PFE Options History — February 2017

In February 2017, PFE traded between $29.93 and $32.57. ATM implied volatility averaged 14.0%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.7% (HV 20d: 12.3%). Max pain ranged from $30.36 to $30.36. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.69.

Notable Days

2017-02-03: Highest Volume — 164,372 contracts
2017-02-03: Largest IV drop — 7.6% change
2017-02-28: Highest IV Rank — 23.4%
2017-02-28: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.29	$29.93	$32.57	$29.93	$32.31
Max Pain	$30.36	$30.36	$30.36	$30.36	$30.36
ATM IV	14.0%	13.2%	15.0%	14.6%	15.0%
Expected Move	4.1%	3.8%	4.3%	4.3%	4.3%
HV 20d	12.3%	10.9%	13.5%	13.1%	11.8%
HV 60d	16.6%	14.4%	23.1%	23.0%	14.9%
IV Rank	13.7%	6.6%	23.4%	16.4%	23.4%
IV Percentile	11.6%	3.6%	25.8%	14.3%	25.8%
Term Structure	0.4%	-0.1%	1.1%	-0.0%	-0.1%
VWIV	14.4%	13.9%	15.3%	15.3%	15.0%
Skew 25d	1.8%	1.3%	2.3%	2.1%	1.7%
Skew 10d	4.3%	0.5%	6.6%	6.2%	4.3%
Call IV 25d	13.4%	12.5%	14.4%	13.8%	14.4%
Put IV 25d	15.2%	14.2%	16.2%	15.8%	16.2%
Bid-Ask Spread %	18.88	5.23	32.57	31.46	27.42
Gamma HHI	0.16	0.13	0.22	0.14	0.16
Net GEX	24.3M	-1.4M	44.6M	-1.4M	33.6M
Net DEX	-437.7M	-967.6M	165.2M	165.2M	-789.8M
Net VEX	-6.7M	-7.3M	-5.8M	-5.8M	-7.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.28	1.27	0.28	1.27
Total Volume	67,467.895	32,587	164,372	50,796	35,632
Total OI	1,228,178.263	1,013,108	1,359,441	1,013,108	1,347,300

Daily Data (19 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
2017-02-01	$29.93	$30.36	14.6%	4.3%	13.1%	16.4%	15.3%	2.1%	-0.0%	-1.4M	165.2M	-5.8M	0.28	31.46	39,733	11,063	503,522	509,586
2017-02-02	$30.05	$30.36	14.6%	4.1%	12.6%	16.6%	14.9%	2.2%	0.1%	2.7M	104.8M	-5.8M	0.63	10.33	34,632	21,816	511,076	505,519
2017-02-03	$30.46	$30.36	13.5%	4.1%	13.2%	8.6%	14.3%	1.9%	0.5%	19.8M	-53.0M	-5.9M	0.87	19.14	87,888	76,484	515,447	516,995
2017-02-06	$30.56	$30.36	14.2%	4.2%	13.4%	13.7%	14.6%	2.1%	0.4%	11.5M	-84.2M	-6.3M	0.94	12.26	46,891	44,043	543,998	556,068
2017-02-07	$30.41	$30.36	14.0%	4.1%	13.4%	12.4%	13.9%	2.0%	0.4%	8.1M	-11.9M	-6.5M	0.98	21.43	56,018	54,836	571,504	589,200
2017-02-08	$30.52	$30.36	14.1%	4.2%	13.5%	12.9%	14.1%	1.4%	0.6%	12.4M	-83.9M	-6.9M	0.59	15.64	28,931	17,172	611,570	627,656
2017-02-09	$30.76	$30.36	13.6%	4.1%	12.4%	9.1%	14.1%	1.3%	1.1%	22.1M	-213.4M	-7.0M	0.61	10.63	27,764	16,965	626,393	630,244
2017-02-10	$30.69	$30.36	13.2%	4.0%	12.0%	6.6%	13.9%	1.6%	1.0%	17.6M	-173.2M	-7.0M	0.67	5.54	20,363	13,665	631,756	636,108
2017-02-13	$30.97	$30.36	13.2%	3.8%	12.5%	7.3%	14.0%	1.9%	0.8%	25.4M	-328.6M	-6.7M	0.91	14.98	17,044	15,543	628,156	629,416
2017-02-14	$31.06	$30.36	13.3%	3.8%	11.0%	8.3%	14.1%	2.0%	0.6%	27.8M	-349.7M	-7.0M	0.71	19.42	33,352	23,699	651,709	655,538
2017-02-15	$31.77	$30.36	13.9%	4.0%	13.4%	14.3%	14.1%	1.7%	0.1%	35.7M	-746.5M	-6.8M	0.41	24.41	69,130	28,042	666,443	659,917
2017-02-16	$31.87	$30.36	14.2%	4.0%	12.2%	16.8%	14.4%	1.7%	0.6%	35.5M	-785.9M	-7.0M	0.46	23.49	48,676	22,156	680,213	670,824
2017-02-17	$31.93	$30.36	13.8%	3.9%	12.2%	12.7%	13.9%	2.0%	0.8%	30.1M	-793.2M	-6.9M	0.50	5.23	45,241	22,474	684,351	675,090
2017-02-21	$31.93	$30.36	14.5%	4.1%	11.7%	19.2%	14.1%	1.3%	0.0%	32.4M	-700.7M	-6.8M	0.66	16.87	21,909	14,370	617,271	602,808
2017-02-22	$31.87	$30.36	14.4%	4.2%	10.9%	18.6%	14.7%	1.5%	0.0%	33.1M	-675.7M	-6.9M	0.73	26.95	34,068	24,758	627,852	606,949
2017-02-23	$32.31	$30.36	14.0%	4.1%	11.4%	14.4%	14.5%	1.8%	0.2%	44.6M	-870.6M	-6.8M	0.51	32.57	53,523	27,416	646,649	620,909
2017-02-24	$32.49	$30.36	13.9%	4.2%	11.2%	14.3%	14.6%	2.3%	-0.1%	35.6M	-967.6M	-6.7M	0.56	21.20	31,333	17,622	665,730	634,083
2017-02-27	$32.57	$30.36	14.0%	4.0%	11.3%	15.1%	14.5%	1.9%	0.0%	34.6M	-957.5M	-6.7M	0.77	19.69	55,239	42,399	646,704	630,833
2017-02-28	$32.31	$30.36	15.0%	4.3%	11.8%	23.4%	15.0%	1.7%	-0.1%	33.6M	-789.8M	-7.3M	1.27	27.42	15,731	19,901	682,443	664,857