PFE Options History — March 2017

In March 2017, PFE traded between $32.17 and $32.85. ATM implied volatility averaged 13.8%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.9% (HV 20d: 10.9%). Max pain ranged from $30.36 to $32.26. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.73.

Notable Days

2017-03-01: Highest Volume — 75,336 contracts
2017-03-15: Largest IV drop — 11.6% change
2017-03-02: Highest IV Rank — 22.8%
2017-03-02: Largest Expected Move — 4.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.54	$32.17	$32.85	$32.72	$32.50
Max Pain	$31.39	$30.36	$32.26	$30.36	$32.26
ATM IV	13.8%	12.5%	14.9%	14.3%	13.6%
Expected Move	3.9%	3.4%	4.2%	4.1%	3.4%
HV 20d	10.9%	8.7%	12.6%	11.8%	8.7%
HV 60d	12.9%	11.8%	14.3%	14.3%	11.8%
IV Rank	13.1%	1.7%	22.8%	17.4%	10.9%
IV Percentile	13.1%	0.8%	30.6%	17.1%	10.7%
Term Structure	0.7%	-0.9%	2.7%	0.2%	2.7%
VWIV	13.6%	11.7%	15.3%	15.3%	11.7%
Skew 25d	2.1%	1.6%	3.0%	1.6%	2.4%
Skew 10d	4.7%	2.2%	8.7%	5.4%	4.7%
Call IV 25d	13.0%	11.6%	14.2%	13.9%	11.6%
Put IV 25d	15.2%	13.7%	16.6%	15.5%	13.9%
Bid-Ask Spread %	20.91	9.08	41.58	22.84	41.58
Gamma HHI	0.19	0.16	0.23	0.16	0.21
Net GEX	39.5M	29.6M	48.7M	35.8M	43.3M
Net DEX	-753.8M	-1.07B	-441.8M	-987.8M	-515.5M
Net VEX	-7.0M	-7.5M	-6.4M	-6.9M	-6.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.33	1.41	0.40	0.74
Total Volume	40,365.913	25,094	75,336	75,336	30,279
Total OI	1,376,440.391	1,213,352	1,479,091	1,356,628	1,332,555

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
2017-03-01	$32.72	$30.36	14.3%	4.1%	11.8%	17.4%	15.3%	1.6%	0.2%	35.8M	-987.8M	-6.9M	0.40	22.84	53,671	21,665	685,433	671,195
2017-03-02	$32.75	$30.36	14.9%	4.2%	11.4%	22.8%	14.9%	2.1%	0.1%	37.9M	-1.01B	-7.4M	0.39	19.26	43,613	17,222	724,110	704,113
2017-03-03	$32.71	$30.36	14.4%	3.9%	11.6%	18.1%	13.5%	1.8%	0.0%	48.7M	-990.8M	-7.5M	0.41	22.93	28,718	11,828	740,499	709,615
2017-03-06	$32.68	$31.31	13.9%	4.2%	11.2%	14.1%	14.2%	2.1%	0.1%	41.3M	-959.0M	-7.3M	0.52	10.18	21,354	11,043	732,399	704,889
2017-03-07	$32.27	$31.31	14.4%	4.1%	12.6%	18.1%	14.6%	2.0%	-0.1%	39.1M	-759.3M	-7.4M	0.91	17.68	17,900	16,326	734,755	708,283
2017-03-08	$32.17	$31.31	14.4%	4.1%	12.4%	18.0%	14.3%	2.5%	-0.1%	38.6M	-725.7M	-7.4M	1.08	19.65	19,649	21,298	739,609	714,321
2017-03-09	$32.38	$31.31	14.2%	4.1%	12.5%	16.2%	14.2%	2.0%	-0.2%	44.5M	-811.4M	-7.4M	1.17	21.84	14,474	16,956	745,638	721,530
2017-03-10	$32.45	$31.31	14.1%	4.0%	12.4%	15.3%	13.2%	2.6%	0.3%	44.4M	-862.8M	-7.3M	0.47	9.69	18,601	8,803	744,928	720,909
2017-03-13	$32.40	$31.31	13.9%	4.0%	12.3%	13.7%	13.7%	2.3%	-0.0%	43.7M	-834.5M	-7.2M	0.52	15.59	21,658	11,164	736,309	719,292
2017-03-14	$32.49	$31.31	14.7%	4.0%	12.1%	20.7%	14.3%	1.8%	-0.9%	46.5M	-881.7M	-7.0M	0.94	10.89	16,915	15,862	739,040	720,598
2017-03-15	$32.85	$31.31	13.0%	3.7%	12.5%	5.9%	13.3%	1.9%	-0.0%	44.4M	-1.07B	-6.9M	0.33	27.33	37,129	12,235	742,651	724,100
2017-03-16	$32.62	$31.31	13.7%	3.9%	10.5%	12.0%	13.1%	2.1%	0.3%	46.9M	-975.5M	-6.8M	0.55	20.43	22,519	12,353	749,073	724,124
2017-03-17	$32.58	$31.31	12.9%	3.7%	10.5%	5.2%	12.3%	1.6%	0.5%	33.7M	-953.6M	-6.7M	0.34	23.33	37,419	12,570	752,177	726,914
2017-03-20	$32.64	$31.31	12.5%	3.5%	10.5%	1.7%	13.0%	1.9%	1.1%	37.0M	-610.1M	-6.7M	1.24	9.08	14,763	18,358	615,516	597,836
2017-03-21	$32.54	$31.31	13.1%	3.7%	10.6%	6.7%	13.0%	2.3%	1.1%	35.3M	-582.8M	-6.7M	1.35	35.13	26,566	35,895	622,893	605,569
2017-03-22	$32.72	$31.31	13.8%	4.0%	10.7%	13.0%	13.9%	2.5%	0.4%	36.6M	-630.5M	-6.9M	1.00	35.66	21,889	21,815	636,640	629,066
2017-03-23	$32.52	$32.26	13.9%	4.0%	9.9%	14.3%	14.4%	2.5%	-0.3%	33.7M	-553.5M	-6.9M	0.81	24.37	19,906	16,061	648,741	637,494
2017-03-24	$32.31	$31.78	14.8%	4.2%	10.0%	21.5%	14.4%	2.0%	0.8%	29.6M	-441.8M	-7.1M	0.60	30.16	27,166	16,391	655,557	640,415
2017-03-27	$32.49	$31.78	14.8%	4.2%	10.2%	21.6%	14.6%	3.0%	1.9%	31.6M	-509.5M	-6.9M	0.37	22.24	29,718	11,048	649,230	636,960
2017-03-28	$32.44	$31.78	13.3%	3.8%	9.7%	8.5%	12.9%	1.7%	2.7%	34.7M	-488.7M	-6.8M	1.41	13.72	10,417	14,677	655,973	638,955
2017-03-29	$32.60	$31.78	12.5%	3.5%	8.7%	1.8%	12.5%	2.2%	2.2%	37.9M	-593.1M	-6.6M	0.59	14.67	22,286	13,175	657,295	643,608
2017-03-30	$32.58	$32.26	12.7%	3.4%	8.7%	3.6%	12.0%	2.1%	2.4%	43.0M	-586.3M	-6.5M	0.72	12.69	20,423	14,638	668,642	648,680
2017-03-31	$32.50	$32.26	13.6%	3.4%	8.7%	10.9%	11.7%	2.4%	2.7%	43.3M	-515.5M	-6.4M	0.74	41.58	17,391	12,888	677,296	655,259