PFE Options History — March 2014

In March 2014, PFE traded between $29.53 and $31.07. ATM implied volatility averaged 20.4%, placing in the 44.3% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 3.4% (HV 20d: 17.0%). Max pain ranged from $26.57 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 0.51.

Notable Days

2014-03-03: Highest Volume — 151,071 contracts
2014-03-12: Largest IV spike — 13.3% change
2014-03-14: Highest IV Rank — 61.1%
2014-03-14: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.37	$29.53	$31.07	$30.34	$30.47
Max Pain	$26.57	$26.57	$26.57	$26.57	$26.57
ATM IV	20.4%	18.5%	24.0%	19.1%	20.3%
Expected Move	5.8%	5.6%	5.9%	5.7%	5.8%
HV 20d	17.0%	13.6%	19.2%	17.9%	19.2%
HV 60d	18.3%	17.5%	18.9%	17.6%	18.9%
IV Rank	44.3%	37.1%	61.1%	40.3%	42.1%
IV Percentile	88.1%	77.4%	96.0%	85.7%	88.1%
Term Structure	0.0%	-1.5%	1.5%	1.4%	1.5%
VWIV	21.0%	18.9%	23.1%	21.3%	20.9%
Skew 25d	1.3%	0.1%	2.3%	2.3%	1.3%
Skew 10d	2.8%	-2.2%	7.8%	7.8%	3.1%
Call IV 25d	20.3%	18.1%	24.2%	19.2%	20.1%
Put IV 25d	21.6%	19.3%	25.7%	21.5%	21.4%
Bid-Ask Spread %	7.28	5.22	20.65	6.63	6.95
Gamma HHI	0.29	0.24	0.47	0.24	0.27
Net GEX	68.5M	46.2M	94.6M	62.1M	64.7M
Net DEX	-842.4M	-1.21B	-471.5M	-724.4M	-784.0M
Net VEX	-6.0M	-6.2M	-4.9M	-4.9M	-6.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.10	1.10	0.10	1.10
Total Volume	57,274.857	13,226	151,071	151,071	33,618
Total OI	1,178,523.048	975,582	1,327,762	975,582	1,110,129

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
2014-03-03	$30.34	$26.57	19.1%	5.7%	17.9%	40.3%	21.3%	2.3%	1.4%	62.1M	-724.4M	-4.9M	0.10	6.63	137,131	13,940	613,851	361,731
2014-03-04	$31.02	$26.57	18.5%	5.7%	19.1%	37.5%	20.6%	1.2%	1.0%	74.0M	-1.18B	-5.8M	0.25	5.36	65,229	16,338	736,557	369,316
2014-03-05	$31.07	$26.57	18.5%	5.7%	17.0%	37.4%	20.9%	1.3%	1.5%	73.1M	-1.21B	-5.9M	0.33	5.31	34,000	11,358	747,615	377,948
2014-03-06	$30.80	$26.57	18.9%	5.7%	14.2%	39.3%	20.9%	1.6%	1.1%	74.9M	-1.11B	-5.9M	0.75	6.37	24,448	18,418	756,233	384,939
2014-03-07	$30.77	$26.57	18.5%	5.7%	14.2%	37.1%	21.8%	1.2%	0.7%	77.0M	-1.06B	-6.0M	0.32	5.22	21,690	6,896	759,446	395,472
2014-03-10	$30.73	$26.57	19.2%	5.8%	13.8%	40.7%	18.9%	1.9%	-0.3%	74.4M	-1.02B	-5.9M	0.83	5.38	7,210	6,016	749,588	387,094
2014-03-11	$30.76	$26.57	19.1%	5.7%	13.6%	40.2%	19.2%	2.1%	-0.2%	78.9M	-1.04B	-5.9M	0.48	6.55	50,771	24,185	751,988	389,581
2014-03-12	$30.34	$26.57	21.6%	5.6%	13.9%	52.5%	20.2%	1.3%	-0.9%	67.5M	-826.4M	-6.0M	0.62	20.65	62,282	38,892	753,399	408,917
2014-03-13	$29.53	$26.57	22.4%	5.8%	16.7%	56.2%	20.8%	1.2%	-1.3%	46.2M	-471.5M	-6.0M	0.55	10.43	89,662	49,243	789,937	433,884
2014-03-14	$29.63	$26.57	24.0%	5.9%	16.8%	61.1%	23.1%	1.5%	-1.5%	54.9M	-565.7M	-6.2M	0.85	7.12	28,503	24,127	846,131	442,533
2014-03-17	$29.81	$26.57	22.0%	5.8%	16.7%	51.1%	21.1%	1.6%	-0.1%	64.0M	-644.7M	-6.1M	0.43	6.24	33,900	14,651	839,880	442,547
2014-03-18	$30.29	$26.57	21.6%	5.9%	17.7%	48.7%	20.1%	1.4%	-0.1%	82.3M	-903.3M	-6.2M	0.53	6.50	41,029	21,566	846,561	446,115
2014-03-19	$30.09	$26.57	21.3%	5.9%	17.3%	47.4%	23.0%	1.2%	-0.8%	75.7M	-777.4M	-6.2M	0.29	6.95	26,448	7,773	857,672	459,810
2014-03-20	$30.28	$26.57	21.2%	5.8%	17.4%	46.5%	22.1%	0.8%	-0.9%	94.6M	-909.9M	-6.0M	0.22	6.23	33,054	7,243	858,687	456,243
2014-03-21	$30.53	$26.57	19.5%	5.8%	17.6%	37.7%	20.3%	0.1%	-0.4%	81.2M	-892.6M	-6.0M	0.31	6.94	50,458	15,838	867,088	460,674
2014-03-24	$29.88	$26.57	20.8%	5.8%	18.3%	44.8%	21.4%	0.7%	0.5%	47.6M	-569.5M	-6.0M	0.39	8.07	33,084	12,977	750,514	345,259
2014-03-25	$30.19	$26.57	19.6%	5.8%	18.7%	38.5%	20.3%	0.9%	0.6%	56.9M	-673.0M	-6.1M	0.31	6.09	15,872	4,887	764,390	353,220
2014-03-26	$30.53	$26.57	20.9%	5.8%	19.1%	45.3%	20.5%	0.5%	-0.7%	65.4M	-832.8M	-6.2M	0.41	6.12	33,459	13,623	772,934	354,848
2014-03-27	$30.46	$26.57	20.4%	5.8%	18.9%	42.5%	22.4%	1.0%	-0.4%	65.1M	-800.2M	-6.2M	0.89	6.73	8,158	7,296	789,837	360,886
2014-03-28	$30.25	$26.57	20.8%	5.8%	19.1%	44.5%	21.4%	1.3%	-0.4%	58.2M	-686.5M	-6.2M	0.83	7.07	31,338	26,161	791,092	364,438
2014-03-31	$30.47	$26.57	20.3%	5.8%	19.2%	42.1%	20.9%	1.3%	1.5%	64.7M	-784.0M	-6.0M	1.10	6.95	15,984	17,634	756,949	353,180