PFE Options History — July 2014 In July 2014, PFE traded between $27.23 and $29.37. ATM implied volatility averaged 16.4%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 3.5% (HV 20d: 12.9%). Max pain ranged from $28.46 to $29.41. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.46.
Notable Days 2014-07-16 : Highest Volume — 352,512 contracts2014-07-02 : Largest IV spike — 16.2% change2014-07-28 : Highest IV Rank — 50.9%2014-07-31 : Largest Expected Move — 5.2%Monthly Statistics Metric Avg Min Max Open Close Price $28.64 $27.23 $29.37 $28.54 $27.23 Max Pain $28.98 $28.46 $29.41 $29.41 $28.46 ATM IV 16.4% 14.5% 18.2% 14.5% 16.9% Expected Move 4.9% 4.7% 5.2% 4.7% 5.2% HV 20d 12.9% 11.0% 14.9% 11.5% 14.6% HV 60d 14.8% 11.9% 17.7% 17.7% 12.0% IV Rank 35.7% 20.4% 50.9% 20.4% 40.4% IV Percentile 49.6% 27.4% 72.6% 27.4% 58.7% Term Structure -0.0% -1.2% 2.1% 0.2% -0.7% VWIV 17.3% 16.5% 19.0% 16.5% 19.0% Skew 25d 1.3% -0.2% 3.4% 1.8% 1.3% Skew 10d 2.1% -1.5% 7.3% 7.3% 0.2% Call IV 25d 15.7% 14.2% 18.6% 14.2% 16.8% Put IV 25d 17.0% 15.5% 19.3% 15.9% 18.1% Bid-Ask Spread % 9.93 8.01 16.04 10.74 9.43 Gamma HHI 0.23 0.15 0.30 0.24 0.15 Net GEX 69.7M 13.0M 103.4M 66.3M 13.0M Net DEX -329.0M -732.5M 332.8M -259.9M 332.8M Net VEX -6.5M -7.0M -5.9M -6.3M -6.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.46 0.03 0.94 0.42 0.68 Total Volume 63,069.136 14,953 352,512 59,825 42,938 Total OI 1,577,083.636 1,484,096 1,724,047 1,484,096 1,681,988
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 2014-07-01 $28.54 $29.41 14.5% 4.7% 11.5% 20.4% 16.5% 1.8% 0.2% 66.3M -259.9M -6.3M 0.42 10.74 42,135 17,690 945,345 538,751 2014-07-02 $28.81 $29.41 16.8% 4.8% 11.9% 39.6% 17.0% 2.6% -0.5% 74.9M -430.0M -6.4M 0.37 9.41 22,350 8,354 960,988 546,898 2014-07-03 $28.97 $29.41 16.3% 4.8% 12.0% 35.4% 17.0% 1.9% 1.0% 85.1M -543.0M -6.5M 0.59 8.39 17,090 10,043 969,996 550,196 2014-07-07 $28.93 $29.41 16.5% 4.8% 11.0% 36.6% 17.6% 0.2% 0.2% 73.5M -451.5M -6.3M 0.75 11.15 23,522 17,598 959,488 551,667 2014-07-08 $28.61 $29.41 16.5% 4.9% 11.9% 36.5% 17.1% 0.9% 0.3% 64.5M -265.7M -6.4M 0.45 9.99 15,899 7,091 972,326 558,624 2014-07-09 $28.51 $29.41 16.1% 4.8% 11.9% 33.4% 17.1% 0.1% 0.0% 63.0M -243.0M -6.0M 0.81 9.00 9,118 7,398 976,105 560,898 2014-07-10 $28.46 $29.41 16.2% 4.8% 11.9% 34.3% 18.1% 3.4% -0.5% 63.3M -211.8M -6.1M 0.75 8.91 8,557 6,396 979,138 564,654 2014-07-11 $28.53 $29.41 16.2% 4.8% 11.9% 33.9% 16.9% 1.8% -0.5% 69.6M -252.6M -6.0M 0.38 8.79 15,431 5,932 982,193 567,637 2014-07-14 $28.69 $29.41 15.8% 4.8% 12.0% 31.3% 16.8% 1.4% 0.3% 73.7M -303.3M -6.2M 0.18 10.48 19,087 3,383 981,137 560,705 2014-07-15 $28.85 $29.41 16.0% 4.8% 12.1% 32.8% 18.0% 1.4% -1.1% 71.1M -409.1M -5.9M 0.24 8.79 42,527 10,073 987,160 561,763 2014-07-16 $29.37 $29.41 15.9% 4.7% 13.2% 31.8% 16.7% 2.3% 0.6% 103.4M -732.5M -6.3M 0.03 8.01 343,862 8,650 1,015,553 563,296 2014-07-17 $28.98 $29.41 17.1% 4.9% 14.2% 41.5% 17.6% 1.5% 2.1% 91.8M -650.6M -6.9M 0.48 8.96 70,533 33,697 1,126,589 562,404 2014-07-18 $29.16 $28.46 16.4% 4.8% 14.1% 36.2% 17.1% 1.6% 0.5% 103.4M -686.7M -7.0M 0.32 9.92 44,487 14,165 1,141,216 582,831 2014-07-21 $28.80 $28.46 16.6% 4.8% 14.9% 37.6% 16.9% 1.2% -0.2% 73.0M -409.2M -6.8M 0.43 8.66 28,877 12,465 994,895 534,549 2014-07-22 $28.93 $28.46 15.8% 4.8% 14.2% 31.0% 17.8% 1.2% -0.1% 80.7M -463.3M -6.8M 0.94 10.65 15,025 14,134 1,008,331 538,872 2014-07-23 $28.83 $28.46 16.5% 4.8% 14.1% 37.1% 17.2% 0.7% -0.5% 77.4M -381.8M -6.9M 0.37 11.55 24,653 9,100 1,014,726 546,560 2014-07-24 $28.79 $28.46 15.8% 4.9% 13.0% 31.5% 16.6% 0.8% -0.5% 76.1M -401.0M -6.8M 0.50 8.77 27,228 13,645 1,027,004 549,735 2014-07-25 $28.64 $28.46 17.8% 4.9% 12.8% 47.8% 17.5% -0.2% -0.4% 64.1M -300.4M -7.0M 0.37 10.19 36,961 13,668 1,045,445 558,816 2014-07-28 $28.56 $28.46 18.2% 5.0% 12.9% 50.9% 18.0% 0.7% -0.7% 64.9M -258.1M -6.6M 0.45 16.04 44,879 20,372 1,050,517 562,564 2014-07-29 $28.21 $28.46 16.1% 4.9% 13.7% 33.5% 17.1% -0.0% 1.1% 50.8M -73.6M -6.3M 0.17 11.13 162,589 27,716 1,073,829 576,706 2014-07-30 $27.76 $28.46 16.0% 5.0% 13.9% 32.8% 17.3% 1.1% -1.2% 29.4M 155.5M -6.2M 0.42 9.59 48,154 20,049 1,070,042 593,703 2014-07-31 $27.23 $28.46 16.9% 5.2% 14.6% 40.4% 19.0% 1.3% -0.7% 13.0M 332.8M -6.0M 0.68 9.43 25,634 17,304 1,080,054 601,934
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