PFE Options History — October 2016

In October 2016, PFE traded between $30.08 and $32.10. ATM implied volatility averaged 19.0%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 5.1% (HV 20d: 13.8%). Max pain ranged from $31.31 to $33.21. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.80.

Notable Days

2016-10-31: Highest Volume — 132,821 contracts
2016-10-28: Largest IV spike — 24.6% change
2016-10-31: Highest IV Rank — 67.8%
2016-10-31: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.15	$30.08	$32.10	$31.97	$30.08
Max Pain	$31.58	$31.31	$33.21	$33.21	$31.31
ATM IV	19.0%	16.6%	23.9%	17.5%	23.9%
Expected Move	5.4%	4.0%	8.1%	4.5%	8.1%
HV 20d	13.8%	10.6%	16.7%	16.5%	10.7%
HV 60d	14.4%	12.2%	15.0%	14.9%	12.6%
IV Rank	39.1%	25.5%	67.8%	30.4%	67.8%
IV Percentile	60.1%	38.1%	92.9%	47.2%	92.9%
Term Structure	-0.3%	-2.4%	1.7%	0.9%	-0.6%
VWIV	19.4%	14.7%	27.9%	16.0%	27.9%
Skew 25d	4.5%	3.2%	6.5%	3.7%	4.8%
Skew 10d	9.6%	4.5%	15.6%	10.3%	4.5%
Call IV 25d	17.3%	15.2%	21.4%	16.3%	21.4%
Put IV 25d	21.8%	19.3%	26.1%	20.0%	26.1%
Bid-Ask Spread %	16.27	5.84	33.90	10.67	32.95
Gamma HHI	0.15	0.13	0.19	0.13	0.14
Net GEX	13.5M	3.6M	24.4M	18.3M	3.6M
Net DEX	113.3M	-274.0M	431.9M	-181.0M	431.9M
Net VEX	-7.0M	-7.5M	-6.3M	-7.4M	-6.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.38	1.20	0.44	0.67
Total Volume	46,514.524	19,569	132,821	51,348	132,821
Total OI	1,708,703.476	1,637,572	1,757,095	1,672,267	1,744,648

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
2016-10-03	$31.97	$33.21	17.5%	4.5%	16.5%	30.4%	16.0%	3.7%	0.9%	18.3M	-181.0M	-7.4M	0.44	10.67	35,595	15,753	828,850	843,417
2016-10-04	$31.96	$33.21	17.9%	4.5%	16.4%	32.7%	16.0%	3.9%	0.9%	22.4M	-215.1M	-7.5M	0.66	22.19	11,804	7,765	853,416	850,863
2016-10-05	$32.10	$33.21	17.0%	4.0%	16.6%	27.6%	14.7%	3.2%	0.9%	24.4M	-274.0M	-7.5M	0.74	12.69	11,987	8,895	854,919	853,035
2016-10-06	$31.84	$31.31	18.0%	5.2%	16.7%	33.2%	17.8%	4.1%	0.6%	20.6M	-158.2M	-7.4M	0.51	22.77	21,798	11,133	857,131	855,748
2016-10-07	$31.88	$31.31	18.0%	5.1%	16.1%	33.4%	19.0%	3.6%	1.7%	19.9M	-177.9M	-7.5M	1.20	9.11	16,426	19,740	865,272	861,774
2016-10-10	$31.87	$31.31	18.9%	5.1%	15.2%	38.5%	18.9%	4.2%	-2.1%	23.2M	-180.2M	-7.3M	0.53	5.84	55,553	29,451	855,648	860,167
2016-10-11	$31.42	$31.31	20.1%	5.7%	14.3%	45.5%	19.7%	5.9%	-0.1%	14.6M	45.3M	-7.4M	1.17	7.62	16,858	19,765	831,731	862,353
2016-10-12	$31.42	$31.31	20.3%	5.6%	14.3%	47.0%	20.4%	5.6%	-0.6%	14.9M	41.7M	-7.3M	0.99	11.88	15,715	15,516	833,454	869,659
2016-10-13	$31.08	$31.31	20.6%	5.7%	14.3%	48.4%	19.9%	6.5%	-0.7%	10.7M	172.2M	-7.1M	0.77	10.94	17,571	13,531	837,543	876,943
2016-10-14	$31.04	$31.31	20.7%	5.6%	14.3%	49.4%	20.3%	4.7%	-2.4%	10.4M	192.8M	-7.1M	1.15	10.55	15,806	18,226	841,249	883,461
2016-10-17	$30.86	$31.31	19.9%	5.6%	14.1%	44.8%	21.1%	4.8%	-0.2%	6.8M	287.2M	-7.1M	0.96	8.02	21,206	20,454	837,892	878,974
2016-10-18	$31.04	$31.31	19.3%	5.5%	14.2%	40.8%	19.8%	5.1%	0.1%	10.1M	193.9M	-7.0M	0.70	9.65	18,698	13,055	843,687	880,032
2016-10-19	$30.99	$31.31	18.5%	5.3%	13.1%	36.5%	19.4%	4.9%	-0.2%	9.7M	252.4M	-6.9M	0.85	11.98	16,694	14,135	848,824	885,491
2016-10-20	$30.93	$31.31	17.5%	5.0%	13.1%	30.7%	19.2%	4.3%	-0.2%	11.4M	244.8M	-6.6M	1.05	12.15	18,878	19,905	853,923	891,506
2016-10-21	$30.59	$31.31	18.7%	5.5%	13.3%	37.7%	18.8%	4.5%	-1.3%	5.9M	390.1M	-6.6M	1.19	14.10	17,011	20,221	859,669	897,426
2016-10-24	$30.47	$31.31	17.6%	5.3%	12.0%	31.2%	18.0%	3.7%	-0.3%	4.8M	326.2M	-6.3M	0.75	13.04	20,827	15,599	780,495	857,077
2016-10-25	$30.65	$31.31	16.6%	5.1%	12.0%	25.5%	18.7%	4.0%	-0.3%	9.7M	267.6M	-6.3M	0.61	24.70	26,178	16,097	785,697	861,761
2016-10-26	$30.82	$31.31	17.1%	5.3%	12.2%	28.1%	18.6%	4.5%	-0.2%	16.2M	209.4M	-6.5M	0.38	25.84	48,207	18,401	799,659	870,146
2016-10-27	$30.85	$31.31	18.0%	5.6%	10.9%	33.3%	18.7%	4.5%	-0.3%	20.6M	162.2M	-6.7M	0.41	31.03	50,876	21,103	820,803	874,048
2016-10-28	$30.32	$31.31	22.4%	7.2%	10.6%	59.3%	24.4%	4.2%	-0.8%	6.2M	347.3M	-7.1M	1.01	33.90	33,594	33,957	851,468	882,914
2016-10-31	$30.08	$31.31	23.9%	8.1%	10.7%	67.8%	27.9%	4.8%	-0.6%	3.6M	431.9M	-6.9M	0.67	32.95	79,546	53,275	855,945	888,703