PFE Options History — April 2016

In April 2016, PFE traded between $28.61 and $31.62. ATM implied volatility averaged 18.2%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 5.7% (HV 20d: 23.9%). Max pain ranged from $27.51 to $28.46. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.18.

Notable Days

2016-04-05: Highest Volume — 366,838 contracts
2016-04-05: Largest IV spike — 16.4% change
2016-04-05: Highest IV Rank — 43.5%
2016-04-05: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.82	$28.61	$31.62	$28.61	$31.03
Max Pain	$28.37	$27.51	$28.46	$28.46	$28.46
ATM IV	18.2%	16.7%	21.7%	17.5%	18.6%
Expected Move	5.1%	4.6%	6.1%	4.6%	5.6%
HV 20d	23.9%	20.6%	27.5%	20.6%	21.7%
HV 60d	20.6%	18.8%	21.4%	18.8%	20.4%
IV Rank	28.9%	22.6%	43.5%	26.2%	30.6%
IV Percentile	41.7%	28.6%	65.5%	36.5%	47.2%
Term Structure	-0.2%	-2.7%	1.8%	1.8%	-0.2%
VWIV	18.4%	16.0%	21.6%	16.3%	19.2%
Skew 25d	3.4%	2.8%	4.1%	2.8%	3.5%
Skew 10d	6.5%	2.8%	11.0%	10.7%	5.0%
Call IV 25d	16.6%	15.3%	20.3%	15.5%	17.2%
Put IV 25d	19.9%	18.3%	23.6%	18.3%	20.6%
Bid-Ask Spread %	15.40	7.43	25.48	23.55	19.99
Gamma HHI	0.16	0.11	0.19	0.16	0.11
Net GEX	54.5M	19.3M	72.9M	19.3M	54.2M
Net DEX	-1.37B	-2.01B	241.4M	241.4M	-1.37B
Net VEX	-13.0M	-14.3M	-12.2M	-12.3M	-13.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.18	0.29	3.44	0.83	0.29
Total Volume	146,149.762	53,775	366,838	225,256	189,625
Total OI	2,566,519.952	2,331,964	2,831,319	2,331,964	2,546,513

Daily Data (21 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
2016-04-01	$28.61	$28.46	17.5%	4.6%	20.6%	26.2%	16.3%	2.8%	1.8%	19.3M	241.4M	-12.3M	0.83	23.55	122,998	102,258	1,133,806	1,198,158
2016-04-04	$29.12	$27.51	18.6%	5.4%	21.3%	30.7%	19.6%	3.7%	1.0%	30.8M	-117.2M	-13.0M	1.03	14.11	82,341	85,124	1,209,550	1,248,272
2016-04-05	$29.89	$27.51	21.7%	6.1%	23.0%	43.5%	21.6%	3.3%	-0.3%	29.1M	-626.7M	-14.2M	0.52	21.60	241,875	124,963	1,238,874	1,308,193
2016-04-06	$31.23	$28.46	20.2%	5.5%	26.7%	37.4%	21.0%	4.1%	0.2%	37.8M	-1.60B	-13.6M	0.79	18.98	191,537	151,398	1,288,593	1,375,041
2016-04-07	$31.10	$28.46	19.8%	5.4%	26.9%	35.5%	19.7%	3.7%	-0.2%	44.7M	-1.56B	-14.3M	0.36	11.40	118,923	43,017	1,366,928	1,371,946
2016-04-08	$30.74	$28.46	18.2%	5.1%	27.5%	28.8%	17.3%	2.9%	0.4%	49.3M	-1.37B	-14.0M	0.40	11.95	127,227	51,470	1,400,231	1,383,693
2016-04-11	$30.37	$28.46	18.6%	5.1%	26.7%	30.6%	17.8%	3.9%	-0.8%	53.8M	-1.13B	-14.1M	0.99	11.98	58,397	57,934	1,438,695	1,373,075
2016-04-12	$30.31	$28.46	18.4%	5.1%	26.4%	29.7%	19.1%	3.8%	-0.5%	52.2M	-1.09B	-14.1M	3.44	11.08	35,508	122,129	1,452,255	1,379,064
2016-04-13	$30.85	$28.46	19.2%	4.7%	24.9%	33.1%	17.6%	3.1%	-2.1%	58.1M	-1.58B	-13.8M	1.22	17.39	123,001	150,067	1,458,603	1,356,411
2016-04-14	$30.99	$28.46	18.6%	4.6%	23.9%	30.7%	16.0%	3.2%	-2.7%	72.9M	-2.01B	-12.6M	0.44	14.00	45,258	19,955	1,540,054	1,251,372
2016-04-15	$30.79	$28.46	17.4%	5.0%	24.2%	25.6%	17.1%	3.6%	0.6%	57.2M	-1.82B	-12.7M	1.03	16.38	26,472	27,303	1,551,842	1,251,795
2016-04-18	$31.00	$28.46	17.5%	5.0%	24.2%	26.3%	19.1%	3.5%	-0.2%	65.2M	-1.42B	-12.4M	0.58	9.91	46,714	26,967	1,310,658	1,052,691
2016-04-19	$31.19	$28.46	16.9%	4.8%	23.7%	23.7%	17.0%	3.3%	-0.4%	65.7M	-1.55B	-12.6M	0.69	10.09	32,680	22,608	1,325,958	1,063,284
2016-04-20	$31.52	$28.46	17.1%	4.9%	23.5%	24.2%	18.1%	3.2%	-0.7%	67.1M	-1.78B	-12.3M	1.38	14.38	23,390	32,163	1,337,234	1,067,448
2016-04-21	$31.50	$28.46	17.0%	4.9%	23.2%	24.0%	17.5%	3.0%	-0.1%	66.6M	-1.75B	-12.5M	1.49	15.06	33,057	49,142	1,344,338	1,077,824
2016-04-22	$31.62	$28.46	17.3%	4.9%	22.8%	25.2%	17.9%	3.3%	0.2%	60.6M	-1.82B	-12.9M	2.81	8.31	29,855	83,976	1,347,701	1,094,284
2016-04-25	$31.48	$28.46	17.7%	5.2%	22.5%	26.9%	18.5%	3.4%	0.0%	64.6M	-1.73B	-12.3M	1.31	15.73	40,697	53,474	1,344,744	1,063,787
2016-04-26	$31.36	$28.46	17.5%	5.1%	22.6%	25.9%	19.7%	3.4%	-0.2%	63.1M	-1.62B	-12.6M	2.98	7.43	14,179	42,235	1,347,897	1,078,329
2016-04-27	$31.31	$28.46	16.7%	5.0%	22.6%	22.6%	17.6%	3.2%	-0.4%	66.2M	-1.62B	-12.2M	1.32	25.48	37,763	49,679	1,360,574	1,084,781
2016-04-28	$31.19	$28.46	17.6%	5.2%	21.9%	26.5%	18.4%	3.3%	0.0%	66.2M	-1.55B	-12.4M	0.86	24.71	81,682	70,104	1,375,189	1,097,234
2016-04-29	$31.03	$28.46	18.6%	5.6%	21.7%	30.6%	19.2%	3.5%	-0.2%	54.2M	-1.37B	-13.0M	0.29	19.99	147,057	42,568	1,401,928	1,144,585