PFE Options History — May 2012

In May 2012, PFE traded between $20.75 and $21.66. ATM implied volatility averaged 20.3%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 7.7% (HV 20d: 12.6%). Max pain ranged from $19.92 to $20.87. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.11.

Notable Days

  • 2012-05-08: Highest Volume — 4,193,525 contracts
  • 2012-05-09: Largest IV drop — 45.5% change
  • 2012-05-08: Highest IV Rank — 54.2%
  • 2012-05-15: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.27$20.75$21.66$21.61$20.75
Max Pain$20.74$19.92$20.87$20.87$20.87
ATM IV20.3%16.1%37.0%17.3%19.4%
Expected Move5.1%4.6%5.5%4.9%5.2%
HV 20d12.6%11.5%14.0%12.2%12.3%
HV 60d12.5%12.2%12.9%12.5%12.2%
IV Rank17.8%8.6%54.2%11.3%15.9%
IV Percentile36.5%10.7%97.2%17.1%37.7%
Term Structure0.6%-0.8%1.9%-0.8%1.3%
VWIV19.3%17.2%33.8%17.9%22.5%
Skew 25d4.0%1.8%5.5%3.9%4.2%
Skew 10d8.9%4.4%12.8%5.6%8.9%
Call IV 25d16.9%15.4%18.3%16.0%18.0%
Put IV 25d20.9%18.5%23.0%19.9%22.2%
Bid-Ask Spread %2.881.778.933.683.13
Gamma HHI0.230.180.270.270.19
Net GEX40.1M24.8M53.3M53.3M24.8M
Net DEX-653.5M-904.7M-392.2M-904.7M-392.2M
Net VEX-6.9M-7.6M-6.2M-6.2M-7.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.013.690.523.64
Total Volume256,731.68227,3414,193,525180,66644,063
Total OI1,881,784.5451,794,6602,007,5121,794,6601,888,690

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$21.61$20.8717.3%4.9%12.2%11.3%17.9%3.9%-0.8%53.3M-904.7M-6.2M0.523.68119,18861,4781,036,036758,624
2012-05-02$21.50$20.8720.3%4.8%12.3%17.8%20.3%4.6%-0.1%52.4M-833.1M-6.5M0.803.1627,10821,7771,097,827792,119
2012-05-03$21.44$20.8718.9%4.8%12.1%14.8%19.4%4.2%-0.7%50.5M-817.8M-6.4M1.433.0621,64630,8631,101,232787,722
2012-05-04$21.23$19.9224.6%5.0%12.6%27.1%17.4%3.4%0.1%36.7M-672.9M-6.5M1.661.9825,84742,8261,103,734810,224
2012-05-07$21.30$19.9230.9%5.2%11.6%41.0%18.3%3.2%0.4%33.2M-723.7M-6.5M0.502.1446,51523,0401,075,436821,560
2012-05-08$21.27$19.9237.0%5.5%11.6%54.2%33.8%3.2%-0.4%36.2M-704.9M-6.6M0.012.674,135,75157,7741,093,028816,248
2012-05-09$21.30$20.8720.2%5.2%11.5%17.5%18.0%2.5%0.0%32.6M-605.9M-6.3M0.778.93126,02897,252974,771845,844
2012-05-10$21.66$20.8716.6%4.8%12.7%9.8%17.2%1.8%0.5%50.6M-841.0M-6.7M0.662.2238,38425,2511,031,975846,242
2012-05-11$21.49$20.8716.5%4.7%13.1%9.6%18.6%2.6%0.1%47.8M-754.2M-6.7M0.581.9618,36910,7141,031,637843,817
2012-05-14$21.43$20.8717.4%5.0%13.1%11.6%18.4%2.8%0.1%45.1M-703.5M-6.5M0.882.1022,79020,0101,023,534826,181
2012-05-15$21.16$20.8719.4%5.5%13.0%15.8%18.1%3.7%0.2%36.1M-552.2M-7.0M0.282.0498,87627,7031,032,254836,831
2012-05-16$21.48$20.8718.4%5.3%14.0%13.8%19.2%3.9%0.9%52.4M-794.0M-7.4M0.782.5216,46812,8221,113,241846,137
2012-05-17$21.40$20.8717.9%5.1%13.9%12.5%18.6%3.4%1.4%49.4M-751.6M-7.4M0.392.9951,03919,7971,113,613851,624
2012-05-18$21.41$20.8718.2%5.2%13.4%13.3%20.2%5.2%1.8%40.0M-767.6M-7.6M0.402.9946,13918,5651,142,300865,212
2012-05-21$21.39$20.8716.1%4.6%13.1%8.6%18.4%5.1%1.8%41.1M-652.9M-7.4M0.611.7733,96520,6391,023,680782,408
2012-05-22$21.22$20.8717.8%5.1%12.8%12.3%18.0%4.3%1.7%40.7M-599.3M-7.1M1.472.7228,43941,8661,034,088791,981
2012-05-23$20.96$20.8718.6%5.3%12.7%14.0%18.9%5.4%1.3%32.2M-453.8M-7.3M1.713.5326,56945,3571,044,833806,308
2012-05-24$21.01$20.8717.6%5.1%12.3%12.0%19.0%5.0%1.9%34.8M-477.6M-7.3M1.642.7210,36316,9781,057,309818,735
2012-05-25$21.00$20.8717.9%5.1%12.2%12.6%17.4%4.6%1.5%30.2M-463.1M-7.2M1.382.4314,52020,0011,050,634818,505
2012-05-29$21.04$20.8721.9%5.4%12.1%21.4%17.2%5.5%0.5%32.5M-484.4M-7.2M0.652.1926,09216,9881,047,065829,385
2012-05-30$20.91$20.8723.6%5.3%12.2%25.0%18.6%5.0%0.7%30.5M-427.2M-7.1M3.692.518,14730,0901,056,616830,020
2012-05-31$20.75$20.8719.4%5.2%12.3%15.9%22.5%4.2%1.3%24.8M-392.2M-7.2M3.643.139,49134,5721,042,233846,457