PFE Options History — September 2016

In September 2016, PFE traded between $31.68 and $33.02. ATM implied volatility averaged 14.6%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 2.5% (HV 20d: 12.1%). Max pain ranged from $33.21 to $34.16. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.81.

Notable Days

2016-09-29: Highest Volume — 115,269 contracts
2016-09-26: Largest IV spike — 26.0% change
2016-09-29: Highest IV Rank — 21.2%
2016-09-14: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.42	$31.68	$33.02	$32.88	$32.15
Max Pain	$33.30	$33.21	$34.16	$34.16	$33.21
ATM IV	14.6%	12.3%	16.6%	14.4%	14.8%
Expected Move	4.2%	3.4%	4.9%	4.0%	3.9%
HV 20d	12.1%	8.3%	16.5%	10.3%	16.5%
HV 60d	14.6%	14.1%	15.0%	14.6%	15.0%
IV Rank	10.2%	0.0%	21.2%	8.8%	14.5%
IV Percentile	14.8%	0.0%	32.1%	7.9%	16.3%
Term Structure	0.8%	-0.4%	2.4%	0.2%	2.4%
VWIV	14.7%	12.2%	17.1%	13.3%	14.0%
Skew 25d	3.1%	2.1%	4.0%	2.6%	3.0%
Skew 10d	6.6%	4.3%	11.6%	5.1%	9.0%
Call IV 25d	13.5%	11.5%	15.3%	13.4%	13.1%
Put IV 25d	16.5%	14.3%	19.1%	16.1%	16.1%
Bid-Ask Spread %	14.37	6.06	42.38	6.68	12.37
Gamma HHI	0.13	0.10	0.25	0.12	0.14
Net GEX	6.2M	-45.5M	36.8M	23.2M	-2.3M
Net DEX	-120.4M	-285.2M	142.6M	-240.9M	-236.7M
Net VEX	-7.7M	-8.1M	-7.2M	-7.9M	-7.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.30	1.88	0.59	0.88
Total Volume	45,826.381	30,344	115,269	53,855	39,228
Total OI	1,696,236.143	1,528,296	1,830,823	1,751,182	1,693,396

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
2016-09-01	$32.88	$34.16	14.4%	4.0%	10.3%	8.8%	13.3%	2.6%	0.2%	23.2M	-240.9M	-7.9M	0.59	6.68	33,765	20,090	816,705	934,477
2016-09-02	$32.98	$34.16	12.9%	3.4%	10.0%	2.1%	12.2%	2.5%	0.4%	24.4M	-272.1M	-7.9M	0.77	10.24	23,575	18,105	828,190	945,016
2016-09-06	$33.02	$33.21	13.1%	4.0%	8.6%	3.1%	14.8%	2.5%	0.2%	23.2M	-258.3M	-8.0M	1.42	6.06	22,536	32,005	819,704	947,226
2016-09-07	$33.00	$33.21	13.0%	4.0%	8.3%	2.7%	14.2%	2.1%	0.5%	25.5M	-285.2M	-7.8M	0.74	11.36	25,503	18,747	827,076	959,371
2016-09-08	$32.91	$33.21	13.8%	3.9%	8.3%	5.9%	13.8%	2.5%	0.4%	22.2M	-251.9M	-7.8M	0.47	8.07	28,135	13,176	838,704	960,920
2016-09-09	$32.47	$33.21	15.5%	4.5%	9.4%	13.4%	14.6%	2.7%	0.3%	12.7M	-11.6M	-8.1M	0.53	10.43	28,560	15,168	852,185	960,514
2016-09-12	$32.92	$33.21	15.1%	4.2%	10.7%	11.6%	14.5%	3.6%	-0.4%	36.8M	-261.0M	-7.7M	0.59	11.89	22,775	13,377	841,607	954,365
2016-09-13	$32.27	$33.21	16.6%	4.9%	12.6%	18.2%	17.1%	3.5%	0.4%	1.3M	2.1M	-7.7M	0.66	15.11	26,599	17,534	841,691	957,053
2016-09-14	$32.17	$33.21	16.6%	4.9%	12.3%	18.1%	17.1%	4.0%	0.6%	-5.5M	71.0M	-8.0M	0.75	9.99	17,312	13,032	850,145	962,184
2016-09-15	$32.41	$33.21	16.2%	4.7%	12.1%	16.6%	16.4%	3.2%	0.2%	-1.1M	-66.6M	-7.7M	1.08	20.15	19,229	20,842	852,050	964,608
2016-09-16	$32.21	$33.21	15.5%	4.4%	12.2%	13.3%	15.8%	3.4%	0.1%	-45.5M	66.4M	-7.9M	0.69	18.18	25,379	17,597	858,256	972,567
2016-09-19	$31.94	$33.21	15.8%	4.5%	12.3%	14.8%	14.9%	3.5%	1.6%	-411.3K	-16.1M	-7.8M	0.56	8.82	23,305	12,979	721,148	807,148
2016-09-20	$32.12	$33.21	14.8%	4.2%	12.6%	10.6%	15.3%	2.9%	0.6%	3.2M	-98.8M	-7.5M	0.50	12.86	25,595	12,830	724,670	813,862
2016-09-21	$32.53	$33.21	13.0%	3.7%	13.2%	2.7%	13.1%	3.1%	0.1%	7.3M	-223.4M	-7.7M	0.92	23.35	25,810	23,621	739,222	819,613
2016-09-22	$32.42	$33.21	13.4%	3.8%	13.0%	4.4%	13.4%	2.9%	0.0%	7.7M	-163.3M	-7.6M	0.58	42.38	21,375	12,331	750,336	830,574
2016-09-23	$32.52	$33.21	12.3%	3.5%	13.1%	0.0%	12.8%	2.8%	0.3%	14.0M	-238.8M	-7.3M	0.30	12.34	34,198	10,371	757,440	833,015
2016-09-26	$31.94	$33.21	15.5%	4.5%	14.4%	14.0%	15.8%	3.6%	1.8%	5.0M	-31.0M	-7.3M	1.60	16.06	19,419	31,162	744,508	824,064
2016-09-27	$32.10	$33.21	14.5%	4.1%	14.3%	9.7%	14.6%	3.5%	2.1%	-2.1M	-51.0M	-7.4M	1.88	21.97	12,669	23,804	746,686	839,546
2016-09-28	$32.22	$33.21	14.0%	4.0%	14.3%	8.7%	14.0%	3.3%	2.1%	-8.2M	-103.7M	-7.2M	1.15	6.23	21,132	24,215	750,817	856,019
2016-09-29	$31.68	$33.21	16.0%	4.5%	15.4%	21.2%	16.3%	3.0%	2.0%	-12.2M	142.6M	-7.6M	0.44	17.21	79,954	35,315	762,601	861,680
2016-09-30	$32.15	$33.21	14.8%	3.9%	16.5%	14.5%	14.0%	3.0%	2.4%	-2.3M	-236.7M	-7.5M	0.88	12.37	20,864	18,364	830,163	863,233