PFE Options History — May 2016

In May 2016, PFE traded between $31.13 and $32.94. ATM implied volatility averaged 15.7%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.1% (HV 20d: 14.6%). Max pain ranged from $28.46 to $31.31. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.40.

Notable Days

2016-05-10: Highest Volume — 628,922 contracts
2016-05-20: Largest IV drop — 10.3% change
2016-05-02: Highest IV Rank — 24.8%
2016-05-02: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.95	$31.13	$32.94	$31.13	$32.94
Max Pain	$30.54	$28.46	$31.31	$28.46	$31.31
ATM IV	15.7%	14.2%	17.2%	17.2%	15.4%
Expected Move	4.4%	3.8%	5.2%	5.2%	4.3%
HV 20d	14.6%	13.0%	21.2%	21.2%	14.0%
HV 60d	19.7%	18.8%	20.4%	19.8%	18.8%
IV Rank	18.4%	12.2%	24.8%	24.8%	17.4%
IV Percentile	20.0%	7.5%	32.5%	32.5%	15.9%
Term Structure	0.4%	-0.4%	2.4%	-0.4%	0.4%
VWIV	16.8%	13.8%	27.0%	19.5%	15.6%
Skew 25d	2.9%	2.3%	3.4%	3.4%	3.0%
Skew 10d	6.2%	3.6%	8.2%	6.6%	5.8%
Call IV 25d	14.5%	13.2%	15.9%	15.9%	14.3%
Put IV 25d	17.4%	15.7%	19.3%	19.3%	17.3%
Bid-Ask Spread %	10.88	5.86	21.14	9.62	9.50
Gamma HHI	0.17	0.11	0.22	0.11	0.17
Net GEX	40.5M	7.4M	75.8M	57.9M	37.6M
Net DEX	-1.06B	-2.07B	-337.7M	-1.44B	-1.21B
Net VEX	-11.2M	-12.7M	-10.2M	-12.7M	-10.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.40	0.07	3.99	1.22	3.99
Total Volume	116,240.048	35,521	628,922	164,781	61,975
Total OI	2,205,119.81	1,924,259	2,609,899	2,557,331	2,003,994

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
2016-05-02	$31.13	$28.46	17.2%	5.2%	21.2%	24.8%	19.5%	3.4%	-0.4%	57.9M	-1.44B	-12.7M	1.22	9.62	74,391	90,390	1,409,612	1,147,719
2016-05-03	$31.96	$28.46	16.7%	5.1%	21.2%	22.8%	23.6%	3.2%	0.0%	58.7M	-2.07B	-12.3M	0.26	11.76	236,892	61,822	1,418,589	1,191,310
2016-05-04	$31.75	$28.46	16.8%	4.9%	15.1%	22.9%	18.9%	3.2%	0.2%	60.8M	-1.82B	-11.9M	2.64	14.95	25,167	66,401	1,375,358	1,186,908
2016-05-05	$31.77	$29.41	16.2%	4.8%	14.9%	20.5%	17.3%	3.1%	-0.0%	63.3M	-1.63B	-11.8M	0.83	10.11	37,178	30,682	1,310,415	1,197,343
2016-05-06	$31.83	$29.41	16.4%	4.4%	14.2%	21.4%	16.6%	2.5%	0.2%	75.8M	-1.64B	-11.7M	0.69	11.33	52,215	36,240	1,308,734	1,201,957
2016-05-09	$32.12	$29.41	15.7%	4.4%	13.4%	18.7%	16.4%	3.0%	-0.4%	62.6M	-1.80B	-11.5M	0.98	15.05	28,735	28,141	1,293,914	1,163,555
2016-05-10	$32.05	$29.41	15.0%	4.3%	13.4%	15.6%	27.0%	2.4%	0.0%	63.4M	-1.77B	-11.3M	0.07	13.48	590,358	38,564	1,297,639	1,166,916
2016-05-11	$31.51	$31.31	16.1%	4.6%	13.9%	20.3%	17.3%	3.1%	-0.1%	11.9M	-439.7M	-11.2M	0.55	7.13	69,387	38,169	902,772	1,171,300
2016-05-12	$31.51	$31.31	15.6%	4.5%	13.9%	17.9%	15.5%	2.9%	0.1%	9.5M	-402.2M	-11.1M	1.20	7.88	26,893	32,146	910,212	1,175,329
2016-05-13	$31.51	$31.31	15.8%	4.5%	13.6%	19.1%	15.2%	3.0%	0.1%	12.9M	-397.1M	-11.1M	0.78	6.77	26,487	20,600	912,994	1,178,952
2016-05-16	$31.66	$31.31	16.0%	4.6%	13.5%	19.6%	15.1%	3.0%	0.5%	19.1M	-521.4M	-10.8M	1.61	9.69	19,120	30,724	912,785	1,165,167
2016-05-17	$31.50	$31.31	16.1%	4.6%	13.5%	20.3%	16.3%	2.4%	1.7%	20.1M	-423.8M	-11.0M	1.91	8.60	14,338	27,365	917,928	1,173,045
2016-05-18	$31.43	$31.31	15.5%	4.4%	13.0%	17.6%	15.5%	3.0%	2.4%	7.4M	-337.7M	-11.1M	1.32	11.02	15,297	20,224	916,013	1,192,959
2016-05-19	$31.68	$31.31	16.2%	4.6%	13.3%	20.8%	16.1%	2.8%	0.4%	27.1M	-522.4M	-10.8M	0.84	10.53	68,369	57,378	920,933	1,195,145
2016-05-20	$32.07	$31.31	14.6%	4.0%	13.9%	13.7%	14.8%	3.1%	1.2%	34.5M	-840.2M	-11.0M	1.15	9.19	50,174	57,777	946,992	1,215,280
2016-05-23	$31.99	$31.31	15.6%	4.2%	13.9%	18.0%	14.7%	3.3%	0.7%	40.9M	-721.1M	-10.7M	1.21	5.86	40,582	49,240	899,103	1,025,156
2016-05-24	$32.40	$31.31	14.8%	4.0%	14.3%	14.6%	14.3%	2.5%	0.4%	46.4M	-968.4M	-10.6M	1.99	17.09	27,762	55,121	917,260	1,034,226
2016-05-25	$32.58	$31.31	14.7%	3.8%	14.4%	14.3%	13.8%	2.5%	0.4%	49.3M	-1.08B	-10.6M	1.47	8.31	32,829	48,327	928,806	1,044,385
2016-05-26	$32.72	$31.31	14.2%	3.9%	14.2%	12.2%	14.1%	2.3%	0.2%	43.6M	-1.12B	-10.6M	3.32	9.51	15,505	51,451	929,803	1,053,441
2016-05-27	$32.81	$31.31	14.6%	4.1%	13.9%	14.1%	15.0%	2.8%	0.6%	47.1M	-1.19B	-10.4M	1.35	21.14	36,803	49,822	929,136	1,064,431
2016-05-31	$32.94	$31.31	15.4%	4.3%	14.0%	17.4%	15.6%	3.0%	0.4%	37.6M	-1.21B	-10.2M	3.99	9.50	12,431	49,544	937,556	1,066,438