PFE Options History — September 2012

In September 2012, PFE traded between $22.56 and $23.68. ATM implied volatility averaged 14.2%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.3% (HV 20d: 11.9%). Max pain ranged from $21.82 to $21.82. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.59.

Notable Days

2012-09-14: Highest Volume — 161,136 contracts
2012-09-12: Largest IV drop — 20.5% change
2012-09-04: Highest IV Rank — 19.7%
2012-09-04: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.07	$22.56	$23.68	$22.56	$23.58
Max Pain	$21.82	$21.82	$21.82	$21.82	$21.82
ATM IV	14.2%	12.6%	18.0%	18.0%	13.6%
Expected Move	3.9%	3.6%	4.3%	4.3%	3.7%
HV 20d	11.9%	9.6%	12.8%	12.1%	12.3%
HV 60d	13.6%	13.2%	14.1%	13.2%	13.3%
IV Rank	8.8%	4.0%	19.7%	19.7%	6.9%
IV Percentile	13.2%	2.8%	38.1%	38.1%	11.5%
Term Structure	2.4%	1.0%	2.9%	1.1%	2.9%
VWIV	14.1%	12.9%	16.2%	16.2%	13.8%
Skew 25d	1.9%	0.9%	2.7%	1.4%	1.4%
Skew 10d	5.4%	1.9%	7.5%	5.7%	4.5%
Call IV 25d	13.6%	12.3%	15.7%	15.7%	13.4%
Put IV 25d	15.5%	14.5%	17.5%	17.1%	14.8%
Bid-Ask Spread %	4.63	2.05	9.32	4.66	8.38
Gamma HHI	0.30	0.23	0.36	0.23	0.33
Net GEX	64.2M	49.3M	76.8M	53.0M	59.8M
Net DEX	-1.10B	-1.28B	-845.0M	-871.0M	-1.18B
Net VEX	-5.3M	-6.1M	-4.8M	-6.1M	-5.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.11	2.70	1.20	0.25
Total Volume	43,454.211	9,125	161,136	9,125	29,992
Total OI	1,864,871.158	1,673,623	1,953,441	1,907,861	1,718,895

Daily Data (19 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
2012-09-04	$22.56	$21.82	18.0%	4.3%	12.1%	19.7%	16.2%	1.4%	1.1%	53.0M	-871.0M	-6.1M	1.20	4.66	4,155	4,970	1,015,707	892,154
2012-09-05	$22.69	$21.82	16.7%	4.3%	9.6%	16.1%	15.2%	2.5%	1.2%	55.7M	-951.8M	-6.0M	0.33	3.42	36,410	12,046	1,016,519	893,900
2012-09-06	$23.09	$21.82	14.1%	4.1%	11.3%	8.5%	13.7%	2.0%	1.0%	65.1M	-1.18B	-5.8M	0.38	6.66	41,873	15,715	1,021,128	892,158
2012-09-07	$23.00	$21.82	14.0%	4.1%	11.4%	8.1%	14.2%	2.7%	2.7%	66.7M	-1.14B	-5.6M	0.65	3.26	17,355	11,207	1,023,974	892,509
2012-09-10	$22.87	$21.82	15.7%	3.9%	11.6%	13.2%	14.0%	2.3%	2.9%	68.4M	-1.09B	-5.5M	0.70	3.51	12,517	8,770	1,023,064	889,392
2012-09-11	$22.93	$21.82	16.3%	4.0%	11.1%	15.0%	14.1%	2.1%	2.7%	70.7M	-1.12B	-5.4M	0.67	4.11	13,322	8,905	1,020,713	892,129
2012-09-12	$22.84	$21.82	13.0%	3.9%	10.6%	5.3%	15.5%	2.1%	2.5%	68.8M	-1.02B	-5.6M	2.70	3.08	4,079	11,008	1,016,942	898,196
2012-09-13	$23.01	$21.82	13.1%	3.8%	10.8%	5.7%	13.5%	2.7%	2.7%	71.2M	-1.15B	-5.2M	0.38	3.13	25,081	9,482	1,016,037	903,791
2012-09-14	$22.58	$21.82	14.6%	4.2%	12.8%	9.9%	15.4%	2.3%	1.9%	67.6M	-845.0M	-5.3M	0.16	5.54	139,380	21,756	1,023,769	906,495
2012-09-17	$22.79	$21.82	14.0%	4.0%	12.8%	8.1%	15.2%	1.6%	2.5%	71.7M	-967.2M	-5.4M	0.53	4.62	14,526	7,762	1,009,140	911,893
2012-09-18	$22.78	$21.82	13.5%	3.9%	12.6%	6.6%	13.5%	1.9%	2.7%	76.3M	-1.01B	-5.1M	0.43	9.32	34,297	14,644	1,014,834	916,976
2012-09-19	$22.92	$21.82	13.5%	3.9%	12.3%	6.8%	13.2%	1.8%	2.8%	76.8M	-1.09B	-5.3M	0.63	3.16	23,066	14,565	1,011,539	924,898
2012-09-20	$23.16	$21.82	14.1%	4.0%	12.7%	8.5%	13.6%	2.3%	2.7%	62.0M	-1.23B	-5.0M	0.11	4.51	53,559	6,072	1,013,005	934,026
2012-09-21	$23.26	$21.82	12.6%	3.6%	12.8%	4.0%	12.9%	1.9%	2.6%	49.3M	-1.28B	-4.9M	0.21	3.19	56,272	11,872	1,020,975	932,466
2012-09-24	$23.48	$21.82	13.3%	3.8%	12.6%	6.1%	13.6%	0.9%	2.4%	57.9M	-1.14B	-5.1M	0.42	7.78	20,306	8,510	898,917	774,706
2012-09-25	$23.57	$21.82	13.1%	3.8%	12.4%	5.7%	13.3%	1.1%	2.7%	58.3M	-1.18B	-5.1M	0.33	2.05	56,670	18,972	904,555	777,945
2012-09-26	$23.56	$21.82	13.8%	3.9%	12.3%	7.6%	14.4%	1.4%	2.5%	59.9M	-1.21B	-5.1M	0.56	2.22	24,355	13,701	928,528	784,134
2012-09-27	$23.68	$21.82	13.1%	3.8%	12.4%	5.7%	13.4%	1.8%	2.9%	60.5M	-1.27B	-4.8M	0.58	5.33	11,677	6,781	927,398	789,145
2012-09-28	$23.58	$21.82	13.6%	3.7%	12.3%	6.9%	13.8%	1.4%	2.9%	59.8M	-1.18B	-5.1M	0.25	8.38	24,041	5,951	924,669	794,226