PFE Options History — February 2013

In February 2013, PFE traded between $25.46 and $26.29. ATM implied volatility averaged 15.6%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 2.3% (HV 20d: 17.9%). Max pain ranged from $25.62 to $25.62. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.59.

Notable Days

2013-02-01: Highest Volume — 70,601 contracts
2013-02-25: Largest IV spike — 39.5% change
2013-02-25: Highest IV Rank — 32.4%
2013-02-25: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.85	$25.46	$26.29	$26.21	$25.97
Max Pain	$25.62	$25.62	$25.62	$25.62	$25.62
ATM IV	15.6%	13.1%	20.6%	14.4%	14.7%
Expected Move	4.3%	3.8%	5.0%	4.0%	4.4%
HV 20d	17.9%	16.3%	19.6%	16.3%	16.4%
HV 60d	16.0%	15.6%	16.5%	15.8%	16.4%
IV Rank	15.2%	6.6%	32.4%	10.9%	11.9%
IV Percentile	43.4%	7.9%	90.1%	29.0%	34.9%
Term Structure	0.1%	-0.9%	0.5%	0.1%	0.3%
VWIV	15.1%	14.1%	18.0%	14.4%	14.6%
Skew 25d	2.6%	1.9%	3.8%	1.9%	2.5%
Skew 10d	5.4%	2.7%	7.8%	4.5%	2.7%
Call IV 25d	14.0%	13.0%	16.4%	13.8%	13.6%
Put IV 25d	16.7%	15.4%	20.2%	15.8%	16.2%
Bid-Ask Spread %	5.12	2.74	9.48	8.80	5.70
Gamma HHI	0.27	0.22	0.38	0.38	0.27
Net GEX	23.3M	15.5M	29.6M	28.9M	29.2M
Net DEX	-232.6M	-324.8M	-134.1M	-316.2M	-274.1M
Net VEX	-4.0M	-4.2M	-3.9M	-3.9M	-4.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.22	1.17	0.26	0.41
Total Volume	29,753.895	9,212	70,601	70,601	12,769
Total OI	947,575.632	903,514	982,780	910,399	972,941

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
2013-02-01	$26.21	$25.62	14.4%	4.0%	16.3%	10.9%	14.4%	1.9%	0.1%	28.9M	-316.2M	-3.9M	0.26	8.80	55,942	14,659	414,715	495,684
2013-02-04	$25.78	$25.62	18.5%	4.4%	17.8%	24.9%	14.6%	2.3%	0.1%	24.5M	-213.9M	-3.9M	0.31	5.25	48,519	15,044	435,727	487,731
2013-02-05	$26.10	$25.62	16.9%	4.0%	18.1%	19.6%	14.6%	2.4%	0.3%	27.6M	-273.7M	-3.9M	0.34	3.07	6,885	2,327	432,148	495,246
2013-02-06	$25.92	$25.62	15.8%	4.5%	18.4%	15.8%	15.4%	2.6%	-0.1%	23.5M	-239.8M	-3.9M	0.71	4.00	14,367	10,201	434,523	496,216
2013-02-07	$25.58	$25.62	15.4%	4.4%	18.4%	14.6%	15.6%	2.5%	0.0%	15.5M	-145.7M	-3.9M	0.67	3.52	30,233	20,179	439,199	501,941
2013-02-08	$25.50	$25.62	14.9%	4.3%	18.0%	12.9%	14.5%	2.5%	0.4%	15.8M	-134.1M	-3.9M	0.36	4.30	30,164	10,794	459,136	506,089
2013-02-11	$25.75	$25.62	15.1%	4.3%	18.0%	13.5%	15.8%	2.6%	0.2%	24.5M	-220.4M	-3.9M	0.22	6.89	24,140	5,223	474,497	506,427
2013-02-12	$25.61	$25.62	15.0%	4.3%	17.9%	13.3%	15.5%	2.5%	0.1%	17.0M	-183.6M	-4.0M	0.55	3.59	12,414	6,824	460,808	508,413
2013-02-13	$25.62	$25.62	14.5%	4.2%	17.8%	11.4%	15.0%	2.6%	0.5%	16.1M	-180.6M	-3.9M	0.70	4.70	19,594	13,660	466,192	509,578
2013-02-14	$25.67	$25.62	14.5%	4.2%	17.8%	11.4%	14.4%	2.8%	0.4%	15.6M	-192.1M	-4.0M	0.60	2.91	7,680	4,582	463,420	511,424
2013-02-15	$25.89	$25.62	14.7%	4.2%	17.8%	12.0%	14.7%	3.0%	0.4%	22.5M	-264.1M	-4.1M	0.37	2.86	17,384	6,491	468,187	514,593
2013-02-19	$26.29	$25.62	13.1%	3.8%	18.0%	6.6%	14.1%	2.4%	0.5%	29.6M	-324.8M	-4.0M	0.46	2.74	18,091	8,330	440,263	463,251
2013-02-20	$26.16	$25.62	13.6%	3.9%	18.1%	8.4%	14.2%	2.1%	0.5%	28.7M	-311.0M	-4.0M	0.92	2.93	10,352	9,552	448,683	466,032
2013-02-21	$26.01	$25.62	15.6%	4.5%	18.3%	15.3%	15.5%	2.5%	-0.0%	27.6M	-276.5M	-4.1M	0.58	9.48	15,653	9,098	452,875	471,683
2013-02-22	$25.98	$25.62	14.8%	4.4%	18.2%	12.4%	14.9%	3.7%	-0.1%	26.3M	-258.7M	-4.1M	0.96	5.16	19,295	18,543	456,772	476,464
2013-02-25	$25.46	$25.62	20.6%	5.0%	19.5%	32.4%	18.0%	3.8%	-0.9%	19.0M	-151.7M	-4.0M	1.07	6.28	12,589	13,424	462,829	481,876
2013-02-26	$25.65	$25.62	18.1%	4.6%	19.6%	23.6%	16.3%	3.2%	0.1%	21.5M	-178.4M	-4.1M	1.17	8.86	12,114	14,138	469,339	489,821
2013-02-27	$26.01	$25.62	16.4%	4.4%	16.6%	17.8%	14.3%	2.5%	0.1%	29.4M	-280.1M	-4.2M	0.63	6.30	8,649	5,421	471,747	497,467
2013-02-28	$25.97	$25.62	14.7%	4.4%	16.4%	11.9%	14.6%	2.5%	0.3%	29.2M	-274.1M	-4.1M	0.41	5.70	9,085	3,684	473,813	499,128