PFE Options History — November 2012

In November 2012, PFE traded between $22.45 and $23.74. ATM implied volatility averaged 17.2%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.5% (HV 20d: 15.8%). Max pain ranged from $22.77 to $23.72. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.87.

Notable Days

2012-11-06: Highest Volume — 4,274,661 contracts
2012-11-26: Largest IV spike — 22.1% change
2012-11-05: Highest IV Rank — 43.3%
2012-11-07: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.08	$22.45	$23.74	$23.29	$23.74
Max Pain	$23.09	$22.77	$23.72	$22.77	$22.77
ATM IV	17.2%	11.8%	23.8%	21.3%	13.5%
Expected Move	4.5%	3.4%	5.3%	5.2%	3.8%
HV 20d	15.8%	13.9%	17.1%	15.9%	13.9%
HV 60d	13.5%	12.8%	14.1%	13.6%	14.1%
IV Rank	20.7%	2.1%	43.3%	34.5%	8.1%
IV Percentile	44.8%	0.8%	88.9%	79.4%	13.1%
Term Structure	0.2%	-1.4%	1.3%	-1.0%	0.6%
VWIV	16.3%	12.3%	23.7%	18.6%	13.5%
Skew 25d	2.5%	1.7%	3.4%	2.4%	2.1%
Skew 10d	5.4%	0.7%	8.6%	1.9%	4.9%
Call IV 25d	15.0%	11.9%	17.9%	17.3%	13.1%
Put IV 25d	17.5%	14.1%	20.4%	19.7%	15.3%
Bid-Ask Spread %	3.79	2.18	10.07	2.19	5.10
Gamma HHI	0.27	0.18	0.36	0.24	0.36
Net GEX	27.0M	7.3M	46.8M	42.8M	35.7M
Net DEX	-337.2M	-845.7M	-10.1M	-789.4M	-542.7M
Net VEX	-3.7M	-4.6M	-3.1M	-4.4M	-3.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.01	3.20	0.69	0.55
Total Volume	240,755.81	8,467	4,274,661	77,757	31,139
Total OI	1,537,991	1,377,223	1,816,142	1,786,707	1,460,246

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
2012-11-01	$23.29	$22.77	21.3%	5.2%	15.9%	34.5%	18.6%	2.4%	-1.0%	42.8M	-789.4M	-4.4M	0.69	2.19	45,889	31,868	929,529	857,178
2012-11-02	$23.29	$22.77	21.2%	5.2%	15.5%	34.3%	18.8%	1.7%	-1.4%	44.4M	-771.3M	-4.6M	0.56	3.25	27,259	15,366	944,342	871,800
2012-11-05	$23.32	$22.77	23.8%	4.8%	15.5%	43.3%	17.9%	2.3%	-0.1%	44.4M	-761.1M	-4.6M	0.90	3.18	24,726	22,245	908,738	874,002
2012-11-06	$23.44	$22.77	23.8%	4.7%	15.4%	43.3%	23.7%	2.7%	0.0%	46.8M	-845.7M	-4.4M	0.01	10.07	4,249,009	25,652	911,625	876,191
2012-11-07	$22.93	$23.72	19.8%	5.3%	17.1%	29.3%	19.1%	2.4%	-0.2%	20.3M	-173.4M	-3.9M	0.59	2.42	52,545	30,852	642,605	880,817
2012-11-08	$22.92	$23.72	19.7%	5.3%	17.1%	29.1%	18.4%	3.1%	0.0%	19.6M	-152.5M	-3.9M	0.55	2.36	31,866	17,496	666,616	895,710
2012-11-09	$22.93	$23.72	18.8%	5.2%	17.0%	26.2%	18.0%	2.7%	0.1%	18.2M	-144.2M	-3.9M	0.54	3.58	23,929	12,815	672,947	899,895
2012-11-12	$22.87	$23.72	19.4%	4.9%	17.0%	28.1%	17.3%	3.1%	0.2%	15.7M	-117.4M	-3.8M	0.62	2.18	13,463	8,361	649,350	889,351
2012-11-13	$22.82	$23.72	19.5%	4.9%	17.0%	28.5%	18.1%	3.4%	0.2%	13.3M	-93.5M	-3.7M	0.93	2.97	15,476	14,408	652,095	891,421
2012-11-14	$22.59	$23.72	19.1%	5.0%	15.5%	27.2%	17.2%	2.8%	-0.3%	8.1M	-14.7M	-3.6M	3.20	4.32	14,831	47,441	656,564	891,632
2012-11-15	$22.45	$23.72	17.3%	4.9%	14.8%	20.8%	18.2%	2.6%	0.2%	7.3M	-10.1M	-3.6M	0.78	4.93	15,922	12,396	656,045	884,348
2012-11-16	$22.64	$22.77	16.2%	4.7%	15.3%	17.3%	16.7%	2.4%	0.2%	10.6M	-54.5M	-3.5M	0.79	2.78	21,754	17,150	657,121	862,880
2012-11-19	$22.90	$22.77	14.1%	4.1%	15.8%	10.2%	13.7%	2.4%	1.0%	22.3M	-201.4M	-3.4M	0.76	3.21	31,706	24,148	553,717	823,506
2012-11-20	$23.04	$22.77	14.1%	4.0%	15.9%	10.0%	13.4%	2.7%	0.5%	26.8M	-248.4M	-3.4M	1.53	4.13	11,242	17,172	565,706	833,728
2012-11-21	$23.10	$22.77	14.0%	4.0%	16.0%	9.6%	12.5%	2.8%	0.6%	26.4M	-284.6M	-3.4M	0.41	2.75	15,964	6,478	563,401	841,560
2012-11-23	$23.27	$22.77	11.8%	3.4%	15.5%	2.1%	12.3%	2.2%	1.3%	32.8M	-378.0M	-3.4M	0.45	3.39	5,825	2,642	572,990	843,336
2012-11-26	$23.24	$22.77	14.4%	4.1%	15.3%	11.0%	13.5%	3.1%	0.1%	33.0M	-340.4M	-3.2M	1.04	5.95	14,789	15,362	571,323	840,111
2012-11-27	$23.01	$22.77	14.1%	4.0%	14.7%	10.0%	13.9%	1.7%	0.8%	29.0M	-231.3M	-3.3M	1.12	3.69	8,408	9,436	573,598	848,416
2012-11-28	$23.41	$22.77	13.0%	3.7%	16.2%	6.1%	14.4%	1.9%	0.6%	35.1M	-407.7M	-3.2M	1.39	3.70	18,183	25,316	575,306	855,414
2012-11-29	$23.58	$22.77	12.7%	3.6%	14.5%	5.3%	13.1%	1.8%	0.7%	35.1M	-519.5M	-3.1M	0.96	3.38	12,924	12,419	583,103	869,548
2012-11-30	$23.74	$22.77	13.5%	3.8%	13.9%	8.1%	13.5%	2.1%	0.6%	35.7M	-542.7M	-3.2M	0.55	5.10	20,047	11,092	586,992	873,254