PFE Options History — June 2016

In June 2016, PFE traded between $32.10 and $33.52. ATM implied volatility averaged 16.6%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 5.5% (HV 20d: 11.1%). Max pain ranged from $31.31 to $31.78. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.60.

Notable Days

2016-06-24: Highest Volume — 100,037 contracts
2016-06-28: Largest IV drop — 17.6% change
2016-06-27: Highest IV Rank — 33.0%
2016-06-24: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.96	$32.10	$33.52	$32.96	$33.36
Max Pain	$31.40	$31.31	$31.78	$31.31	$31.78
ATM IV	16.6%	14.6%	20.7%	16.1%	15.4%
Expected Move	4.7%	4.0%	5.8%	4.4%	4.0%
HV 20d	11.1%	8.0%	14.9%	10.8%	14.9%
HV 60d	17.0%	13.4%	18.8%	18.8%	13.4%
IV Rank	20.1%	6.9%	33.0%	20.2%	6.9%
IV Percentile	25.6%	9.1%	56.7%	22.2%	9.5%
Term Structure	0.5%	-0.7%	2.4%	-0.2%	2.4%
VWIV	17.2%	14.8%	21.0%	15.7%	15.5%
Skew 25d	3.9%	2.8%	5.8%	3.1%	3.5%
Skew 10d	9.9%	5.3%	15.5%	8.9%	7.2%
Call IV 25d	15.1%	13.3%	18.2%	14.3%	13.3%
Put IV 25d	19.1%	16.1%	23.6%	17.3%	16.8%
Bid-Ask Spread %	9.81	5.79	23.85	10.61	9.78
Gamma HHI	0.16	0.10	0.21	0.17	0.21
Net GEX	34.3M	14.2M	53.3M	35.8M	53.3M
Net DEX	-1.12B	-1.57B	-539.1M	-1.24B	-1.09B
Net VEX	-10.2M	-10.6M	-9.7M	-10.1M	-9.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.60	0.74	3.56	2.25	1.12
Total Volume	51,665.545	27,820	100,037	64,129	37,742
Total OI	1,896,254.909	1,627,122	2,085,770	2,013,535	1,741,241

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
2016-06-01	$32.96	$31.31	16.1%	4.4%	10.8%	20.2%	15.7%	3.1%	-0.2%	35.8M	-1.24B	-10.1M	2.25	10.61	19,733	44,396	940,508	1,073,027
2016-06-02	$33.07	$31.31	15.1%	4.4%	10.4%	16.1%	15.6%	2.8%	-0.2%	40.0M	-1.30B	-10.3M	2.76	7.21	20,806	57,345	947,043	1,066,751
2016-06-03	$32.92	$31.31	15.8%	4.4%	10.6%	19.0%	15.5%	3.0%	-0.2%	35.2M	-1.19B	-10.5M	2.82	8.73	21,687	61,187	954,179	1,085,481
2016-06-06	$33.13	$31.31	15.0%	4.3%	10.7%	15.5%	15.5%	3.3%	0.0%	36.3M	-1.37B	-9.9M	1.56	6.99	12,953	20,227	945,229	1,076,584
2016-06-07	$33.11	$31.31	14.6%	4.3%	10.5%	13.8%	15.1%	2.9%	0.4%	35.9M	-1.35B	-10.0M	2.00	5.79	14,515	29,062	948,495	1,079,905
2016-06-08	$33.42	$31.31	14.8%	4.2%	10.7%	14.5%	14.8%	2.8%	-0.2%	28.9M	-1.50B	-9.9M	0.89	11.90	28,238	25,195	951,554	1,093,037
2016-06-09	$33.52	$31.31	14.6%	4.4%	8.0%	13.9%	15.3%	2.8%	0.6%	31.9M	-1.57B	-9.7M	1.48	6.73	25,313	37,373	964,760	1,090,377
2016-06-10	$33.47	$31.31	15.6%	4.6%	8.1%	18.1%	16.3%	3.3%	0.9%	30.4M	-1.55B	-9.9M	2.03	9.93	16,159	32,870	973,099	1,087,236
2016-06-13	$32.98	$31.31	17.9%	5.1%	10.2%	27.6%	19.4%	4.8%	-0.7%	28.3M	-1.15B	-10.5M	2.48	6.44	15,862	39,356	952,004	1,080,108
2016-06-14	$33.24	$31.31	18.1%	5.2%	10.4%	28.6%	19.0%	4.8%	1.1%	20.0M	-1.31B	-10.4M	1.38	7.40	16,330	22,575	954,892	1,099,182
2016-06-15	$33.00	$31.31	17.4%	5.0%	10.6%	25.9%	19.7%	4.5%	-0.4%	15.8M	-1.18B	-10.5M	1.16	23.85	18,374	21,228	961,264	1,094,133
2016-06-16	$32.96	$31.31	17.2%	4.9%	10.5%	24.9%	18.6%	4.6%	1.8%	14.2M	-1.21B	-10.5M	1.13	7.62	25,198	28,420	967,909	1,098,546
2016-06-17	$32.50	$31.31	18.0%	5.2%	11.8%	28.2%	17.7%	5.3%	-0.7%	33.3M	-984.5M	-10.4M	0.74	8.57	36,196	26,879	981,406	1,104,364
2016-06-20	$32.72	$31.31	16.3%	4.7%	11.3%	21.2%	16.9%	4.6%	1.5%	40.9M	-849.0M	-10.1M	1.11	9.40	18,705	20,851	815,405	811,717
2016-06-21	$32.98	$31.31	15.7%	4.7%	11.4%	16.9%	17.2%	3.5%	0.5%	43.9M	-956.1M	-9.9M	0.92	12.28	20,980	19,402	821,105	821,911
2016-06-22	$32.76	$31.31	17.5%	5.2%	11.0%	23.1%	18.1%	4.2%	0.0%	40.4M	-860.3M	-10.1M	0.82	9.12	15,246	12,574	830,881	829,420
2016-06-23	$32.76	$31.31	17.3%	4.8%	10.8%	22.0%	16.6%	4.2%	-0.6%	42.6M	-866.8M	-9.9M	3.56	10.57	8,638	30,721	835,040	834,447
2016-06-24	$32.34	$31.31	20.3%	5.8%	11.7%	31.4%	20.6%	5.8%	0.4%	32.5M	-645.5M	-10.6M	1.21	13.43	45,346	54,691	837,027	844,116
2016-06-27	$32.10	$31.78	20.7%	5.7%	11.9%	33.0%	21.0%	5.3%	1.0%	26.5M	-539.1M	-10.6M	1.85	10.21	14,921	27,571	847,431	850,162
2016-06-28	$32.67	$31.78	17.0%	4.6%	13.5%	14.7%	18.3%	4.1%	2.3%	38.1M	-778.4M	-10.4M	1.13	11.33	21,430	24,121	849,268	855,035
2016-06-29	$33.23	$31.78	15.4%	4.3%	14.8%	7.0%	15.5%	3.7%	2.0%	50.0M	-1.05B	-10.0M	0.91	7.97	24,264	21,962	857,757	864,572
2016-06-30	$33.36	$31.78	15.4%	4.0%	14.9%	6.9%	15.5%	3.5%	2.4%	53.3M	-1.09B	-9.8M	1.12	9.78	17,837	19,905	867,540	873,701