PFE Options History — December 2012

In December 2012, PFE traded between $23.61 and $24.33. ATM implied volatility averaged 15.6%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 2.3% (HV 20d: 13.2%). Max pain ranged from $21.35 to $22.77. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.76.

Notable Days

2012-12-05: Highest Volume — 73,512 contracts
2012-12-10: Largest IV spike — 14.5% change
2012-12-31: Highest IV Rank — 23.9%
2012-12-28: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.02	$23.61	$24.33	$23.80	$23.80
Max Pain	$22.56	$21.35	$22.77	$22.77	$22.77
ATM IV	15.6%	13.7%	18.2%	15.6%	18.2%
Expected Move	4.3%	3.9%	4.9%	4.0%	4.8%
HV 20d	13.2%	12.3%	15.1%	13.9%	13.2%
HV 60d	13.9%	13.5%	14.2%	14.0%	14.2%
IV Rank	15.1%	8.8%	23.9%	15.3%	23.9%
IV Percentile	35.8%	16.3%	63.9%	33.3%	63.9%
Term Structure	1.4%	0.3%	2.1%	0.3%	0.7%
VWIV	15.3%	14.2%	17.5%	14.2%	17.5%
Skew 25d	2.7%	1.6%	3.9%	1.6%	3.9%
Skew 10d	7.6%	4.6%	11.4%	4.9%	11.4%
Call IV 25d	14.4%	13.7%	15.9%	14.0%	15.4%
Put IV 25d	17.1%	15.6%	19.6%	15.6%	19.3%
Bid-Ask Spread %	6.83	1.52	12.58	3.94	5.51
Gamma HHI	0.33	0.25	0.44	0.38	0.28
Net GEX	34.7M	23.7M	44.1M	39.2M	26.0M
Net DEX	-610.0M	-760.3M	-336.9M	-566.5M	-435.1M
Net VEX	-3.2M	-3.4M	-3.0M	-3.2M	-3.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.29	1.74	0.57	0.50
Total Volume	34,551.25	14,666	73,512	29,424	26,062
Total OI	1,484,340.85	1,324,581	1,587,769	1,469,694	1,378,015

Daily Data (20 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
2012-12-03	$23.80	$22.77	15.6%	4.0%	13.9%	15.3%	14.2%	1.6%	0.3%	39.2M	-566.5M	-3.2M	0.57	3.94	18,780	10,644	595,872	873,822
2012-12-04	$23.88	$22.77	16.5%	4.1%	13.9%	18.1%	14.5%	2.2%	0.3%	36.5M	-583.4M	-3.2M	1.09	6.82	25,822	28,050	595,953	879,663
2012-12-05	$24.33	$22.77	15.6%	3.9%	15.1%	15.3%	14.3%	2.3%	0.3%	37.7M	-758.9M	-3.3M	0.33	9.73	55,408	18,104	607,799	891,162
2012-12-06	$24.30	$22.77	14.2%	3.9%	12.3%	10.3%	14.3%	2.0%	0.7%	35.5M	-746.0M	-3.3M	0.84	12.58	9,885	8,259	622,576	899,690
2012-12-07	$24.25	$21.35	14.1%	4.0%	12.4%	9.9%	15.2%	2.8%	1.8%	31.2M	-733.3M	-3.1M	0.83	10.09	12,083	10,038	610,147	903,402
2012-12-10	$24.11	$21.35	16.1%	4.4%	12.7%	16.9%	14.9%	2.4%	1.8%	36.9M	-672.6M	-3.1M	0.29	6.97	24,632	7,143	607,804	895,722
2012-12-11	$24.33	$21.35	16.8%	4.1%	12.8%	19.3%	15.3%	2.6%	1.5%	36.1M	-747.6M	-3.1M	0.94	6.32	10,772	10,138	605,578	901,344
2012-12-12	$24.20	$22.77	14.4%	4.1%	13.0%	11.1%	15.1%	2.3%	1.5%	36.3M	-693.6M	-3.0M	0.55	7.58	18,810	10,322	603,901	905,108
2012-12-13	$24.03	$22.77	15.6%	4.5%	12.6%	15.0%	14.9%	2.3%	1.7%	38.6M	-650.1M	-3.1M	0.50	8.10	17,279	8,647	616,819	909,617
2012-12-14	$23.89	$22.77	15.5%	4.5%	12.6%	15.0%	15.3%	2.5%	1.6%	36.2M	-572.8M	-3.2M	0.99	7.00	24,082	23,733	623,930	914,755
2012-12-17	$24.06	$22.77	15.4%	4.4%	12.5%	14.3%	16.4%	2.7%	1.5%	39.1M	-659.8M	-3.1M	1.65	9.36	12,659	20,918	633,275	927,467
2012-12-18	$24.33	$22.77	13.7%	3.9%	12.5%	8.8%	15.0%	2.3%	1.6%	41.7M	-760.3M	-3.1M	0.55	1.72	12,074	6,640	640,214	935,068
2012-12-19	$24.05	$22.77	15.4%	4.4%	13.4%	14.5%	14.6%	2.5%	1.6%	38.9M	-665.3M	-3.1M	0.33	3.12	29,926	9,963	640,825	935,858
2012-12-20	$24.13	$22.77	15.1%	4.3%	13.4%	13.4%	15.7%	2.8%	2.1%	35.9M	-697.7M	-3.1M	0.58	7.33	18,821	11,004	644,491	926,720
2012-12-21	$23.80	$22.77	15.1%	4.3%	14.4%	13.5%	15.0%	3.0%	1.9%	44.1M	-554.0M	-3.3M	0.72	9.77	30,331	21,966	654,305	933,464
2012-12-24	$23.80	$22.77	15.3%	4.4%	14.4%	14.2%	15.4%	2.8%	2.0%	27.9M	-420.1M	-3.1M	0.84	1.52	7,991	6,675	537,388	787,193
2012-12-26	$23.95	$22.77	15.6%	4.5%	13.9%	15.1%	14.8%	3.0%	1.9%	28.6M	-495.3M	-3.0M	0.83	6.40	16,634	13,802	541,405	787,831
2012-12-27	$23.85	$22.77	15.7%	4.5%	12.8%	15.4%	17.0%	3.6%	1.5%	24.0M	-449.8M	-3.2M	1.74	6.32	17,439	30,346	548,764	794,798
2012-12-28	$23.61	$22.77	17.9%	4.9%	13.1%	22.9%	16.7%	3.7%	0.9%	23.7M	-336.9M	-3.4M	0.54	6.51	29,309	15,834	556,265	818,807
2012-12-31	$23.80	$22.77	18.2%	4.8%	13.2%	23.9%	17.5%	3.9%	0.7%	26.0M	-435.1M	-3.2M	0.50	5.51	17,384	8,678	558,031	819,984