PFE Options History — December 2014

In December 2014, PFE traded between $29.11 and $30.44. ATM implied volatility averaged 17.4%, placing in the 46.4% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 4.1% (HV 20d: 13.4%). Max pain ranged from $29.41 to $29.41. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.71.

Notable Days

2014-12-05: Highest Volume — 115,537 contracts
2014-12-10: Largest IV spike — 9.9% change
2014-12-16: Highest IV Rank — 70.2%
2014-12-16: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.92	$29.11	$30.44	$29.72	$29.55
Max Pain	$29.41	$29.41	$29.41	$29.41	$29.41
ATM IV	17.4%	15.4%	20.4%	15.5%	19.6%
Expected Move	5.5%	5.0%	6.3%	5.1%	5.6%
HV 20d	13.4%	9.5%	18.0%	10.3%	16.9%
HV 60d	15.6%	14.7%	16.6%	15.3%	16.4%
IV Rank	46.4%	30.8%	70.2%	31.4%	63.6%
IV Percentile	59.1%	31.7%	86.5%	34.9%	82.1%
Term Structure	0.9%	-0.6%	2.5%	1.1%	0.8%
VWIV	19.3%	17.4%	22.4%	17.8%	20.1%
Skew 25d	1.5%	-1.0%	2.5%	1.4%	1.6%
Skew 10d	3.9%	-1.1%	7.2%	3.7%	4.2%
Call IV 25d	17.5%	14.9%	20.5%	15.8%	19.3%
Put IV 25d	19.0%	16.2%	22.9%	17.2%	20.9%
Bid-Ask Spread %	9.42	7.49	12.47	9.47	7.49
Gamma HHI	0.21	0.16	0.58	0.19	0.21
Net GEX	71.2M	44.9M	158.9M	71.4M	44.9M
Net DEX	-868.0M	-1.21B	-414.6M	-869.2M	-524.7M
Net VEX	-5.6M	-5.9M	-5.3M	-5.6M	-5.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.18	1.62	0.62	1.37
Total Volume	64,276.5	15,797	115,537	58,270	28,990
Total OI	1,608,341.5	1,452,907	1,700,144	1,581,714	1,533,077

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
2014-12-01	$29.72	$29.41	15.5%	5.1%	10.3%	31.4%	17.8%	1.4%	1.1%	71.4M	-869.2M	-5.6M	0.62	9.47	35,968	22,302	875,130	706,584
2014-12-02	$29.93	$29.41	16.0%	5.1%	10.2%	35.1%	17.8%	1.2%	0.6%	71.9M	-967.3M	-5.6M	0.27	8.49	71,583	19,503	884,579	713,233
2014-12-03	$30.12	$29.41	16.2%	5.1%	10.3%	36.4%	17.7%	1.6%	-0.0%	77.2M	-1.11B	-5.5M	0.69	9.33	35,528	24,393	906,388	715,631
2014-12-04	$30.05	$29.41	15.4%	5.0%	9.8%	30.8%	17.7%	1.4%	0.7%	80.7M	-1.09B	-5.5M	0.41	10.27	23,607	9,681	922,624	718,940
2014-12-05	$30.29	$29.41	16.0%	5.4%	10.0%	34.9%	18.5%	1.3%	0.1%	74.6M	-1.21B	-5.5M	0.20	9.44	96,666	18,871	916,190	722,656
2014-12-08	$30.33	$29.41	16.6%	5.5%	9.6%	39.8%	19.4%	0.6%	0.8%	77.4M	-1.18B	-5.6M	0.71	7.86	34,161	24,281	934,090	717,526
2014-12-09	$30.30	$29.41	16.4%	5.5%	9.5%	38.5%	19.7%	2.4%	0.7%	84.2M	-1.18B	-5.6M	0.74	9.54	22,304	16,617	937,932	719,135
2014-12-10	$30.26	$29.41	18.1%	5.7%	9.6%	51.3%	19.9%	-0.4%	0.9%	80.6M	-1.16B	-5.6M	0.38	8.92	51,021	19,428	939,812	720,760
2014-12-11	$29.91	$29.41	17.8%	5.7%	10.8%	49.6%	19.7%	-1.0%	1.3%	82.6M	-959.5M	-5.6M	0.32	10.72	56,305	18,178	941,733	725,537
2014-12-12	$29.42	$29.41	18.6%	6.1%	12.6%	55.7%	21.5%	1.3%	2.1%	61.7M	-629.3M	-5.9M	1.21	10.59	30,579	37,035	952,301	729,917
2014-12-15	$29.36	$29.41	19.5%	6.1%	12.6%	62.4%	21.4%	1.9%	-0.6%	62.7M	-553.1M	-5.8M	0.69	10.23	56,754	39,074	932,045	732,468
2014-12-16	$29.11	$29.41	20.4%	6.3%	13.0%	70.2%	22.4%	2.4%	-0.3%	60.1M	-414.6M	-5.9M	0.87	10.63	20,607	17,983	936,991	739,606
2014-12-17	$29.54	$29.41	18.9%	5.8%	13.7%	57.6%	20.3%	2.0%	1.1%	67.5M	-659.2M	-5.6M	0.27	12.47	81,331	22,015	943,122	743,223
2014-12-18	$30.35	$29.41	17.3%	5.5%	16.3%	45.1%	19.3%	2.2%	1.4%	77.5M	-1.13B	-5.6M	0.42	9.90	60,324	25,454	948,504	738,989
2014-12-19	$30.30	$29.41	15.6%	5.2%	16.3%	31.9%	17.4%	1.7%	0.2%	158.9M	-1.13B	-5.4M	0.18	9.02	72,297	12,834	951,598	748,546
2014-12-22	$30.44	$29.41	15.9%	5.3%	16.3%	34.0%	18.4%	2.0%	2.5%	66.2M	-941.9M	-5.3M	0.93	8.87	42,507	39,502	821,240	631,667
2014-12-23	$29.83	$29.41	17.3%	5.5%	18.0%	45.6%	19.2%	2.0%	1.7%	55.0M	-668.1M	-5.6M	1.16	12.15	41,892	48,680	840,257	643,431
2014-12-24	$29.81	$29.41	17.4%	5.5%	17.8%	46.1%	19.9%	1.7%	0.7%	51.9M	-671.2M	-5.6M	0.99	8.35	19,086	18,990	850,216	673,289
2014-12-26	$30.06	$29.41	17.9%	5.3%	16.7%	50.2%	18.4%	1.3%	1.3%	56.6M	-772.4M	-5.5M	0.70	7.61	22,338	15,676	850,659	674,451
2014-12-29	$29.82	$29.41	18.5%	5.6%	17.0%	55.0%	19.1%	2.3%	0.9%	52.5M	-648.7M	-5.4M	1.62	8.23	16,783	27,158	846,426	670,934
2014-12-30	$29.77	$29.41	18.6%	5.5%	16.9%	55.4%	19.8%	2.5%	0.9%	50.8M	-622.1M	-5.3M	0.78	7.71	8,880	6,917	847,647	684,429
2014-12-31	$29.55	$29.41	19.6%	5.6%	16.9%	63.6%	20.1%	1.6%	0.8%	44.9M	-524.7M	-5.3M	1.37	7.49	12,220	16,770	851,795	681,282