VZ Options History — September 2009

In September 2009, VZ traded between $27.66 and $29.40. ATM implied volatility averaged 22.7%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 3.9% (HV 20d: 18.8%). Max pain ranged from $28.14 to $29.07. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2009-09-17: Highest Volume — 57,048 contracts
  • 2009-09-10: Largest IV spike — 26.5% change
  • 2009-09-16: Highest IV Rank — 9.2%
  • 2009-09-16: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.46$27.66$29.40$28.48$28.39
Max Pain$28.27$28.14$29.07$29.07$28.14
ATM IV22.7%19.1%25.7%22.9%22.0%
Expected Move6.7%6.1%7.4%6.6%6.3%
HV 20d18.8%15.7%20.2%19.8%17.9%
HV 60d21.2%20.6%21.8%20.9%20.6%
IV Rank4.7%0.0%9.2%4.4%4.0%
IV Percentile13.1%0.0%28.6%13.1%10.7%
Term Structure1.7%-0.6%3.5%2.9%1.3%
VWIV23.6%21.2%26.0%23.1%23.0%
Skew 25d3.1%1.7%4.6%2.5%3.1%
Skew 10d4.9%2.0%8.6%4.4%3.0%
Call IV 25d21.6%19.9%23.8%22.0%20.0%
Put IV 25d24.7%22.7%26.7%24.5%23.1%
Bid-Ask Spread %3.052.214.604.602.36
Gamma HHI0.130.100.160.100.15
Net GEX3.9M-2.9M9.3M2.6M4.6M
Net DEX62.7M-46.3M180.6M65.6M74.8M
Net VEX-2.3M-2.5M-2.1M-2.3M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.321.601.160.64
Total Volume28,355.57112,92857,04824,41421,422
Total OI551,869.619509,531593,477509,531586,218

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$28.48$29.0722.9%6.6%19.8%4.4%23.1%2.5%2.9%2.6M65.6M-2.3M1.164.60N/AN/A11,29313,121269,391240,140
2009-09-02$28.27$29.0722.4%6.4%19.0%3.7%22.5%2.7%3.2%1.5M95.5M-2.3M1.562.86N/AN/A6,58710,253274,104245,232
2009-09-03$28.36$29.0721.3%6.1%18.8%2.3%21.2%2.1%3.5%1.3M93.8M-2.3M0.893.64N/AN/A9,8258,787275,986251,019
2009-09-04$28.70$28.1419.7%6.8%19.3%0.0%25.0%4.3%3.1%3.1M52.6M-2.4M0.363.01N/AN/A12,1904,343279,592254,309
2009-09-08$29.03$28.1420.2%6.9%19.7%0.7%24.7%4.6%2.7%5.4M14.1M-2.4M0.513.24N/AN/A8,5874,341283,257254,783
2009-09-09$28.97$28.1419.1%6.6%19.3%0.0%24.2%4.1%3.1%5.6M21.8M-2.3M0.462.21N/AN/A9,4924,356288,782257,432
2009-09-10$29.40$28.1424.2%6.9%18.7%7.0%22.7%3.8%1.5%8.5M-46.3M-2.4M0.323.73N/AN/A23,7357,618287,355257,013
2009-09-11$29.32$28.1424.1%6.9%18.7%6.9%26.0%4.0%2.0%9.3M-45.9M-2.4M1.184.09N/AN/A7,3538,708296,180258,013
2009-09-14$29.14$28.1424.3%7.0%18.8%7.2%24.9%3.6%1.5%8.1M-12.1M-2.3M0.902.64N/AN/A12,75211,493297,129261,447
2009-09-15$29.07$28.1423.7%6.8%15.7%6.3%24.6%3.3%1.7%6.8M-1.9M-2.3M1.313.31N/AN/A7,4189,725299,859263,820
2009-09-16$28.52$28.1425.7%7.4%17.3%9.2%25.5%2.9%0.2%2.4M83.2M-2.3M0.803.38N/AN/A27,35321,839303,596264,147
2009-09-17$27.68$28.1424.1%6.9%20.2%6.9%24.0%2.9%1.8%-2.9M180.6M-2.1M0.602.30N/AN/A35,73821,310312,313270,438
2009-09-18$27.75$28.1423.9%6.8%19.9%6.6%24.7%2.6%2.0%-2.1M176.3M-2.2M0.782.32N/AN/A23,32818,108318,737274,740
2009-09-21$27.66$28.1424.4%7.0%17.9%7.3%23.7%2.7%-0.6%1.1M121.0M-2.2M0.642.65N/AN/A26,32916,774276,950237,104
2009-09-22$27.68$28.1423.1%6.6%17.9%5.6%22.7%3.5%1.7%1.8M118.7M-2.2M0.532.61N/AN/A18,4679,697289,074244,985
2009-09-23$28.02$28.1422.7%6.5%18.7%5.0%22.9%1.7%0.9%4.0M80.8M-2.4M0.404.03N/AN/A37,95215,257296,100248,831
2009-09-24$28.28$28.1422.3%6.4%19.0%4.4%22.7%2.5%1.0%6.1M46.1M-2.4M0.642.62N/AN/A24,11215,528304,510253,697
2009-09-25$28.08$28.1421.9%6.3%18.6%3.8%23.2%3.0%1.4%4.3M79.4M-2.4M0.653.32N/AN/A12,7368,312305,964259,862
2009-09-28$28.46$28.1422.4%6.4%19.4%4.6%23.0%2.9%0.4%6.4M39.7M-2.5M0.522.25N/AN/A14,5687,599306,638264,028
2009-09-29$28.29$28.1421.6%6.2%19.4%3.4%22.2%2.6%1.3%4.5M78.1M-2.4M1.602.83N/AN/A10,40016,661308,113268,374
2009-09-30$28.39$28.1422.0%6.3%17.9%4.0%23.0%3.1%1.3%4.6M74.8M-2.5M0.642.36N/AN/A13,0548,368310,453275,765