18.2%4.6%0.7%22.2M-505.1M-7.0M0.422.4010,6714,5011,033,270813,493
2012-02-17$20.10$19.9218.2%5.2%11.2%11.7%17.9%4.0%0.6%22.2M-484.6M-6.7M0.472.7526,20612,3581,032,742813,136
2012-02-21$20.13$19.9216.6%4.8%10.9%8.2%16.9%3.9%1.1%23.4M-440.5M-6.6M1.172.2622,49126,270935,934739,017
2012-02-22$20.27$19.9216.7%4.8%11.2%8.4%15.8%4.3%1.3%26.8M-513.2M-6.8M0.562.1349,24427,636948,201749,495
2012-02-23$19.95$19.9216.0%4.6%12.3%6.8%16.4%3.0%0.9%25.2M-397.8M-6.6M0.881.8916,07914,218983,585768,107
2012-02-24$20.09$19.9214.9%4.4%12.6%4.3%15.4%2.5%1.5%27.3M-461.8M-6.7M0.652.2524,14515,734986,451775,567
2012-02-27$20.17$19.9218.6%4.5%12.5%12.6%15.9%3.9%1.3%28.9M-488.1M-6.8M0.401.8026,76310,694996,111782,045
2012-02-28$20.13$19.9217.6%4.6%12.4%10.4%15.8%4.2%1.2%28.5M-489.2M-6.8M0.692.2719,49013,4471,004,116785,861
2012-02-29$20.05$19.9216.9%4.5%12.2%8.9%16.5%3.5%1.3%26.7M-448.3M-6.7M0.722.5010,4967,5571,010,591793,951