PFE Options History — June 2012

In June 2012, PFE traded between $20.49 and $21.82. ATM implied volatility averaged 16.6%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 4.8% (HV 20d: 11.9%). Max pain ranged from $20.87 to $20.87. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.82.

Notable Days

  • 2012-06-22: Highest Volume — 93,094 contracts
  • 2012-06-25: Largest IV spike — 18.7% change
  • 2012-06-04: Highest IV Rank — 24.1%
  • 2012-06-01: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.18$20.49$21.82$20.53$21.82
Max Pain$20.87$20.87$20.87$20.87$20.87
ATM IV16.6%11.2%23.2%21.8%11.2%
Expected Move4.8%3.6%6.1%6.1%3.6%
HV 20d11.9%10.4%13.5%12.7%12.0%
HV 60d12.2%11.7%12.7%12.4%12.5%
IV Rank9.9%0.0%24.1%21.1%0.0%
IV Percentile18.4%0.0%59.5%52.4%0.0%
Term Structure1.8%-0.2%3.3%-0.2%3.3%
VWIV17.1%12.7%23.3%22.2%12.7%
Skew 25d3.3%0.8%6.2%4.6%0.8%
Skew 10d7.6%1.3%14.6%9.9%1.3%
Call IV 25d15.9%12.7%21.3%21.3%12.7%
Put IV 25d19.2%13.6%26.1%26.0%13.6%
Bid-Ask Spread %4.392.6410.882.6410.88
Gamma HHI0.190.140.260.150.24
Net GEX36.5M18.6M54.4M20.5M54.4M
Net DEX-522.6M-810.5M-227.4M-258.4M-810.5M
Net VEX-6.9M-7.2M-6.5M-7.1M-6.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.141.980.860.63
Total Volume36,48813,34593,09454,05435,306
Total OI1,860,057.3811,705,9382,004,9901,914,2141,801,667

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$20.53$20.8721.8%6.1%12.7%21.1%22.2%4.6%-0.2%20.5M-258.4M-7.1M0.862.6429,08824,9661,045,540868,674
2012-06-04$20.50$20.8723.2%6.0%12.4%24.1%23.3%6.2%1.6%18.6M-238.8M-7.0M1.983.1320,22540,0191,048,405870,963
2012-06-05$20.49$20.8721.1%5.7%12.2%19.5%20.0%5.4%1.6%19.4M-227.4M-7.0M0.406.3813,4275,3671,048,118884,198
2012-06-06$20.79$20.8717.7%5.3%13.5%12.2%19.9%4.9%1.9%27.2M-352.8M-7.0M0.884.209,5368,3881,050,344885,687
2012-06-07$20.82$20.8716.6%5.2%13.5%9.8%17.5%4.5%2.1%25.1M-373.5M-7.0M1.094.2414,39815,7281,052,557889,606
2012-06-08$21.01$20.8717.3%5.1%12.4%11.3%17.1%4.2%2.1%31.7M-444.6M-6.8M0.693.559,3326,4671,055,210892,314
2012-06-11$20.97$20.8718.4%5.2%12.2%13.7%17.0%4.4%2.0%32.2M-462.2M-6.7M0.553.8416,9399,2551,055,784890,950
2012-06-12$21.05$20.8717.4%5.2%12.3%11.5%19.2%4.4%2.1%31.4M-503.1M-6.7M1.773.505,1569,1461,060,609895,023
2012-06-13$21.05$20.8718.2%5.4%11.5%13.2%18.1%4.4%1.6%30.4M-489.1M-7.0M1.163.9730,77035,5951,061,139898,404
2012-06-14$21.40$20.8717.2%4.9%11.7%11.2%18.3%4.3%1.6%47.1M-653.6M-7.2M0.683.8717,02611,5721,066,727916,733
2012-06-15$21.45$20.8716.1%4.6%11.7%8.6%17.1%3.5%1.7%39.9M-700.1M-6.9M0.545.8923,29712,6201,075,473929,517
2012-06-18$21.46$20.8714.3%4.1%11.7%4.8%15.0%3.4%1.8%40.5M-612.4M-7.0M1.163.4110,04711,661960,452745,486
2012-06-19$21.55$20.8713.7%3.9%11.7%3.5%15.1%3.0%2.1%43.2M-640.1M-6.7M0.443.4511,3625,048963,964753,602
2012-06-20$21.51$20.8713.7%3.9%11.4%3.3%14.5%1.7%1.8%44.3M-632.6M-6.7M0.633.4136,88423,150971,497754,325
2012-06-21$21.44$20.8714.9%4.3%10.4%6.1%15.8%2.0%1.4%42.3M-595.2M-7.0M1.464.2220,52929,901993,110767,093
2012-06-22$21.57$20.8714.4%4.1%10.5%4.9%14.9%1.1%1.7%44.4M-662.6M-6.8M0.143.4581,54811,546992,945768,769
2012-06-25$21.32$20.8717.0%4.9%11.4%10.7%16.7%2.0%2.4%40.5M-565.0M-6.7M0.353.5418,8596,5611,002,434768,709
2012-06-26$21.29$20.8716.5%4.7%11.4%9.5%16.1%2.1%2.9%41.4M-558.0M-6.7M0.533.3221,55111,3361,010,442770,126
2012-06-27$21.45$20.8715.0%4.3%11.4%6.2%15.2%1.7%1.4%45.7M-609.2M-6.7M0.504.058,8724,4731,019,041775,685
2012-06-28$21.38$20.8713.5%3.9%11.0%3.0%13.9%1.6%1.8%45.8M-586.2M-6.7M0.757.2328,13121,1661,021,169778,714
2012-06-29$21.82$20.8711.2%3.6%12.0%0.0%12.7%0.8%3.3%54.4M-810.5M-6.5M0.6310.8821,66713,6391,022,072779,595