PFE Options History — May 2013

In May 2013, PFE traded between $25.83 and $28.05. ATM implied volatility averaged 17.8%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 5.2% (HV 20d: 23.0%). Max pain ranged from $25.62 to $33.21. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.66.

Notable Days

2013-05-07: Highest Volume — 729,249 contracts
2013-05-31: Largest IV spike — 30.0% change
2013-05-31: Highest IV Rank — 46.3%
2013-05-31: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.39	$25.83	$28.05	$27.42	$25.83
Max Pain	$28.76	$25.62	$33.21	$27.51	$33.21
ATM IV	17.8%	14.8%	24.5%	22.3%	24.5%
Expected Move	4.9%	4.4%	6.3%	5.3%	6.3%
HV 20d	23.0%	18.0%	26.0%	24.9%	21.2%
HV 60d	18.3%	17.8%	20.1%	17.9%	20.1%
IV Rank	23.7%	13.6%	46.3%	38.9%	46.3%
IV Percentile	68.7%	39.3%	97.6%	92.9%	97.6%
Term Structure	-0.0%	-3.0%	0.7%	-0.2%	-0.8%
VWIV	18.2%	15.6%	27.1%	19.6%	22.6%
Skew 25d	1.2%	-1.2%	2.7%	2.4%	-0.2%
Skew 10d	2.5%	-3.0%	4.8%	3.6%	-1.9%
Call IV 25d	17.3%	15.4%	23.3%	18.4%	23.3%
Put IV 25d	18.5%	17.0%	23.1%	20.8%	23.1%
Bid-Ask Spread %	4.91	2.26	10.11	5.88	5.53
Gamma HHI	0.19	0.13	0.57	0.15	0.13
Net GEX	25.4M	5.8M	95.0M	17.2M	5.8M
Net DEX	-28.9M	-473.2M	1.30B	-309.5M	1.30B
Net VEX	-4.9M	-5.5M	-4.4M	-4.4M	-5.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.02	1.05	0.69	0.56
Total Volume	126,622.455	23,968	729,249	80,785	113,573
Total OI	1,358,433.227	1,106,758	2,115,599	1,138,405	2,115,599

Daily Data (22 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
2013-05-01	$27.42	$27.51	22.3%	5.3%	24.9%	38.9%	19.6%	2.4%	-0.2%	17.2M	-309.5M	-4.4M	0.69	5.88	47,771	33,014	603,313	535,092
2013-05-02	$27.77	$27.51	19.6%	5.0%	25.3%	29.6%	17.8%	2.4%	-0.5%	21.4M	-406.8M	-4.6M	0.60	5.50	15,003	8,965	620,748	547,518
2013-05-03	$27.48	$27.51	18.6%	4.8%	25.5%	26.4%	17.6%	2.2%	0.5%	8.5M	-317.7M	-4.5M	0.86	2.97	39,795	34,332	623,711	551,515
2013-05-06	$27.25	$25.62	21.0%	4.8%	25.7%	34.3%	19.2%	1.8%	0.1%	19.3M	-264.0M	-4.5M	0.71	2.26	23,680	16,706	629,217	558,859
2013-05-07	$27.54	$25.62	20.0%	4.6%	26.0%	31.1%	27.1%	2.7%	0.4%	24.1M	-348.6M	-4.6M	0.02	2.44	714,587	14,662	640,601	565,718
2013-05-08	$27.26	$27.51	15.9%	4.6%	24.1%	17.1%	16.5%	2.0%	0.4%	16.5M	-168.5M	-4.6M	0.59	2.64	21,603	12,788	585,979	571,599
2013-05-09	$27.13	$27.51	15.9%	4.6%	22.1%	17.2%	16.5%	2.0%	0.4%	13.0M	-118.6M	-4.7M	0.58	3.07	19,417	11,238	595,444	577,583
2013-05-10	$27.25	$27.51	14.8%	4.5%	22.2%	13.6%	16.1%	2.0%	0.5%	19.7M	-170.0M	-4.6M	1.03	5.07	19,501	20,024	602,469	576,859
2013-05-13	$27.87	$27.51	15.5%	4.6%	23.9%	15.9%	16.1%	1.4%	0.3%	33.7M	-380.5M	-4.7M	0.33	10.11	30,950	10,127	605,535	576,167
2013-05-14	$27.89	$27.51	15.3%	4.7%	23.0%	15.1%	16.1%	1.4%	0.4%	35.2M	-407.8M	-4.7M	0.44	5.50	30,887	13,466	616,852	579,458
2013-05-15	$28.05	$27.51	15.7%	4.6%	23.2%	16.6%	16.6%	1.5%	0.2%	36.8M	-473.2M	-4.9M	0.35	4.29	26,611	9,421	626,873	587,183
2013-05-16	$27.75	$27.51	16.2%	4.7%	23.2%	18.3%	16.4%	1.4%	0.6%	35.3M	-365.7M	-4.9M	0.32	4.92	32,992	10,510	621,480	586,734
2013-05-17	$27.48	$27.51	15.9%	4.6%	22.4%	17.1%	16.4%	1.7%	0.6%	95.0M	-273.3M	-4.8M	0.85	5.10	31,386	26,724	638,075	592,305
2013-05-20	$27.23	$27.51	15.3%	4.4%	22.5%	15.0%	15.6%	1.6%	0.7%	20.6M	-215.2M	-4.7M	0.70	4.68	20,957	14,747	567,989	538,769
2013-05-21	$27.31	$27.51	15.9%	4.6%	22.4%	17.1%	16.1%	1.8%	0.6%	20.7M	-221.7M	-5.0M	0.53	6.62	53,714	28,708	580,810	548,030
2013-05-22	$27.80	$27.51	18.5%	5.3%	23.2%	26.0%	18.4%	0.2%	-3.0%	29.0M	-346.9M	-5.2M	0.85	8.36	232,720	198,368	603,422	561,623
2013-05-23	$27.62	$30.36	18.3%	5.2%	23.1%	25.3%	18.8%	-0.1%	-0.5%	28.6M	114.0M	-5.5M	0.93	4.51	129,585	120,353	775,300	726,666
2013-05-24	$27.55	$33.21	18.1%	5.2%	23.0%	24.4%	18.8%	-0.2%	-0.2%	29.6M	362.2M	-5.5M	1.05	4.04	107,084	112,685	867,222	820,672
2013-05-28	$27.52	$33.21	17.2%	4.9%	22.5%	21.7%	18.7%	-0.0%	0.0%	24.2M	535.6M	-5.5M	0.75	4.23	64,664	48,658	935,643	889,253
2013-05-29	$26.83	$33.21	18.6%	5.3%	18.0%	26.2%	19.3%	-1.2%	-0.6%	13.4M	832.7M	-5.3M	0.95	6.06	95,075	90,782	961,346	928,305
2013-05-30	$26.80	$33.21	18.9%	5.4%	18.0%	27.2%	19.8%	-0.3%	-0.3%	11.2M	1.01B	-5.5M	0.90	4.27	40,954	36,907	1,042,249	1,005,746
2013-05-31	$25.83	$33.21	24.5%	6.3%	21.2%	46.3%	22.6%	-0.2%	-0.8%	5.8M	1.30B	-5.1M	0.56	5.53	72,637	40,936	1,073,344	1,042,255