PFE Options History — March 2015 In March 2015, PFE traded between $31.91 and $33.25. ATM implied volatility averaged 15.2%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 0.2% (HV 20d: 15.4%). Max pain ranged from $30.36 to $31.31. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.22.
Notable Days 2015-03-23 : Highest Volume — 204,870 contracts2015-03-11 : Largest IV spike — 18.7% change2015-03-26 : Highest IV Rank — 44.1%2015-03-26 : Largest Expected Move — 4.7%Monthly Statistics Metric Avg Min Max Open Close Price $32.59 $31.91 $33.25 $33.00 $33.07 Max Pain $31.18 $30.36 $31.31 $30.36 $31.31 ATM IV 15.2% 13.4% 17.1% 13.5% 16.8% Expected Move 4.3% 4.0% 4.7% 4.0% 4.5% HV 20d 15.4% 11.8% 18.1% 17.7% 16.2% HV 60d 17.6% 16.9% 18.2% 17.7% 17.5% IV Rank 28.5% 14.2% 44.1% 15.0% 41.2% IV Percentile 34.8% 7.5% 65.5% 8.7% 61.5% Term Structure 0.1% -2.7% 1.3% -1.3% -0.1% VWIV 15.1% 12.1% 16.7% 12.1% 15.8% Skew 25d 1.7% 1.0% 2.9% 1.4% 1.6% Skew 10d 2.8% -5.1% 6.6% 4.0% 1.9% Call IV 25d 14.6% 13.3% 16.9% 13.7% 16.9% Put IV 25d 16.4% 15.0% 18.5% 15.0% 18.5% Bid-Ask Spread % 9.34 7.20 13.88 7.88 10.18 Gamma HHI 0.31 0.23 0.44 0.32 0.44 Net GEX 100.1M 80.9M 131.4M 98.3M 99.0M Net DEX -1.21B -1.47B -884.0M -1.47B -1.24B Net VEX -5.7M -6.2M -5.4M -5.5M -6.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.22 0.17 5.74 1.45 2.03 Total Volume 69,619.409 12,462 204,870 65,800 137,042 Total OI 1,349,178.773 1,207,536 1,452,738 1,273,474 1,442,256
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 2015-03-02 $33.00 $30.36 13.5% 4.0% 17.7% 15.0% 12.1% 1.4% -1.3% 98.3M -1.47B -5.5M 1.45 7.88 26,835 38,965 789,154 484,320 2015-03-03 $32.79 $30.36 14.3% 4.0% 18.0% 21.4% 14.2% 1.0% -0.8% 98.1M -1.40B -5.5M 2.42 8.36 15,887 38,440 797,769 485,491 2015-03-04 $32.87 $30.36 14.6% 4.1% 17.9% 24.2% 16.0% 1.7% -0.4% 101.9M -1.41B -5.5M 2.57 12.05 17,177 44,112 799,612 488,928 2015-03-05 $32.74 $31.31 14.5% 4.0% 18.1% 23.4% 14.4% 1.4% -0.0% 96.3M -1.33B -5.6M 2.42 9.43 15,347 37,106 801,157 496,367 2015-03-06 $32.17 $31.31 15.2% 4.3% 16.5% 29.1% 15.2% 2.0% -0.2% 81.6M -1.05B -5.7M 1.42 8.22 30,690 43,489 809,779 495,783 2015-03-09 $32.29 $31.31 13.4% 4.1% 16.5% 14.2% 14.4% 1.6% 1.2% 90.5M -1.17B -5.4M 0.50 11.23 38,521 19,437 804,366 500,393 2015-03-10 $32.05 $31.31 14.3% 4.2% 16.7% 21.9% 15.1% 1.4% 0.7% 87.9M -1.06B -5.6M 0.75 9.19 19,076 14,308 828,975 513,022 2015-03-11 $31.91 $31.31 17.0% 4.4% 13.1% 43.1% 15.4% 2.5% -2.7% 83.0M -978.6M -5.5M 0.69 7.64 7,365 5,097 835,380 520,425 2015-03-12 $32.26 $31.31 15.3% 4.4% 13.6% 29.5% 15.4% 1.5% -0.2% 95.4M -1.14B -5.5M 0.19 7.20 36,774 7,019 838,577 522,272 2015-03-13 $32.26 $31.31 15.4% 4.4% 11.8% 30.5% 15.8% 1.6% -0.3% 131.4M -1.13B -5.6M 0.56 7.56 13,007 7,288 856,805 524,615 2015-03-16 $32.68 $31.31 15.1% 4.3% 12.7% 27.7% 14.9% 1.7% 0.4% 109.3M -1.36B -5.5M 0.34 8.45 41,784 14,012 839,713 522,962 2015-03-17 $32.42 $31.31 14.9% 4.3% 13.0% 26.5% 14.5% 1.4% 1.3% 104.9M -1.23B -5.5M 0.17 8.50 22,797 3,967 845,951 530,216 2015-03-18 $32.62 $31.31 14.6% 4.2% 13.2% 24.3% 16.7% 1.9% 0.0% 115.4M -1.32B -5.5M 0.18 13.88 59,637 10,556 850,374 530,225 2015-03-19 $32.40 $31.31 14.2% 4.1% 13.4% 21.3% 14.2% 1.3% 0.6% 115.1M -1.23B -5.5M 0.60 9.76 23,819 14,319 864,278 533,692 2015-03-20 $32.50 $31.31 14.7% 4.2% 13.3% 24.8% 14.5% 1.9% 0.7% 90.7M -1.28B -5.6M 1.13 8.81 53,964 60,789 866,625 542,709 2015-03-23 $33.25 $31.31 15.1% 4.3% 15.4% 27.6% 15.1% 1.5% 0.5% 99.1M -1.39B -5.5M 0.33 9.25 153,997 50,873 751,861 455,675 2015-03-24 $32.75 $31.31 15.1% 4.4% 16.5% 28.0% 15.2% 1.8% 0.8% 109.8M -1.16B -5.9M 0.76 9.90 61,119 46,421 826,980 489,192 2015-03-25 $32.54 $31.31 16.0% 4.5% 16.0% 35.2% 16.1% 1.9% 0.8% 87.9M -968.4M -6.0M 0.26 9.51 25,661 6,735 836,900 526,300 2015-03-26 $32.45 $31.31 17.1% 4.7% 15.9% 44.1% 16.5% 1.9% 0.4% 80.9M -884.0M -6.2M 5.74 9.61 17,655 101,370 850,414 528,450 2015-03-27 $32.76 $31.31 16.2% 4.5% 16.2% 36.8% 16.1% 2.9% 0.7% 130.4M -1.07B -6.2M 0.45 7.85 17,047 7,590 856,366 596,372 2015-03-30 $33.24 $31.31 16.2% 4.4% 16.3% 36.9% 15.7% 2.0% 0.6% 94.6M -1.37B -5.9M 1.82 11.09 44,119 80,414 820,821 580,411 2015-03-31 $33.07 $31.31 16.8% 4.5% 16.2% 41.2% 15.8% 1.6% -0.1% 99.0M -1.24B -6.0M 2.03 10.18 45,249 91,793 848,581 593,675
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