VZ Options History — May 2010

In May 2010, VZ traded between $25.26 and $27.47. ATM implied volatility averaged 22.4%, placing in the 57.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 5.1% (HV 20d: 17.3%). Max pain ranged from $26.26 to $28.14. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2010-05-21: Highest Volume — 86,043 contracts
  • 2010-05-20: Largest IV spike — 30.2% change
  • 2010-05-20: Highest IV Rank — 100.0%
  • 2010-05-20: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.45$25.26$27.47$27.47$25.81
Max Pain$27.25$26.26$28.14$28.14$26.26
ATM IV22.4%15.2%28.7%15.2%20.9%
Expected Move6.4%4.4%8.2%4.4%6.0%
HV 20d17.3%12.6%21.7%15.3%21.5%
HV 60d15.5%13.9%17.5%13.9%17.4%
IV Rank57.9%10.7%100.0%10.7%49.4%
IV Percentile66.0%4.8%100.0%4.8%58.3%
Term Structure1.1%-0.2%1.8%1.8%1.5%
VWIV23.2%15.2%32.1%15.2%22.0%
Skew 25d5.6%2.0%9.8%2.0%4.5%
Skew 10d11.3%4.4%22.2%4.4%8.6%
Call IV 25d20.8%14.4%26.0%14.4%20.5%
Put IV 25d26.3%16.5%35.8%16.5%25.1%
Bid-Ask Spread %5.272.6918.773.544.19
Gamma HHI0.140.110.380.120.12
Net GEX-5.3M-21.4M-2.3M-2.6M-2.4M
Net DEX268.5M151.4M370.3M151.4M292.0M
Net VEX-4.1M-4.2M-3.9M-3.9M-4.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.291.590.650.64
Total Volume36,642.116,83886,04323,12416,838
Total OI851,010783,168920,088783,168875,782

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$27.47$28.1415.2%4.4%15.3%10.7%15.2%2.0%1.8%-2.6M151.4M-3.9M0.653.54N/AN/A14,0089,116385,747397,421
2010-05-04$26.96$28.1418.0%5.2%16.2%27.0%20.5%3.3%1.2%-5.6M224.1M-4.0M1.182.93N/AN/A20,52324,291387,491400,360
2010-05-05$26.90$28.1417.7%5.1%12.6%25.3%18.2%3.2%1.8%-5.9M237.7M-4.1M1.142.69N/AN/A11,57713,191394,279415,805
2010-05-06$26.27$28.1423.1%6.6%14.6%56.2%23.3%2.7%0.8%-7.4M321.3M-4.0M0.9118.77N/AN/A24,53022,308398,725422,002
2010-05-07$26.44$27.2026.5%7.5%15.0%76.0%25.3%6.2%1.0%-6.1M275.9M-4.1M0.595.65N/AN/A21,99212,992403,862425,034
2010-05-10$26.83$27.2021.0%6.2%16.3%44.2%23.3%6.1%0.9%-5.4M237.2M-4.1M0.695.44N/AN/A14,3799,929408,401429,068
2010-05-11$26.64$27.2022.9%6.5%16.2%55.5%21.0%5.5%1.5%-7.6M285.4M-4.0M0.834.25N/AN/A29,85724,780410,331430,851
2010-05-12$26.92$27.2018.9%5.5%16.8%35.7%20.3%5.4%0.9%-3.5M215.9M-4.0M0.624.56N/AN/A21,15413,067427,267436,457
2010-05-13$26.91$27.2019.5%5.6%16.5%39.1%19.5%4.7%0.7%-3.4M219.7M-4.0M1.023.68N/AN/A12,50412,767432,388437,747
2010-05-14$26.74$27.2021.4%6.1%16.6%51.6%22.4%6.4%0.8%-3.5M255.6M-4.1M0.686.13N/AN/A14,92410,138431,081439,267
2010-05-17$26.88$27.2021.9%6.3%16.6%58.8%23.9%6.5%1.7%-2.3M223.1M-4.2M0.814.38N/AN/A18,74615,134434,053441,293
2010-05-18$26.65$27.2024.1%6.9%16.7%77.8%23.6%6.6%1.2%-3.4M262.5M-4.1M0.473.88N/AN/A17,1887,996440,834442,500
2010-05-19$26.74$27.2022.1%6.3%16.7%62.8%24.9%6.7%1.4%-2.6M247.5M-4.2M1.065.87N/AN/A16,39517,399440,174446,992
2010-05-20$26.04$27.2028.7%8.2%18.7%100.0%32.1%9.8%-0.2%-7.5M351.2M-4.1M0.995.16N/AN/A21,20920,976448,445457,002
2010-05-21$26.22$27.2027.0%7.7%18.9%88.8%29.5%9.0%0.7%-21.4M335.8M-4.2M1.595.51N/AN/A33,24952,794454,473465,615
2010-05-24$25.78$27.2027.8%8.0%19.7%93.9%26.5%7.2%0.8%-3.4M279.9M-4.1M0.694.47N/AN/A19,17613,298397,833419,561
2010-05-25$25.70$27.2026.3%7.5%19.6%84.0%25.5%6.1%1.2%-3.6M292.8M-4.0M0.685.51N/AN/A27,76618,988402,634425,420
2010-05-26$25.26$26.2625.0%7.2%19.4%75.6%24.7%5.3%0.3%-5.5M370.3M-3.9M0.295.26N/AN/A32,7139,603413,084436,347
2010-05-27$25.87$26.2620.4%5.9%21.7%46.0%21.4%4.3%1.4%-2.6M291.5M-4.0M0.503.41N/AN/A23,49711,850427,286437,288
2010-05-28$25.81$26.2620.9%6.0%21.5%49.4%22.0%4.5%1.5%-2.4M292.0M-4.0M0.644.19N/AN/A10,2536,585433,155442,627