PFE Options History — August 2016

In August 2016, PFE traded between $32.98 and $35.44. ATM implied volatility averaged 13.9%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 2.9% (HV 20d: 16.9%). Max pain ranged from $34.16 to $35.10. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.70.

Notable Days

2016-08-02: Highest Volume — 216,799 contracts
2016-08-02: Largest IV drop — 14.8% change
2016-08-01: Highest IV Rank — 17.0%
2016-08-01: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.39	$32.98	$35.44	$35.44	$33.02
Max Pain	$34.20	$34.16	$35.10	$34.16	$34.16
ATM IV	13.9%	12.4%	17.5%	17.5%	13.6%
Expected Move	4.0%	3.5%	5.7%	5.7%	3.9%
HV 20d	16.9%	9.0%	18.5%	9.0%	10.2%
HV 60d	14.5%	11.8%	14.8%	11.8%	14.7%
IV Rank	4.5%	0.0%	17.0%	17.0%	5.0%
IV Percentile	4.9%	0.0%	36.1%	36.1%	4.0%
Term Structure	0.2%	-0.6%	0.7%	-0.6%	0.4%
VWIV	14.3%	12.4%	20.8%	20.8%	13.6%
Skew 25d	2.7%	2.1%	4.2%	3.0%	3.3%
Skew 10d	5.7%	0.5%	12.6%	12.6%	8.2%
Call IV 25d	13.0%	11.5%	16.7%	16.7%	12.7%
Put IV 25d	15.8%	13.8%	19.7%	19.7%	15.9%
Bid-Ask Spread %	15.48	6.89	56.55	25.43	13.22
Gamma HHI	0.12	0.10	0.21	0.16	0.12
Net GEX	28.2M	-28.9M	53.6M	53.6M	27.7M
Net DEX	-414.4M	-1.65B	-194.0M	-1.65B	-301.2M
Net VEX	-8.3M	-9.3M	-7.8M	-7.8M	-7.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.27	1.49	0.47	0.92
Total Volume	52,245.435	12,523	216,799	167,477	33,494
Total OI	1,770,872.174	1,682,665	1,888,091	1,806,898	1,740,022

Daily Data (23 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
2016-08-01	$35.44	$34.16	17.5%	5.7%	9.0%	17.0%	20.8%	3.0%	-0.6%	53.6M	-1.65B	-7.8M	0.47	25.43	114,237	53,240	890,482	916,416
2016-08-02	$34.64	$34.16	14.9%	4.2%	12.5%	4.9%	20.3%	3.3%	-0.0%	53.1M	-1.18B	-9.3M	0.27	56.55	171,094	45,705	945,106	942,985
2016-08-03	$33.43	$35.10	16.2%	4.6%	18.0%	10.5%	15.9%	2.6%	-0.3%	23.4M	-302.8M	-8.8M	0.74	13.35	63,154	46,981	814,648	959,312
2016-08-04	$33.40	$34.16	15.4%	4.4%	17.9%	7.2%	15.1%	2.4%	-0.2%	24.7M	-298.6M	-8.6M	0.42	19.75	29,018	12,223	821,892	962,458
2016-08-05	$33.62	$34.16	13.6%	4.1%	17.7%	0.0%	13.3%	2.2%	-0.2%	35.1M	-368.6M	-8.5M	0.45	13.90	46,713	20,819	830,448	964,976
2016-08-08	$33.13	$34.16	14.4%	4.1%	18.4%	3.8%	14.3%	2.9%	0.0%	23.4M	-246.1M	-8.5M	0.57	8.86	26,053	14,778	825,597	950,851
2016-08-09	$33.32	$34.16	13.9%	4.0%	18.5%	1.5%	13.9%	2.5%	0.2%	29.2M	-319.2M	-8.4M	0.57	14.32	23,365	13,345	829,517	952,296
2016-08-10	$33.30	$34.16	13.4%	3.9%	18.5%	0.0%	13.4%	3.1%	-0.1%	29.6M	-317.1M	-8.4M	0.67	13.31	18,960	12,701	834,503	954,306
2016-08-11	$33.39	$34.16	12.8%	3.8%	17.1%	0.0%	12.9%	2.1%	0.3%	34.4M	-360.7M	-8.4M	0.76	7.70	17,921	13,593	838,085	956,800
2016-08-12	$33.18	$34.16	12.6%	3.7%	17.2%	0.0%	12.6%	2.5%	0.6%	25.0M	-265.4M	-8.2M	0.67	11.95	17,140	11,437	841,165	958,425
2016-08-15	$33.34	$34.16	13.0%	3.7%	17.4%	1.7%	12.7%	2.3%	0.1%	29.0M	-310.7M	-8.5M	0.36	11.12	26,039	9,435	830,886	954,583
2016-08-16	$33.05	$34.16	13.4%	3.9%	17.5%	3.6%	14.1%	2.5%	0.0%	19.4M	-194.0M	-8.6M	1.49	16.65	17,345	25,855	830,658	956,742
2016-08-17	$33.34	$34.16	13.3%	3.8%	17.9%	3.3%	13.1%	2.4%	0.3%	26.0M	-353.6M	-8.2M	0.68	24.10	11,202	7,582	834,650	963,936
2016-08-18	$33.39	$34.16	13.4%	3.8%	17.9%	3.5%	13.4%	2.8%	0.2%	23.4M	-347.9M	-8.5M	1.12	9.25	5,907	6,616	838,384	966,049
2016-08-19	$33.19	$34.16	12.4%	3.5%	18.0%	0.0%	12.4%	2.3%	0.7%	-28.9M	-233.3M	-8.3M	1.06	15.04	17,189	18,277	841,303	966,777
2016-08-22	$33.06	$34.16	13.3%	3.9%	17.9%	4.0%	13.7%	2.8%	0.5%	29.8M	-311.2M	-8.3M	0.80	19.75	24,111	19,374	788,591	894,074
2016-08-23	$33.30	$34.16	13.5%	3.9%	18.2%	4.8%	14.1%	2.4%	0.3%	37.7M	-440.7M	-8.0M	0.54	6.94	23,619	12,776	797,832	903,247
2016-08-24	$33.04	$34.16	14.2%	4.0%	18.3%	7.6%	13.7%	2.7%	0.1%	29.3M	-330.8M	-8.2M	0.69	12.97	19,832	13,671	802,588	907,026
2016-08-25	$32.98	$34.16	14.2%	4.1%	18.2%	7.7%	15.4%	2.3%	0.2%	27.1M	-306.1M	-8.2M	1.02	10.42	16,480	16,780	810,572	913,237
2016-08-26	$33.06	$34.16	13.9%	3.9%	18.0%	6.5%	14.0%	3.4%	0.0%	30.0M	-318.9M	-8.1M	0.83	12.71	24,895	20,615	814,606	918,370
2016-08-29	$33.30	$34.16	13.6%	3.9%	17.6%	5.1%	13.4%	3.3%	0.4%	33.8M	-411.8M	-7.9M	0.46	6.89	19,544	9,055	805,472	923,403
2016-08-30	$33.13	$34.16	13.7%	3.9%	16.0%	5.4%	13.4%	4.2%	0.4%	32.5M	-360.6M	-8.0M	0.48	11.76	19,892	9,583	811,445	925,339
2016-08-31	$33.02	$34.16	13.6%	3.9%	10.2%	5.0%	13.6%	3.3%	0.4%	27.7M	-301.2M	-7.8M	0.92	13.22	17,466	16,028	811,740	928,282