PFE Options History — March 2012

In March 2012, PFE traded between $20.18 and $21.49. ATM implied volatility averaged 15.1%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 2.1% (HV 20d: 13.0%). Max pain ranged from $19.92 to $19.92. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.75.

Notable Days

2012-03-27: Highest Volume — 114,911 contracts
2012-03-06: Largest IV spike — 58.2% change
2012-03-06: Highest IV Rank — 24.2%
2012-03-06: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.72	$20.18	$21.49	$20.39	$21.49
Max Pain	$19.92	$19.92	$19.92	$19.92	$19.92
ATM IV	15.1%	12.1%	23.8%	18.2%	15.3%
Expected Move	4.2%	3.5%	5.3%	5.0%	4.0%
HV 20d	13.0%	11.5%	14.3%	13.6%	12.3%
HV 60d	12.5%	11.8%	13.9%	13.9%	11.9%
IV Rank	5.8%	0.0%	24.2%	11.6%	7.0%
IV Percentile	8.3%	0.0%	60.7%	15.1%	8.3%
Term Structure	3.1%	0.2%	4.7%	0.2%	3.1%
VWIV	14.9%	12.4%	18.1%	17.1%	14.5%
Skew 25d	2.4%	0.6%	4.1%	2.7%	0.6%
Skew 10d	5.7%	1.5%	10.3%	10.3%	2.6%
Call IV 25d	14.0%	12.3%	16.4%	15.3%	14.5%
Put IV 25d	16.4%	13.9%	20.5%	18.0%	15.1%
Bid-Ask Spread %	2.73	1.65	6.46	3.69	2.54
Gamma HHI	0.25	0.19	0.48	0.22	0.19
Net GEX	39.8M	29.7M	69.6M	32.5M	38.8M
Net DEX	-711.9M	-992.5M	-519.3M	-596.2M	-992.5M
Net VEX	-6.8M	-7.0M	-6.4M	-6.9M	-6.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.28	2.47	0.61	0.30
Total Volume	36,525.227	11,817	114,911	46,238	23,118
Total OI	1,769,471.318	1,621,844	1,946,969	1,804,575	1,691,720

Daily Data (22 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
2012-03-01	$20.39	$19.92	18.2%	5.0%	13.6%	11.6%	17.1%	2.7%	0.2%	32.5M	-596.2M	-6.9M	0.61	3.69	28,754	17,484	1,010,857	793,718
2012-03-02	$20.31	$19.92	17.2%	4.8%	13.2%	9.5%	15.5%	3.3%	0.6%	32.5M	-566.7M	-7.0M	0.28	2.12	16,357	4,661	1,022,972	802,735
2012-03-05	$20.40	$19.92	15.1%	5.0%	13.2%	4.7%	16.9%	3.5%	3.0%	34.5M	-615.9M	-6.9M	0.58	2.22	12,113	7,045	1,025,586	801,071
2012-03-06	$20.18	$19.92	23.8%	5.3%	13.0%	24.2%	18.1%	4.1%	2.4%	29.7M	-519.3M	-6.9M	1.14	2.71	12,933	14,724	1,028,041	804,011
2012-03-07	$20.28	$19.92	18.7%	5.1%	13.0%	12.7%	17.6%	4.0%	2.7%	31.6M	-617.1M	-6.5M	1.15	2.99	17,122	19,768	1,029,482	811,234
2012-03-08	$20.35	$19.92	18.1%	4.9%	13.0%	11.5%	16.3%	3.8%	2.9%	33.0M	-593.9M	-6.9M	0.39	2.50	8,492	3,325	1,036,433	825,953
2012-03-09	$20.38	$19.92	18.8%	4.7%	12.9%	12.9%	16.0%	3.6%	3.3%	36.7M	-633.2M	-6.7M	1.21	3.38	26,709	32,377	1,041,348	827,472
2012-03-12	$20.44	$19.92	13.7%	4.1%	12.7%	1.8%	15.9%	3.4%	3.2%	36.4M	-635.1M	-6.8M	1.35	2.17	9,283	12,544	1,048,557	845,885
2012-03-13	$20.88	$19.92	13.8%	4.0%	14.2%	2.0%	14.4%	2.3%	3.4%	50.3M	-851.1M	-7.0M	0.31	3.57	32,485	9,970	1,049,932	845,843
2012-03-14	$20.81	$19.92	12.1%	4.1%	14.3%	0.0%	14.6%	2.5%	3.1%	55.9M	-817.2M	-6.9M	0.64	3.22	33,154	21,355	1,060,355	847,146
2012-03-15	$20.79	$19.92	14.0%	4.0%	13.7%	4.1%	14.6%	2.2%	3.3%	56.3M	-809.3M	-6.9M	0.31	2.98	35,224	10,755	1,070,336	855,876
2012-03-16	$20.82	$19.92	13.2%	3.8%	13.3%	2.3%	13.9%	2.4%	3.7%	69.6M	-837.2M	-6.9M	0.46	6.46	30,509	14,096	1,086,147	860,822
2012-03-19	$20.76	$19.92	12.4%	3.6%	13.1%	0.6%	12.6%	1.7%	3.9%	36.5M	-663.2M	-6.8M	0.28	2.06	42,070	11,852	944,673	677,171
2012-03-20	$20.68	$19.92	13.2%	3.8%	13.2%	2.3%	13.3%	1.7%	3.4%	36.9M	-635.7M	-6.8M	0.67	2.18	18,177	12,127	946,938	678,563
2012-03-21	$20.65	$19.92	12.5%	3.6%	13.1%	0.8%	12.8%	1.8%	3.8%	37.5M	-619.7M	-6.8M	0.54	1.65	15,435	8,347	955,699	685,447
2012-03-22	$20.62	$19.92	12.6%	3.6%	11.6%	1.0%	13.8%	1.8%	3.4%	36.5M	-602.0M	-6.7M	2.47	2.16	7,366	18,211	954,303	680,873
2012-03-23	$20.70	$19.92	12.3%	3.5%	11.5%	0.3%	12.4%	1.5%	3.9%	36.6M	-643.5M	-6.7M	0.64	2.32	10,247	6,584	956,188	676,114
2012-03-26	$21.02	$19.92	12.4%	3.5%	12.5%	0.5%	12.5%	1.2%	4.7%	39.3M	-786.2M	-6.6M	0.71	1.86	22,970	16,396	957,283	676,676
2012-03-27	$21.35	$19.92	14.6%	4.2%	13.2%	5.4%	14.2%	1.4%	4.0%	39.3M	-921.2M	-6.7M	0.56	2.34	73,867	41,044	964,661	682,339
2012-03-28	$21.26	$19.92	14.8%	4.2%	13.2%	5.8%	14.8%	1.7%	3.6%	38.3M	-855.2M	-6.8M	0.57	2.69	12,297	6,962	980,344	702,337
2012-03-29	$21.27	$19.92	15.2%	4.4%	12.2%	6.8%	15.3%	1.8%	3.4%	37.6M	-851.3M	-6.9M	1.27	2.32	11,108	14,138	981,915	703,313
2012-03-30	$21.49	$19.92	15.3%	4.0%	12.3%	7.0%	14.5%	0.6%	3.1%	38.8M	-992.5M	-6.4M	0.30	2.54	17,820	5,298	984,159	707,561