PFE Options History — October 2015

In October 2015, PFE traded between $29.87 and $33.64. ATM implied volatility averaged 24.9%, placing in the 56.9% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 4.2% (HV 20d: 29.0%). 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 5 of 22 days. Put/call ratio averaged 0.94.

Notable Days

2015-10-29: Highest Volume — 372,238 contracts
2015-10-29: Largest IV spike — 48.3% change
2015-10-01: Highest IV Rank — 77.4%
2015-10-01: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.92	$29.87	$33.64	$29.87	$32.25
Max Pain	$30.71	$30.36	$31.31	$31.31	$31.31
ATM IV	24.9%	18.6%	29.8%	29.8%	26.0%
Expected Move	7.0%	5.3%	8.2%	8.2%	7.7%
HV 20d	29.0%	25.0%	32.1%	27.3%	25.0%
HV 60d	26.8%	24.3%	28.1%	24.3%	28.1%
IV Rank	56.9%	30.5%	77.4%	77.4%	61.6%
IV Percentile	90.2%	72.6%	98.0%	98.0%	91.7%
Term Structure	-0.5%	-1.1%	0.6%	0.3%	-0.2%
VWIV	25.1%	19.8%	29.5%	29.5%	26.6%
Skew 25d	4.7%	2.7%	6.5%	6.0%	2.7%
Skew 10d	9.4%	2.3%	12.5%	11.4%	2.3%
Call IV 25d	23.1%	17.4%	28.1%	28.1%	25.4%
Put IV 25d	27.8%	21.0%	34.1%	34.1%	28.1%
Bid-Ask Spread %	15.52	9.46	37.86	12.32	17.83
Gamma HHI	0.13	0.09	0.19	0.09	0.13
Net GEX	42.0M	10.7M	87.5M	12.5M	55.3M
Net DEX	-516.9M	-1.28B	218.1M	218.1M	-627.1M
Net VEX	-6.6M	-7.1M	-6.0M	-6.2M	-7.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.30	2.17	0.61	0.42
Total Volume	84,951.636	30,793	372,238	47,237	199,520
Total OI	1,618,740.409	1,459,799	1,738,196	1,647,551	1,719,652

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
2015-10-01	$29.87	$31.31	29.8%	8.2%	27.3%	77.4%	29.5%	6.0%	0.3%	12.5M	218.1M	-6.2M	0.61	12.32	29,401	17,836	966,011	681,540
2015-10-02	$31.30	$31.31	29.0%	7.3%	32.1%	74.3%	25.7%	4.7%	-0.5%	44.5M	-349.2M	-7.0M	0.56	22.46	42,070	23,685	982,083	686,248
2015-10-05	$31.76	$30.36	26.8%	7.6%	31.8%	65.0%	25.4%	4.8%	-1.1%	42.1M	-535.5M	-6.7M	0.43	12.46	22,648	9,755	960,289	681,593
2015-10-06	$31.13	$30.36	28.0%	7.7%	30.8%	70.0%	27.5%	5.2%	-1.1%	26.9M	-222.4M	-6.7M	1.17	14.71	29,529	34,665	961,266	683,474
2015-10-07	$31.52	$30.36	28.6%	7.9%	30.1%	72.5%	27.5%	5.9%	-0.8%	33.2M	-386.4M	-6.8M	1.01	12.87	26,545	26,784	964,358	698,135
2015-10-08	$31.34	$30.36	28.0%	7.8%	29.3%	70.0%	26.2%	5.4%	-0.6%	28.1M	-277.2M	-6.7M	0.92	12.22	31,369	28,873	965,580	710,089
2015-10-09	$31.49	$30.36	27.0%	7.4%	29.2%	66.0%	28.0%	6.5%	-0.8%	31.0M	-338.1M	-6.8M	1.39	10.38	23,040	31,934	981,743	725,598
2015-10-12	$31.50	$30.36	26.1%	7.3%	29.0%	62.0%	26.2%	5.2%	0.3%	26.0M	-322.5M	-6.7M	2.17	9.51	12,768	27,698	973,572	725,998
2015-10-13	$31.26	$30.36	26.0%	7.4%	28.6%	61.8%	26.6%	5.9%	-0.6%	14.5M	-170.1M	-6.6M	1.60	12.08	18,382	29,330	976,266	738,823
2015-10-14	$31.31	$30.36	25.9%	7.4%	28.6%	61.5%	27.8%	5.5%	-0.4%	10.7M	-190.3M	-6.7M	1.04	11.04	15,092	15,701	977,839	746,077
2015-10-15	$32.34	$30.36	23.1%	6.6%	30.8%	49.5%	25.8%	4.4%	-0.3%	62.2M	-740.8M	-6.5M	1.47	14.12	79,858	117,278	979,155	749,940
2015-10-16	$32.65	$30.36	21.5%	6.1%	30.4%	42.8%	20.4%	4.2%	0.5%	48.6M	-841.6M	-6.5M	0.40	9.84	43,297	17,213	978,143	760,053
2015-10-19	$32.70	$30.36	20.3%	5.8%	29.5%	37.6%	20.0%	4.5%	-0.5%	53.8M	-792.4M	-6.4M	0.44	9.46	40,151	17,657	799,818	659,981
2015-10-20	$32.11	$30.36	21.3%	6.1%	30.0%	42.2%	21.5%	4.1%	-1.1%	44.9M	-550.5M	-6.6M	1.29	11.81	13,787	17,816	819,824	666,612
2015-10-21	$31.73	$30.83	23.4%	6.7%	29.7%	50.8%	24.8%	5.0%	-1.0%	37.0M	-396.5M	-6.5M	1.15	17.58	19,853	22,844	822,968	678,056
2015-10-22	$31.56	$30.83	23.2%	6.7%	29.8%	50.1%	25.7%	4.3%	-0.8%	33.6M	-318.7M	-6.6M	1.51	13.65	31,007	46,721	829,563	685,867
2015-10-23	$32.33	$30.83	22.4%	6.5%	29.4%	46.5%	23.2%	4.0%	-1.0%	45.6M	-666.3M	-6.6M	1.04	13.24	29,620	30,676	834,337	680,344
2015-10-26	$32.44	$30.83	23.4%	6.9%	25.9%	50.7%	23.7%	4.2%	-0.1%	46.5M	-681.0M	-6.6M	0.41	14.08	67,286	27,818	824,386	677,886
2015-10-27	$33.16	$31.31	21.2%	6.1%	26.5%	41.6%	22.5%	4.6%	0.0%	77.9M	-1.05B	-6.6M	0.30	14.71	70,459	21,128	869,151	686,625
2015-10-28	$33.64	$31.31	18.6%	5.3%	26.5%	30.5%	19.8%	3.5%	0.6%	87.5M	-1.28B	-6.0M	0.93	37.86	44,443	41,161	851,970	688,859
2015-10-29	$32.91	$31.31	27.5%	7.8%	28.3%	68.0%	28.2%	3.3%	-0.9%	60.9M	-855.1M	-6.6M	0.42	37.22	262,331	109,907	862,025	700,492
2015-10-30	$32.25	$31.31	26.0%	7.7%	25.0%	61.6%	26.6%	2.7%	-0.2%	55.3M	-627.1M	-7.1M	0.42	17.83	140,176	59,344	998,348	721,304