PFE Options History — July 2012

In July 2012, PFE traded between $21.20 and $22.81. ATM implied volatility averaged 18.5%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 4.5% (HV 20d: 14.0%). Max pain ranged from $20.87 to $21.82. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2012-07-31: Highest Volume — 4,548,370 contracts
  • 2012-07-10: Largest IV spike — 33.1% change
  • 2012-07-30: Highest IV Rank — 45.0%
  • 2012-07-24: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.02$21.20$22.81$21.82$22.81
Max Pain$21.05$20.87$21.82$20.87$21.82
ATM IV18.5%11.7%32.2%11.7%23.5%
Expected Move5.0%3.6%6.0%3.6%5.3%
HV 20d14.0%12.0%15.6%12.0%15.0%
HV 60d12.9%12.3%13.4%12.5%13.4%
IV Rank15.8%1.1%45.0%1.1%26.3%
IV Percentile34.5%0.4%90.9%0.4%62.3%
Term Structure-0.3%-2.9%3.2%3.2%-1.4%
VWIV18.3%12.5%26.1%13.0%26.1%
Skew 25d2.9%0.3%4.8%0.3%1.5%
Skew 10d6.0%-2.1%11.2%0.5%4.7%
Call IV 25d16.9%13.1%19.8%13.5%18.7%
Put IV 25d19.8%13.8%23.0%13.8%20.1%
Bid-Ask Spread %3.722.317.653.127.65
Gamma HHI0.270.250.300.270.29
Net GEX58.8M40.3M71.5M59.1M63.9M
Net DEX-920.4M-1.35B-464.4M-813.4M-1.25B
Net VEX-6.6M-7.1M-6.1M-6.6M-6.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.011.730.500.01
Total Volume276,771.1910,9044,548,370123,0844,548,370
Total OI1,934,947.4291,819,4442,121,0031,821,5731,963,217

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$21.82$20.8711.7%3.6%12.0%1.1%13.0%0.3%3.2%59.1M-813.4M-6.6M0.503.1282,13740,9471,033,767787,806
2012-07-03$21.70$20.8712.7%3.6%12.3%3.2%12.5%1.1%2.5%56.2M-752.0M-6.6M0.622.906,7474,1571,026,506792,938
2012-07-05$21.51$20.8713.5%3.6%12.2%5.1%13.8%0.8%2.2%54.5M-640.0M-6.5M1.615.699,21814,8641,037,559790,922
2012-07-06$21.39$20.8712.9%4.5%12.5%3.6%15.6%4.6%0.7%49.6M-553.4M-6.4M0.443.2422,0139,7421,036,705800,182
2012-07-09$21.49$20.8714.7%4.5%12.2%7.5%15.3%4.0%0.5%53.7M-616.2M-6.1M0.593.018,5615,0601,035,767801,980
2012-07-10$21.29$20.8719.5%5.1%12.8%17.8%16.1%4.8%-0.3%44.5M-509.1M-6.3M0.614.6112,2197,4061,035,471803,265
2012-07-11$21.20$20.8715.3%5.0%12.8%8.7%16.1%4.4%-0.2%40.3M-464.4M-6.1M1.733.7611,64520,1631,039,922807,658
2012-07-12$21.51$20.8716.6%4.8%13.8%11.7%16.8%3.5%0.6%52.8M-641.6M-6.4M0.526.13106,69055,5901,040,916817,347
2012-07-13$21.64$20.8716.1%4.6%12.7%10.5%16.8%3.5%1.1%66.6M-759.9M-6.7M1.082.3120,30421,9591,116,527845,083
2012-07-16$21.94$20.8718.0%5.2%13.6%14.6%18.3%3.1%-0.2%71.5M-952.2M-6.8M0.343.56105,72835,9531,119,630846,077
2012-07-17$22.41$20.8719.6%5.6%15.3%17.9%19.8%3.3%-1.1%68.6M-1.26B-6.9M0.513.98118,52460,6861,175,031864,434
2012-07-18$22.46$20.8719.7%5.6%15.3%18.2%20.5%3.9%-1.0%68.4M-1.32B-6.7M0.413.3426,10110,7391,203,086892,419
2012-07-19$22.58$20.8719.1%5.5%15.2%16.9%20.3%3.5%-1.1%62.5M-1.35B-7.1M0.623.3641,59725,7731,202,412899,850
2012-07-20$22.49$20.8718.5%5.3%15.3%15.7%19.7%2.4%-0.9%70.3M-1.30B-6.7M0.952.9927,60826,1031,205,128915,875
2012-07-23$22.39$20.8719.6%5.6%15.4%18.0%19.7%2.4%-1.2%57.8M-1.08B-6.7M0.293.6442,58412,4131,101,149824,565
2012-07-24$22.18$20.8720.8%6.0%15.2%20.6%20.4%3.1%-1.5%57.6M-960.9M-6.7M0.363.1152,69119,1461,124,389828,885
2012-07-25$22.13$20.8720.5%5.9%15.2%20.1%21.8%3.8%-1.3%54.7M-887.4M-7.1M1.162.9811,84713,7241,122,221837,924
2012-07-26$22.29$21.8219.9%5.7%15.2%18.7%19.7%1.8%-2.7%57.5M-963.0M-7.0M0.832.8919,42316,2181,113,552838,249
2012-07-27$22.61$21.8225.1%5.4%15.6%29.7%19.9%2.1%-1.8%61.7M-1.16B-6.6M0.782.8224,74719,2571,112,887838,745
2012-07-30$22.50$21.8232.2%5.8%14.4%45.0%21.6%2.6%-2.9%63.5M-1.11B-6.5M0.653.0656,54137,0001,119,824834,026
2012-07-31$22.81$21.8223.5%5.3%15.0%26.3%26.1%1.5%-1.4%63.9M-1.25B-6.8M0.017.654,489,10159,2691,115,351847,866