PFE Options History — October 2013

In October 2013, PFE traded between $26.79 and $29.65. ATM implied volatility averaged 17.0%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.8% (HV 20d: 15.2%). Max pain ranged from $26.57 to $28.46. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.71.

Notable Days

2013-10-18: Highest Volume — 79,582 contracts
2013-10-16: Largest IV drop — 16.0% change
2013-10-08: Highest IV Rank — 38.2%
2013-10-08: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.21	$26.79	$29.65	$27.41	$29.12
Max Pain	$27.51	$26.57	$28.46	$27.04	$28.46
ATM IV	17.0%	13.5%	22.1%	17.2%	13.8%
Expected Move	4.9%	3.9%	6.3%	5.0%	3.9%
HV 20d	15.2%	11.1%	17.7%	11.9%	17.6%
HV 60d	13.0%	11.7%	13.9%	11.7%	13.9%
IV Rank	21.0%	9.2%	38.2%	21.6%	10.0%
IV Percentile	56.8%	11.5%	92.9%	65.1%	16.3%
Term Structure	-0.6%	-2.2%	1.0%	-0.4%	0.4%
VWIV	17.4%	13.9%	21.9%	17.3%	13.9%
Skew 25d	3.3%	2.2%	4.9%	2.6%	2.5%
Skew 10d	7.3%	3.9%	11.7%	5.5%	5.1%
Call IV 25d	15.8%	12.7%	20.5%	16.7%	13.2%
Put IV 25d	19.1%	15.0%	24.6%	19.2%	15.6%
Bid-Ask Spread %	6.10	3.07	11.92	7.05	6.27
Gamma HHI	0.25	0.20	0.39	0.25	0.24
Net GEX	35.8M	17.5M	51.2M	30.1M	40.8M
Net DEX	-504.0M	-936.2M	-41.5M	-256.6M	-723.2M
Net VEX	-4.9M	-5.3M	-4.4M	-5.1M	-4.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.30	1.52	0.30	0.65
Total Volume	38,003.348	16,437	79,582	24,193	35,164
Total OI	1,301,930.435	1,245,619	1,351,358	1,245,619	1,332,837

Daily Data (23 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
2013-10-01	$27.41	$27.04	17.2%	5.0%	11.9%	21.6%	17.3%	2.6%	-0.4%	30.1M	-256.6M	-5.1M	0.30	7.05	18,541	5,652	649,076	596,543
2013-10-02	$27.52	$27.04	18.1%	5.2%	11.1%	24.5%	18.3%	2.4%	-0.3%	33.6M	-301.1M	-5.3M	0.69	6.39	15,328	10,537	658,050	597,417
2013-10-03	$27.30	$27.04	18.3%	5.3%	11.5%	25.3%	19.4%	3.3%	-0.7%	34.7M	-237.9M	-5.1M	0.91	8.16	22,014	20,005	664,316	601,884
2013-10-04	$27.51	$27.04	18.2%	5.2%	11.8%	24.8%	19.1%	2.9%	-0.6%	33.4M	-314.9M	-5.1M	0.55	7.19	16,329	8,921	674,412	611,051
2013-10-07	$27.15	$27.04	20.0%	5.7%	12.9%	31.1%	21.4%	4.2%	-2.0%	27.3M	-176.6M	-5.1M	0.89	6.56	18,063	16,055	669,684	608,418
2013-10-08	$26.79	$27.51	22.1%	6.3%	13.6%	38.2%	21.9%	4.3%	-1.5%	18.4M	-41.5M	-5.1M	1.21	9.24	13,587	16,439	675,996	619,579
2013-10-09	$26.84	$27.04	21.4%	6.1%	13.3%	35.8%	21.9%	4.1%	-0.4%	17.5M	-46.5M	-5.1M	1.00	6.08	17,084	17,018	679,318	626,755
2013-10-10	$27.30	$0.00	19.2%	5.6%	13.9%	28.2%	20.1%	3.2%	-1.6%	31.0M	-212.9M	-5.1M	0.32	3.07	20,359	6,522	684,541	635,798
2013-10-11	$27.25	$27.04	18.8%	5.6%	13.7%	27.0%	19.2%	3.9%	-2.2%	26.9M	-193.2M	-5.0M	0.61	11.92	19,370	11,882	687,373	638,287
2013-10-14	$27.85	$26.57	18.7%	5.3%	15.6%	26.8%	17.6%	3.3%	-1.7%	37.7M	-433.0M	-5.0M	0.39	3.85	26,781	10,354	676,539	632,588
2013-10-15	$27.67	$26.57	19.5%	5.5%	15.7%	29.2%	19.9%	4.4%	-1.8%	36.2M	-371.0M	-5.1M	1.41	3.45	11,943	16,830	684,156	635,627
2013-10-16	$28.27	$26.57	16.4%	4.6%	16.8%	18.7%	16.3%	4.9%	-0.0%	49.6M	-595.3M	-5.0M	0.35	4.23	30,755	10,635	686,717	647,901
2013-10-17	$28.71	$27.51	15.6%	4.5%	17.2%	16.2%	16.1%	3.8%	-1.1%	51.2M	-782.4M	-4.8M	0.68	4.13	32,291	22,043	691,347	641,454
2013-10-18	$28.95	$27.51	14.9%	4.3%	17.3%	14.0%	15.9%	3.2%	1.0%	43.2M	-856.5M	-4.8M	0.36	5.10	58,440	21,142	698,918	652,440
2013-10-21	$28.84	$27.99	15.3%	4.3%	17.2%	15.0%	15.8%	3.0%	0.5%	36.2M	-651.1M	-4.9M	0.85	6.32	18,498	15,715	642,451	621,241
2013-10-22	$29.11	$27.99	15.2%	4.4%	17.2%	14.8%	15.0%	2.9%	-0.6%	37.9M	-756.2M	-4.7M	0.40	5.05	37,898	15,259	649,630	630,081
2013-10-23	$29.03	$28.46	15.5%	4.4%	16.9%	15.9%	16.0%	3.2%	-0.8%	38.4M	-708.8M	-4.9M	0.95	6.02	8,429	8,008	660,314	636,471
2013-10-24	$29.04	$28.46	15.1%	4.4%	16.9%	14.6%	15.8%	2.9%	-0.5%	39.4M	-718.3M	-4.8M	0.87	6.47	11,524	10,046	661,817	640,563
2013-10-25	$29.04	$28.46	15.1%	4.4%	16.6%	14.4%	15.4%	2.9%	-0.5%	37.3M	-715.8M	-4.9M	1.52	5.62	12,363	18,780	664,452	644,778
2013-10-28	$29.17	$27.51	15.9%	4.5%	16.3%	17.3%	15.8%	2.6%	-0.6%	37.1M	-739.1M	-4.8M	0.66	7.52	46,661	30,998	652,332	638,100
2013-10-29	$29.65	$27.99	13.9%	4.0%	16.9%	10.3%	14.8%	2.3%	0.5%	43.0M	-936.2M	-4.4M	0.36	5.59	42,770	15,557	666,415	649,273
2013-10-30	$29.35	$28.46	13.5%	3.9%	17.7%	9.2%	14.4%	2.2%	0.4%	42.2M	-824.9M	-4.5M	0.47	4.96	21,476	10,011	672,511	654,949
2013-10-31	$29.12	$28.46	13.8%	3.9%	17.6%	10.0%	13.9%	2.5%	0.4%	40.8M	-723.2M	-4.6M	0.65	6.27	21,325	13,839	675,893	656,944