VZ Options History — October 2010

In October 2010, VZ traded between $32.09 and $33.57. ATM implied volatility averaged 18.2%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 4.8% (HV 20d: 13.4%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2010-10-05: Highest Volume — 2,749,255 contracts
  • 2010-10-13: Largest IV spike — 12.0% change
  • 2010-10-13: Highest IV Rank — 54.5%
  • 2010-10-06: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.64$32.09$33.57$32.89$32.48
Max Pain$31.90$30.00$32.00$30.00$32.00
ATM IV18.2%16.3%21.7%16.8%17.0%
Expected Move5.3%4.7%6.0%4.8%4.9%
HV 20d13.4%9.5%15.2%9.5%14.6%
HV 60d15.4%14.5%16.5%15.6%14.8%
IV Rank31.4%19.0%54.5%22.0%23.5%
IV Percentile45.9%17.1%88.1%22.6%27.4%
Term Structure0.9%-0.1%2.7%2.7%1.0%
VWIV19.2%16.7%24.8%19.6%17.2%
Skew 25d3.0%1.9%4.2%3.5%1.9%
Skew 10d6.6%4.1%8.4%6.8%5.8%
Call IV 25d17.6%15.2%19.4%15.2%16.4%
Put IV 25d20.6%18.1%22.5%18.6%18.3%
Bid-Ask Spread %5.263.1610.023.163.82
Gamma HHI0.210.170.290.190.29
Net GEX10.7M4.7M13.9M11.7M13.9M
Net DEX-218.9M-465.8M-133.8M-387.8M-197.0M
Net VEX-2.0M-2.2M-1.7M-1.7M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.011.020.380.59
Total Volume154,769.3817,1772,749,25514,7837,177
Total OI401,854.048350,230446,102425,673407,413

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$32.89$30.0016.8%4.8%9.5%22.0%19.6%3.5%2.7%11.7M-387.8M-1.7M0.383.16N/AN/A10,6934,090242,493183,180
2010-10-04$33.03$32.0017.0%5.3%9.5%23.3%20.4%4.1%2.0%12.2M-414.6M-1.7M0.484.16N/AN/A27,98313,565244,707184,015
2010-10-05$33.57$32.0018.2%5.1%10.2%31.5%24.8%4.2%1.9%12.6M-465.8M-1.8M0.014.02N/AN/A2,726,63022,625255,620190,482
2010-10-06$33.36$32.0019.4%6.0%11.0%39.6%20.8%3.1%0.9%4.7M-194.1M-1.8M0.524.39N/AN/A62,38232,648166,223198,277
2010-10-07$32.93$32.0018.3%5.8%12.2%32.0%20.3%3.4%1.2%6.9M-195.8M-1.9M0.514.31N/AN/A18,4959,420194,630204,766
2010-10-08$32.83$32.0016.9%5.6%12.3%23.1%20.4%3.3%1.6%8.3M-195.4M-2.0M0.864.04N/AN/A11,5079,850202,099207,276
2010-10-11$33.03$32.0018.8%5.6%12.3%35.1%19.3%3.9%0.9%9.6M-222.6M-1.9M0.294.62N/AN/A10,6733,134206,305209,854
2010-10-12$32.54$32.0019.4%5.6%13.9%39.4%20.4%3.5%0.7%9.7M-176.9M-2.0M0.674.38N/AN/A20,80814,030212,325210,661
2010-10-13$32.21$32.0021.7%5.7%14.4%54.5%19.2%3.6%0.8%8.3M-133.8M-2.0M0.384.22N/AN/A26,0609,883217,075214,987
2010-10-14$32.44$32.0020.3%5.8%14.4%45.3%20.0%3.0%0.9%9.8M-169.5M-2.0M0.533.96N/AN/A10,7945,711218,876217,954
2010-10-15$32.43$32.0020.1%5.8%14.2%43.6%19.8%3.3%1.0%10.1M-169.8M-2.0M0.335.54N/AN/A15,1284,942222,300221,093
2010-10-18$32.59$32.0018.9%5.4%13.6%35.8%19.0%2.4%-0.1%11.6M-205.2M-2.0M0.314.68N/AN/A15,2264,770202,778147,452
2010-10-19$32.16$32.0019.5%5.6%14.2%40.1%20.1%3.5%0.4%9.6M-151.9M-2.1M1.026.02N/AN/A9,6399,799202,237149,618
2010-10-20$32.64$32.0018.1%5.2%15.2%30.8%18.6%3.0%0.1%11.6M-204.7M-2.1M0.754.12N/AN/A10,1987,639207,034155,943
2010-10-21$32.52$32.0017.8%5.1%15.0%29.1%18.3%2.7%0.1%11.5M-195.0M-2.1M0.695.55N/AN/A15,47410,742210,762158,819
2010-10-22$32.09$32.0016.8%4.8%14.9%22.4%17.2%2.5%1.0%11.0M-150.5M-2.1M0.927.17N/AN/A16,82415,461218,260163,631
2010-10-25$32.35$32.0017.1%4.9%15.0%24.1%17.0%2.1%0.5%11.8M-169.3M-2.2M0.616.71N/AN/A8,1104,955221,722170,974
2010-10-26$32.50$32.0016.8%4.8%15.0%22.5%16.7%2.1%0.8%13.5M-200.2M-2.1M0.6210.02N/AN/A9,1985,683224,651171,302
2010-10-27$32.51$32.0016.3%4.7%15.0%19.0%17.1%2.1%0.6%13.4M-202.7M-2.1M0.706.05N/AN/A7,8435,488227,601171,329
2010-10-28$32.41$32.0017.0%4.9%15.0%23.3%17.0%2.0%0.7%13.5M-193.4M-2.1M0.789.45N/AN/A8,3776,503229,461172,750
2010-10-29$32.48$32.0017.0%4.9%14.6%23.5%17.2%1.9%1.0%13.9M-197.0M-2.1M0.593.82N/AN/A4,5192,658231,330176,083