PFE Options History — April 2012

In April 2012, PFE traded between $20.73 and $21.90. ATM implied volatility averaged 18.7%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 6.6% (HV 20d: 12.1%). Max pain ranged from $19.92 to $20.87. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.71.

Notable Days

  • 2012-04-30: Highest Volume — 144,773 contracts
  • 2012-04-10: Largest IV spike — 35.6% change
  • 2012-04-30: Highest IV Rank — 32.4%
  • 2012-04-30: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.26$20.73$21.90$21.43$21.73
Max Pain$20.11$19.92$20.87$19.92$20.87
ATM IV18.7%13.1%27.0%18.8%27.0%
Expected Move5.1%3.8%5.9%3.9%5.9%
HV 20d12.1%10.8%13.3%12.4%12.1%
HV 60d12.1%11.6%12.6%11.7%12.4%
IV Rank14.2%2.1%32.4%14.6%32.4%
IV Percentile28.7%2.8%70.6%29.0%70.6%
Term Structure-0.2%-2.6%4.8%2.7%-2.6%
VWIV18.6%13.7%21.8%14.3%21.3%
Skew 25d3.5%0.3%5.1%0.3%3.8%
Skew 10d7.9%1.0%10.9%1.0%7.9%
Call IV 25d16.7%13.4%19.5%14.0%19.5%
Put IV 25d20.2%14.2%23.2%14.2%23.2%
Bid-Ask Spread %3.142.098.702.448.70
Gamma HHI0.220.200.290.200.20
Net GEX38.8M35.6M43.8M39.6M39.0M
Net DEX-845.1M-1.07B-592.5M-959.6M-944.6M
Net VEX-6.4M-6.8M-5.7M-6.4M-6.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.121.961.960.35
Total Volume41,636.712,562144,77330,301144,773
Total OI1,750,885.31,682,6971,839,0851,693,8201,716,372

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$21.43$19.9218.8%3.9%12.4%14.6%14.3%0.3%2.7%39.6M-959.6M-6.4M1.962.4410,25020,051984,682709,138
2012-04-03$21.39$19.9217.7%3.8%11.6%12.2%13.7%0.9%3.0%39.8M-915.9M-6.4M0.402.098,9783,584986,486716,401
2012-04-04$21.24$19.9213.1%4.0%12.0%2.1%15.0%1.2%4.3%38.6M-831.6M-6.7M0.122.7142,8165,138988,159716,483
2012-04-05$21.20$19.9213.9%4.0%12.1%3.8%14.0%0.7%4.8%39.4M-843.7M-6.8M0.162.3118,3743,0241,006,899719,477
2012-04-09$20.92$19.9216.4%5.3%13.2%9.2%19.0%2.8%-0.8%39.9M-753.8M-6.3M0.602.3921,78112,9991,012,601719,002
2012-04-10$20.85$19.9222.2%5.7%13.3%22.0%20.4%3.8%-1.2%38.2M-703.4M-6.8M0.802.9627,95222,3731,022,500726,803
2012-04-11$20.83$19.9215.4%5.3%10.9%7.2%18.8%3.9%-0.9%41.4M-692.5M-6.8M0.703.2324,62217,1791,037,739738,621
2012-04-12$20.79$19.9218.3%5.3%10.8%13.5%21.8%4.1%-1.0%43.8M-660.9M-6.7M0.502.7212,2436,1591,042,493745,225
2012-04-13$20.73$19.9218.7%5.4%10.9%14.4%18.8%4.9%-0.7%35.8M-592.5M-6.7M1.043.6410,40710,8331,044,573765,458
2012-04-16$20.85$19.9219.1%5.5%11.1%15.2%20.1%4.4%-1.1%35.6M-680.8M-6.7M0.513.5312,9146,5511,037,467770,725
2012-04-17$21.17$19.9218.8%5.4%12.2%14.5%18.8%3.9%-1.0%39.2M-860.2M-6.5M0.582.8210,6696,1711,040,484772,131
2012-04-18$21.30$19.9219.0%5.4%12.2%14.9%17.7%4.4%-1.1%38.2M-921.4M-6.4M0.862.5416,01313,8171,040,719774,849
2012-04-19$21.20$19.9219.2%5.5%12.4%15.4%19.0%4.3%-1.3%35.6M-865.1M-6.5M0.522.6640,79021,1361,041,321785,023
2012-04-20$21.40$19.9216.7%4.8%12.7%10.0%19.2%4.0%0.1%38.7M-1.05B-5.8M0.693.1134,73823,9921,053,381785,704
2012-04-23$21.23$19.9219.1%5.5%13.1%15.2%19.2%4.0%-1.4%36.5M-746.0M-6.3M1.083.0113,79914,881960,593722,104
2012-04-24$21.47$19.9218.5%5.3%12.6%14.0%19.5%3.6%-1.4%38.0M-860.2M-6.2M0.732.3729,51121,553965,015721,889
2012-04-25$21.71$20.8718.8%5.4%12.0%14.5%21.2%4.6%-1.9%37.4M-937.8M-6.4M1.284.5617,78222,780974,839731,776
2012-04-26$21.88$20.8718.7%5.4%12.1%14.4%20.1%5.1%-1.5%38.9M-1.02B-6.4M0.392.2646,95718,541982,456738,321
2012-04-27$21.90$20.8723.8%5.6%12.1%25.5%20.3%4.8%-1.7%42.2M-1.07B-5.7M0.862.6519,66416,939984,490735,307
2012-04-30$21.73$20.8727.0%5.9%12.1%32.4%21.3%3.8%-2.6%39.0M-944.6M-6.2M0.358.70107,07737,696981,263735,109