PFE Options History — October 2014

In October 2014, PFE traded between $26.28 and $28.41. ATM implied volatility averaged 17.6%, placing in the 47.5% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.4% (HV 20d: 17.2%). Max pain ranged from $26.57 to $27.51. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 1.03.

Notable Days

2014-10-31: Highest Volume — 110,078 contracts
2014-10-10: Largest IV spike — 29.4% change
2014-10-16: Highest IV Rank — 95.3%
2014-10-15: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.38	$26.28	$28.41	$27.66	$28.41
Max Pain	$27.43	$26.57	$27.51	$27.51	$27.51
ATM IV	17.6%	13.9%	23.6%	18.7%	13.9%
Expected Move	4.9%	4.4%	5.7%	5.1%	4.4%
HV 20d	17.2%	13.1%	20.7%	13.7%	20.7%
HV 60d	14.6%	13.3%	15.6%	13.3%	15.3%
IV Rank	47.5%	18.1%	95.3%	56.2%	18.1%
IV Percentile	58.7%	19.4%	98.8%	77.0%	19.4%
Term Structure	-0.3%	-4.0%	1.5%	0.7%	0.5%
VWIV	17.4%	15.4%	20.4%	17.6%	15.4%
Skew 25d	2.8%	1.1%	5.0%	1.1%	1.8%
Skew 10d	6.7%	3.0%	12.5%	3.0%	5.7%
Call IV 25d	16.9%	12.9%	22.4%	18.2%	12.9%
Put IV 25d	19.7%	14.7%	26.7%	19.3%	14.7%
Bid-Ask Spread %	9.52	6.44	13.85	8.47	9.77
Gamma HHI	0.15	0.12	0.21	0.15	0.21
Net GEX	2.9M	-24.0M	38.4M	12.3M	38.4M
Net DEX	241.7M	-258.8M	725.7M	99.4M	-258.8M
Net VEX	-5.6M	-6.1M	-5.0M	-6.1M	-5.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.03	0.17	7.91	0.89	0.32
Total Volume	56,789.174	21,837	110,078	25,741	110,078
Total OI	1,590,625.043	1,422,333	1,711,836	1,523,498	1,630,480

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
2014-10-01	$27.66	$27.51	18.7%	5.1%	13.7%	56.2%	17.6%	1.1%	0.7%	12.3M	99.4M	-6.1M	0.89	8.47	13,606	12,135	862,761	660,737
2014-10-02	$27.57	$27.51	18.6%	5.1%	13.7%	55.4%	18.3%	1.8%	0.0%	7.4M	156.0M	-6.0M	0.18	6.44	81,761	14,369	862,263	668,515
2014-10-03	$27.72	$27.51	18.1%	5.0%	13.4%	52.0%	17.2%	1.8%	-1.3%	17.1M	77.0M	-6.0M	0.17	8.23	31,906	5,268	936,097	675,772
2014-10-06	$27.68	$27.51	18.1%	4.9%	13.1%	52.0%	17.2%	3.0%	0.0%	10.3M	118.6M	-5.8M	0.87	7.24	20,678	17,900	933,755	669,705
2014-10-07	$27.31	$27.51	16.7%	5.0%	13.7%	40.7%	17.2%	1.3%	0.3%	-974.1K	277.0M	-5.7M	0.71	8.00	19,085	13,496	938,895	673,264
2014-10-08	$27.86	$27.51	19.1%	4.9%	15.3%	59.8%	16.8%	4.7%	-1.1%	17.6M	39.7M	-5.9M	0.43	9.31	42,864	18,358	943,181	688,512
2014-10-09	$27.50	$27.51	14.9%	5.0%	15.7%	26.8%	18.4%	2.8%	1.5%	7.5M	187.7M	-5.8M	0.82	10.04	12,024	9,813	956,849	689,402
2014-10-10	$27.64	$27.51	19.3%	5.1%	15.7%	61.5%	19.3%	1.5%	-1.7%	13.3M	123.1M	-5.9M	0.94	12.61	35,764	33,547	956,400	692,972
2014-10-13	$27.01	$27.51	21.3%	5.4%	16.2%	76.9%	20.4%	1.2%	1.2%	-7.9M	405.6M	-5.6M	7.91	13.85	10,813	85,564	954,241	689,679
2014-10-14	$27.26	$27.51	21.4%	5.1%	16.6%	77.4%	20.0%	3.9%	-4.0%	-13.8M	350.4M	-5.7M	0.99	9.32	17,990	17,774	962,395	724,338
2014-10-15	$26.78	$27.51	21.6%	5.7%	16.8%	79.3%	19.9%	4.0%	-0.3%	-13.2M	562.9M	-5.6M	0.87	13.14	44,537	38,614	969,776	733,547
2014-10-16	$26.28	$27.51	23.6%	5.6%	17.1%	95.3%	19.9%	4.4%	-1.9%	-15.5M	725.7M	-5.3M	1.33	9.28	14,408	19,127	958,149	737,915
2014-10-17	$26.40	$27.51	20.3%	5.2%	17.4%	68.7%	18.3%	5.0%	-2.1%	-15.3M	714.3M	-5.2M	0.91	6.92	24,656	22,418	966,023	745,813
2014-10-20	$26.50	$0.00	17.6%	4.9%	17.6%	47.4%	16.4%	4.0%	0.7%	-24.0M	568.9M	-5.0M	0.44	9.12	32,974	14,535	749,976	672,357
2014-10-21	$26.97	$26.57	15.8%	4.6%	19.2%	33.3%	15.7%	3.1%	0.6%	-16.8M	438.4M	-5.1M	0.77	7.52	30,699	23,594	771,106	679,828
2014-10-22	$26.86	$27.51	15.6%	4.7%	18.7%	32.2%	16.2%	3.3%	-0.3%	-20.1M	473.0M	-5.1M	0.70	10.29	33,619	23,455	792,459	697,447
2014-10-23	$27.12	$26.57	15.5%	4.4%	19.0%	31.0%	16.0%	3.2%	0.8%	-9.9M	365.3M	-5.3M	1.57	9.12	25,746	40,419	804,937	704,304
2014-10-24	$27.67	$27.51	15.5%	4.6%	20.5%	31.0%	16.4%	2.7%	0.8%	8.1M	88.8M	-5.6M	0.36	9.13	59,747	21,368	814,582	717,742
2014-10-27	$27.54	$27.51	15.9%	4.6%	20.5%	34.2%	16.0%	2.4%	-0.6%	6.1M	157.5M	-5.6M	1.19	9.99	26,176	31,213	826,464	715,322
2014-10-28	$27.60	$27.51	14.5%	4.5%	20.4%	23.1%	15.7%	3.0%	-0.1%	5.2M	144.9M	-5.5M	0.53	11.12	27,510	14,541	838,537	729,669
2014-10-29	$27.99	$27.51	14.2%	4.6%	20.4%	20.9%	15.7%	2.5%	0.1%	22.6M	-45.7M	-5.6M	0.37	10.64	52,434	19,463	846,418	733,832
2014-10-30	$28.32	$27.51	14.0%	4.4%	20.7%	19.3%	16.5%	2.1%	-0.2%	37.1M	-210.1M	-5.7M	0.44	9.48	27,889	12,216	867,448	740,512
2014-10-31	$28.41	$27.51	13.9%	4.4%	20.7%	18.1%	15.4%	1.8%	0.5%	38.4M	-258.8M	-5.8M	0.32	9.77	83,654	26,424	881,488	748,992