PFE Options History — March 2016

In March 2016, PFE traded between $27.54 and $28.89. ATM implied volatility averaged 17.7%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 1.6% (HV 20d: 19.4%). Max pain ranged from $28.46 to $29.41. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.88.

Notable Days

2016-03-16: Highest Volume — 194,355 contracts
2016-03-31: Largest IV spike — 11.5% change
2016-03-15: Highest IV Rank — 31.1%
2016-03-08: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.29	$27.54	$28.89	$28.45	$28.14
Max Pain	$28.55	$28.46	$29.41	$29.41	$28.46
ATM IV	17.7%	16.0%	18.7%	18.6%	17.8%
Expected Move	5.0%	4.4%	5.5%	5.4%	4.8%
HV 20d	19.4%	16.1%	21.4%	20.1%	19.7%
HV 60d	17.5%	16.3%	18.6%	16.7%	18.5%
IV Rank	27.0%	19.7%	31.1%	30.5%	27.4%
IV Percentile	40.5%	23.4%	49.6%	48.4%	39.7%
Term Structure	0.4%	-1.2%	1.8%	0.3%	1.0%
VWIV	17.3%	15.0%	19.0%	19.0%	16.9%
Skew 25d	3.0%	1.7%	3.9%	3.1%	2.6%
Skew 10d	6.5%	1.5%	12.3%	12.1%	5.3%
Call IV 25d	16.5%	14.6%	18.2%	17.2%	16.3%
Put IV 25d	19.5%	17.9%	21.2%	20.3%	18.9%
Bid-Ask Spread %	17.01	9.04	40.45	12.58	20.50
Gamma HHI	0.16	0.14	0.19	0.19	0.15
Net GEX	105.0K	-31.5M	18.9M	-2.3M	11.5M
Net DEX	659.3M	132.6M	1.18B	652.3M	593.5M
Net VEX	-10.6M	-11.7M	-9.6M	-10.3M	-11.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.46	2.02	0.55	0.97
Total Volume	81,600.364	29,149	194,355	53,294	174,587
Total OI	2,098,333.636	1,914,724	2,353,993	1,914,724	2,230,883

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
2016-03-01	$28.45	$29.41	18.6%	5.4%	20.1%	30.5%	19.0%	3.1%	0.3%	-2.3M	652.3M	-10.3M	0.55	12.58	34,455	18,839	835,982	1,078,742
2016-03-02	$28.40	$29.41	18.3%	5.2%	20.1%	29.6%	18.4%	3.9%	0.2%	-345.5K	673.4M	-10.3M	0.70	12.96	24,223	16,957	853,035	1,085,463
2016-03-03	$28.37	$28.46	17.7%	5.1%	19.2%	27.0%	18.8%	3.6%	0.1%	-2.3M	719.1M	-10.1M	0.56	23.87	64,071	35,884	853,407	1,090,950
2016-03-04	$28.23	$28.46	18.2%	5.1%	17.7%	29.1%	18.1%	3.1%	0.3%	-4.9M	770.9M	-10.3M	0.51	12.45	44,834	22,933	894,195	1,115,955
2016-03-07	$28.17	$28.46	18.4%	5.2%	17.6%	29.7%	18.3%	2.8%	-0.5%	-5.0M	802.3M	-10.3M	2.02	10.03	9,681	19,559	905,596	1,123,813
2016-03-08	$27.89	$28.46	18.1%	5.5%	17.6%	28.4%	18.4%	3.5%	1.4%	-13.7M	955.2M	-10.1M	1.45	19.75	11,886	17,263	914,885	1,134,598
2016-03-09	$28.06	$28.46	18.0%	4.9%	17.1%	28.2%	17.4%	3.5%	-1.2%	-12.7M	887.0M	-9.9M	1.95	22.28	25,654	50,100	918,832	1,142,002
2016-03-10	$28.08	$28.46	17.5%	4.8%	16.1%	26.0%	16.9%	2.9%	-1.0%	-16.7M	892.7M	-10.1M	0.65	9.39	28,763	18,621	928,424	1,168,281
2016-03-11	$28.86	$28.46	16.0%	4.8%	18.2%	19.7%	16.5%	3.4%	1.4%	12.3M	377.1M	-10.6M	0.72	9.04	51,353	37,118	940,826	1,178,485
2016-03-14	$28.61	$28.46	17.3%	4.9%	18.6%	25.1%	17.5%	2.8%	0.6%	17.1M	581.6M	-10.3M	1.75	11.96	14,753	25,878	941,937	1,158,804
2016-03-15	$27.92	$28.46	18.7%	5.4%	20.1%	31.1%	18.0%	2.9%	-0.4%	-14.7M	1.02B	-9.8M	0.70	11.96	42,214	29,364	945,978	1,178,082
2016-03-16	$27.54	$28.46	18.6%	5.3%	20.6%	30.5%	18.3%	1.7%	-0.1%	-31.5M	1.18B	-9.6M	0.71	40.45	113,362	80,993	959,823	1,179,755
2016-03-17	$27.80	$28.46	18.5%	5.3%	20.9%	30.2%	18.3%	2.3%	-1.0%	-30.4M	1.09B	-10.3M	0.79	10.21	25,837	20,319	1,032,739	1,236,804
2016-03-18	$27.95	$28.46	18.3%	5.3%	20.9%	29.2%	17.7%	2.8%	-0.6%	-9.6M	989.4M	-10.6M	1.11	21.66	51,575	57,083	1,088,983	1,265,010
2016-03-21	$28.50	$28.46	17.7%	5.0%	20.7%	26.7%	17.2%	3.5%	1.5%	7.8M	353.7M	-11.2M	0.61	19.27	73,336	44,412	913,531	1,059,706
2016-03-22	$28.89	$28.46	17.1%	4.7%	21.2%	24.4%	17.5%	2.6%	0.9%	16.4M	132.6M	-11.7M	0.59	35.78	67,261	39,507	953,221	1,094,213
2016-03-23	$28.69	$28.46	17.7%	4.7%	21.4%	27.0%	15.9%	2.7%	0.5%	17.4M	253.2M	-11.5M	0.46	18.90	82,326	38,202	984,476	1,115,423
2016-03-24	$28.47	$28.46	17.1%	4.5%	20.3%	24.5%	15.9%	3.3%	0.6%	12.7M	387.0M	-11.5M	0.57	13.79	56,312	32,281	1,010,635	1,123,223
2016-03-28	$28.23	$28.46	18.0%	4.8%	19.9%	28.0%	15.4%	2.8%	1.2%	14.1M	517.6M	-11.2M	0.85	17.22	29,303	25,055	1,039,344	1,125,139
2016-03-29	$28.54	$28.46	16.8%	4.4%	19.4%	23.0%	15.6%	2.9%	1.5%	18.4M	333.6M	-11.4M	0.67	9.97	36,107	24,195	1,043,817	1,131,642
2016-03-30	$28.51	$28.46	16.0%	4.4%	19.1%	19.7%	15.0%	2.8%	1.8%	18.9M	349.0M	-11.3M	0.55	10.14	50,780	27,972	1,052,798	1,133,903
2016-03-31	$28.14	$28.46	17.8%	4.8%	19.7%	27.4%	16.9%	2.6%	1.0%	11.5M	593.5M	-11.2M	0.97	20.50	88,749	85,838	1,085,792	1,145,091