PFE Options History — October 2012

In October 2012, PFE traded between $23.60 and $24.71. ATM implied volatility averaged 17.5%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 6.2% (HV 20d: 11.3%). Max pain ranged from $21.82 to $22.77. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.66.

Notable Days

2012-10-31: Highest Volume — 97,300 contracts
2012-10-31: Largest IV spike — 78.7% change
2012-10-31: Highest IV Rank — 100.0%
2012-10-31: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.10	$23.60	$24.71	$23.76	$23.60
Max Pain	$22.59	$21.82	$22.77	$21.82	$22.77
ATM IV	17.5%	12.4%	40.5%	15.2%	40.5%
Expected Move	4.7%	3.7%	6.4%	3.8%	6.4%
HV 20d	11.3%	8.2%	15.3%	12.5%	15.3%
HV 60d	12.7%	12.0%	13.3%	13.2%	13.3%
IV Rank	23.6%	4.7%	100.0%	11.7%	100.0%
IV Percentile	38.9%	1.6%	100.0%	25.4%	100.0%
Term Structure	-0.5%	-3.3%	3.3%	3.2%	-3.3%
VWIV	16.8%	11.1%	22.3%	13.5%	22.3%
Skew 25d	1.9%	0.9%	2.6%	1.8%	0.9%
Skew 10d	4.5%	1.4%	6.9%	5.9%	1.4%
Call IV 25d	15.8%	12.9%	21.7%	13.5%	21.7%
Put IV 25d	17.7%	13.8%	22.5%	15.3%	22.5%
Bid-Ask Spread %	6.68	2.06	12.46	9.40	10.82
Gamma HHI	0.29	0.23	0.40	0.34	0.23
Net GEX	50.2M	37.9M	62.2M	61.3M	44.9M
Net DEX	-1.35B	-1.69B	-904.0M	-1.32B	-904.0M
Net VEX	-4.4M	-4.8M	-3.9M	-4.7M	-4.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.24	1.54	0.39	0.32
Total Volume	40,433.429	8,366	97,300	15,973	97,300
Total OI	1,771,123.524	1,668,830	1,850,288	1,717,509	1,740,221

Daily Data (21 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
2012-10-01	$23.76	$21.82	15.2%	3.8%	12.5%	11.7%	13.5%	1.8%	3.2%	61.3M	-1.32B	-4.7M	0.39	9.40	11,472	4,501	926,030	791,479
2012-10-02	$23.83	$21.82	16.0%	3.9%	12.3%	14.0%	13.7%	1.8%	3.2%	61.6M	-1.33B	-4.7M	1.50	5.06	25,659	38,614	927,636	792,947
2012-10-03	$24.02	$21.82	18.1%	3.8%	12.4%	26.5%	13.7%	1.3%	3.2%	59.1M	-1.41B	-4.7M	0.62	2.06	10,572	6,517	938,942	826,676
2012-10-04	$24.05	$21.82	12.9%	3.7%	11.1%	6.6%	11.1%	0.9%	3.3%	60.9M	-1.43B	-4.4M	1.54	3.24	23,067	35,452	937,528	830,672
2012-10-05	$24.21	$22.77	12.4%	4.3%	11.0%	4.7%	16.5%	2.4%	0.1%	54.3M	-1.52B	-4.2M	0.40	3.26	41,825	16,690	940,245	856,901
2012-10-08	$24.10	$22.77	14.4%	4.7%	10.9%	12.5%	16.2%	2.5%	-0.9%	54.4M	-1.41B	-4.7M	0.72	2.75	4,865	3,501	942,048	862,367
2012-10-09	$24.01	$22.77	15.0%	4.7%	11.1%	14.8%	16.8%	2.5%	-0.9%	54.7M	-1.39B	-4.4M	0.37	4.63	9,878	3,624	933,777	863,246
2012-10-10	$23.87	$22.77	13.7%	4.7%	11.2%	9.8%	17.1%	2.4%	-1.0%	59.1M	-1.32B	-4.5M	0.75	9.72	9,846	7,343	933,239	864,929
2012-10-11	$23.83	$22.77	16.2%	4.6%	11.1%	19.6%	16.5%	2.0%	-0.7%	60.8M	-1.31B	-4.5M	0.53	7.79	6,531	3,436	935,697	869,126
2012-10-12	$23.83	$22.77	16.0%	4.6%	8.2%	18.6%	16.6%	2.6%	-0.8%	62.2M	-1.32B	-4.4M	1.18	6.82	10,045	11,876	936,609	870,174
2012-10-15	$24.26	$22.77	15.4%	4.4%	9.5%	16.4%	16.9%	2.4%	-0.3%	49.7M	-1.54B	-4.0M	1.07	7.80	14,683	15,730	934,957	875,167
2012-10-16	$24.48	$22.77	15.9%	4.6%	9.6%	18.3%	16.4%	1.8%	-0.9%	43.2M	-1.57B	-4.2M	0.38	6.58	38,608	14,753	933,532	880,747
2012-10-17	$24.52	$22.77	16.5%	4.7%	9.6%	20.8%	16.6%	1.0%	-1.6%	39.0M	-1.60B	-4.2M	0.27	5.36	41,861	11,091	944,305	893,574
2012-10-18	$24.71	$22.77	16.4%	4.7%	9.4%	20.4%	16.6%	1.6%	-1.3%	39.8M	-1.69B	-3.9M	0.31	6.79	39,578	12,233	947,648	897,488
2012-10-19	$24.44	$22.77	16.9%	4.9%	10.6%	22.3%	18.5%	2.0%	-1.5%	37.9M	-1.56B	-4.0M	0.24	7.21	47,222	11,561	947,342	902,946
2012-10-22	$24.29	$22.77	16.9%	4.8%	10.7%	22.1%	17.1%	2.1%	-1.6%	41.7M	-1.19B	-4.5M	0.71	6.02	22,633	15,987	846,988	821,842
2012-10-23	$23.90	$22.77	18.6%	5.3%	12.4%	28.7%	18.5%	2.3%	-1.9%	41.5M	-1.03B	-4.7M	0.65	8.66	40,149	26,260	854,849	825,355
2012-10-24	$24.01	$22.77	19.2%	5.5%	12.5%	31.1%	18.4%	2.3%	-2.3%	41.8M	-1.08B	-4.8M	0.73	7.76	19,376	14,187	876,647	833,305
2012-10-25	$24.30	$22.77	19.3%	5.5%	13.0%	31.6%	19.5%	1.9%	-2.2%	42.3M	-1.20B	-4.7M	0.52	6.07	28,733	14,892	881,901	840,089
2012-10-26	$24.13	$22.77	22.6%	5.7%	13.2%	44.5%	20.1%	1.6%	-3.2%	45.2M	-1.18B	-4.4M	0.76	12.46	20,963	15,988	886,849	847,574
2012-10-31	$23.60	$22.77	40.5%	6.4%	15.3%	100.0%	22.3%	0.9%	-3.3%	44.9M	-904.0M	-4.8M	0.32	10.82	73,593	23,707	891,821	848,400