PFE Options History — January 2013

In January 2013, PFE traded between $24.53 and $26.28. ATM implied volatility averaged 15.3%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 1.6% (HV 20d: 16.9%). Max pain ranged from $22.77 to $26.57. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.58.

Notable Days

2013-01-29: Highest Volume — 1,820,310 contracts
2013-01-28: Largest IV spike — 40.9% change
2013-01-28: Highest IV Rank — 54.4%
2013-01-28: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.27	$24.53	$26.28	$24.58	$25.88
Max Pain	$23.99	$22.77	$26.57	$22.77	$25.62
ATM IV	15.3%	13.0%	27.1%	15.1%	14.5%
Expected Move	4.1%	3.8%	4.4%	3.8%	4.1%
HV 20d	16.9%	15.9%	18.6%	17.5%	16.0%
HV 60d	15.6%	15.2%	16.1%	15.6%	15.6%
IV Rank	14.3%	6.2%	54.4%	13.5%	11.5%
IV Percentile	32.7%	7.1%	97.2%	33.3%	31.0%
Term Structure	0.0%	-1.0%	2.0%	2.0%	0.2%
VWIV	15.6%	13.9%	24.8%	13.9%	14.2%
Skew 25d	2.6%	1.1%	3.8%	2.3%	1.1%
Skew 10d	5.1%	2.2%	8.5%	5.5%	4.7%
Call IV 25d	13.5%	12.4%	15.3%	13.2%	14.2%
Put IV 25d	16.2%	15.1%	17.6%	15.5%	15.3%
Bid-Ask Spread %	7.39	4.28	11.22	8.23	8.80
Gamma HHI	0.32	0.25	0.40	0.32	0.32
Net GEX	25.3M	17.6M	31.5M	28.7M	20.9M
Net DEX	-679.5M	-975.8M	-252.3M	-747.7M	-252.3M
Net VEX	-3.1M	-3.8M	-2.7M	-2.9M	-3.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.02	1.66	0.14	1.66
Total Volume	132,617.571	14,723	1,820,310	38,053	77,021
Total OI	1,191,162	728,233	1,447,644	1,380,617	873,038

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
2013-01-02	$24.58	$22.77	15.1%	3.8%	17.5%	13.5%	13.9%	2.3%	2.0%	28.7M	-747.7M	-2.9M	0.14	8.23	33,481	4,572	557,704	822,913
2013-01-03	$24.53	$22.77	13.8%	3.8%	17.5%	9.0%	14.8%	2.4%	1.5%	30.8M	-736.8M	-3.0M	1.01	7.64	26,094	26,428	568,945	825,333
2013-01-04	$24.63	$23.72	13.0%	4.3%	16.4%	6.2%	15.7%	3.8%	-0.0%	31.5M	-741.6M	-3.0M	0.32	4.70	11,175	3,548	570,521	844,533
2013-01-07	$24.65	$23.72	14.9%	4.3%	16.4%	12.8%	16.0%	2.9%	-0.6%	29.6M	-793.4M	-2.7M	0.37	5.17	15,258	5,689	563,712	824,833
2013-01-08	$24.69	$23.72	15.1%	4.3%	16.3%	13.3%	15.2%	2.8%	-0.5%	31.0M	-815.3M	-2.7M	1.62	6.93	19,982	32,312	569,486	825,998
2013-01-09	$25.11	$23.72	13.3%	4.4%	17.1%	7.2%	14.9%	3.0%	-0.8%	29.2M	-913.1M	-2.7M	0.62	9.37	39,517	24,336	572,013	831,291
2013-01-10	$25.39	$23.72	14.8%	4.2%	17.2%	12.5%	15.4%	2.5%	-0.2%	23.4M	-975.8M	-2.8M	0.45	4.52	19,981	8,938	579,384	841,032
2013-01-11	$25.16	$23.72	14.5%	4.2%	17.5%	11.6%	15.0%	2.2%	-0.2%	25.7M	-905.5M	-2.8M	0.59	9.16	29,778	17,686	585,266	846,127
2013-01-14	$25.37	$23.72	14.3%	4.1%	17.3%	10.9%	14.5%	2.5%	0.3%	26.2M	-958.5M	-2.8M	0.37	6.90	15,810	5,827	585,399	845,701
2013-01-15	$25.26	$23.72	14.0%	4.0%	17.2%	9.6%	15.3%	2.9%	0.4%	26.1M	-910.5M	-2.8M	0.29	11.22	15,904	4,586	587,907	848,497
2013-01-16	$25.25	$23.72	13.9%	4.0%	17.2%	9.4%	16.0%	2.7%	0.2%	23.5M	-898.6M	-2.8M	0.73	10.50	16,107	11,718	587,865	850,542
2013-01-17	$25.46	$23.72	13.6%	3.9%	17.0%	8.4%	14.2%	2.8%	0.5%	29.8M	-959.9M	-2.9M	0.11	5.92	43,597	4,735	591,002	853,609
2013-01-18	$25.18	$23.72	13.7%	3.9%	16.9%	8.6%	16.2%	2.6%	-0.0%	28.6M	-824.3M	-3.0M	0.39	8.63	43,228	16,686	591,881	855,763
2013-01-22	$25.31	$23.72	13.6%	3.9%	17.0%	8.3%	14.4%	3.0%	-0.4%	17.6M	-347.1M	-2.8M	0.93	4.48	23,182	21,592	343,324	384,909
2013-01-23	$25.28	$23.72	13.6%	3.9%	15.9%	8.4%	15.0%	2.9%	-0.5%	17.6M	-343.7M	-3.0M	0.68	8.81	15,734	10,663	355,506	396,831
2013-01-24	$25.47	$23.72	14.2%	4.1%	16.0%	10.3%	15.0%	2.9%	-0.0%	18.2M	-393.3M	-3.0M	0.39	5.54	123,030	48,543	364,759	400,018
2013-01-25	$25.62	$24.67	19.2%	3.9%	15.9%	27.5%	15.2%	3.7%	0.5%	24.0M	-423.6M	-3.5M	0.33	4.28	19,418	6,331	417,919	430,823
2013-01-28	$25.46	$24.67	27.1%	4.4%	16.1%	54.4%	17.0%	2.3%	-1.0%	21.3M	-406.8M	-3.6M	0.76	10.23	34,886	26,607	435,333	431,431
2013-01-29	$26.28	$24.67	20.2%	4.1%	18.2%	30.7%	24.8%	2.4%	-0.4%	22.8M	-606.4M	-3.7M	0.02	4.86	1,780,862	39,448	451,812	447,479
2013-01-30	$26.10	$26.57	15.6%	3.9%	18.6%	15.2%	14.0%	2.1%	-0.1%	25.8M	-314.4M	-3.7M	0.38	9.24	43,974	16,705	387,907	466,056
2013-01-31	$25.88	$25.62	14.5%	4.1%	16.0%	11.5%	14.2%	1.1%	0.2%	20.9M	-252.3M	-3.8M	1.66	8.80	28,992	48,029	400,571	472,467