VZ Options History — November 2010

In November 2010, VZ traded between $31.90 and $33.52. ATM implied volatility averaged 16.4%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 3.1% (HV 20d: 13.3%). Max pain ranged from $32.00 to $32.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2010-11-16: Highest Volume — 27,279 contracts
  • 2010-11-16: Largest IV spike — 12.9% change
  • 2010-11-16: Highest IV Rank — 34.2%
  • 2010-11-16: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.63$31.90$33.52$32.40$32.01
Max Pain$32.00$32.00$32.00$32.00$32.00
ATM IV16.4%14.4%18.6%17.7%17.8%
Expected Move4.8%4.1%5.3%5.1%5.1%
HV 20d13.3%12.2%14.6%14.5%12.7%
HV 60d13.8%12.7%14.9%14.8%12.8%
IV Rank19.5%6.9%34.2%28.2%28.6%
IV Percentile23.9%2.4%62.3%38.9%42.5%
Term Structure1.1%0.4%2.1%0.4%1.0%
VWIV17.2%15.8%19.0%17.8%19.0%
Skew 25d2.7%1.9%3.3%2.3%2.8%
Skew 10d7.4%5.2%9.5%5.7%9.4%
Call IV 25d16.1%14.5%17.7%16.9%17.4%
Put IV 25d18.8%16.7%21.0%19.1%20.2%
Bid-Ask Spread %8.303.7212.486.458.06
Gamma HHI0.280.180.420.290.21
Net GEX16.8M10.6M23.9M13.4M11.1M
Net DEX-215.9M-351.7M-117.2M-184.0M-123.1M
Net VEX-2.2M-2.3M-1.9M-2.1M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.231.180.360.68
Total Volume16,144.6675,40727,27924,06811,368
Total OI444,222.429402,592484,583409,382439,686

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$32.40$32.0017.7%5.1%14.5%28.2%17.8%2.3%0.4%13.4M-184.0M-2.1M0.366.45N/AN/A17,7496,319232,815176,567
2010-11-02$32.80$32.0016.6%4.7%14.0%20.8%17.6%2.4%0.6%16.9M-240.3M-2.2M0.6512.46N/AN/A11,4497,487240,220179,323
2010-11-03$32.99$32.0015.4%4.4%14.0%13.2%16.2%1.9%1.1%19.1M-266.7M-2.2M0.578.34N/AN/A9,1815,231243,502182,949
2010-11-04$33.52$32.0014.4%4.1%14.4%6.9%16.1%2.1%1.1%21.2M-351.7M-2.2M0.5110.43N/AN/A13,7377,015246,888184,927
2010-11-05$33.43$32.0015.1%4.7%14.4%11.1%16.1%2.2%1.5%22.0M-339.1M-2.2M0.487.19N/AN/A9,9254,731250,041187,696
2010-11-08$33.17$32.0014.8%4.7%14.6%9.3%16.3%2.3%1.5%22.0M-303.4M-2.2M1.188.74N/AN/A8,77210,359253,585189,665
2010-11-09$33.01$32.0014.7%4.7%13.6%8.9%16.6%2.6%1.5%20.7M-274.6M-2.2M0.7812.24N/AN/A7,5375,907254,909197,332
2010-11-10$32.85$32.0014.8%4.7%13.1%9.1%17.4%3.0%1.3%19.3M-228.3M-2.3M1.108.07N/AN/A6,1686,771255,722198,461
2010-11-11$32.63$32.0016.3%4.7%13.2%19.3%16.4%3.0%1.0%18.5M-204.6M-2.2M0.316.03N/AN/A13,2464,100257,625200,961
2010-11-12$32.56$32.0016.8%4.8%13.2%22.4%17.6%3.1%0.9%18.1M-198.1M-2.3M0.857.51N/AN/A5,6134,744262,346201,747
2010-11-15$32.77$32.0016.5%4.7%13.3%20.4%18.9%2.8%1.1%21.0M-232.0M-2.2M0.7011.51N/AN/A10,1877,172263,073203,457
2010-11-16$32.19$32.0018.6%5.3%14.0%34.2%18.6%3.3%1.0%13.1M-146.9M-2.2M0.567.46N/AN/A17,4859,794266,034204,739
2010-11-17$32.34$32.0018.6%5.3%13.0%33.8%18.1%2.8%1.0%15.9M-174.3M-2.3M0.416.29N/AN/A9,3823,864270,853205,972
2010-11-18$32.65$32.0016.2%4.6%13.4%18.4%17.0%3.0%0.9%23.9M-226.0M-2.2M0.235.16N/AN/A12,9133,002274,473206,967
2010-11-19$32.59$32.0015.6%4.5%12.5%14.8%16.8%2.8%1.2%14.4M-209.2M-2.2M0.715.19N/AN/A7,8605,587276,729207,854
2010-11-22$32.50$32.0016.9%4.8%12.2%22.7%15.8%2.8%2.1%12.3M-200.1M-1.9M0.2810.96N/AN/A16,6344,714229,959172,633
2010-11-23$32.39$32.0016.7%4.8%12.2%21.8%16.2%2.3%1.5%12.8M-178.0M-2.2M0.4512.48N/AN/A8,3523,787238,607179,599
2010-11-24$32.35$32.0016.1%4.6%12.2%18.0%16.2%2.6%1.7%13.8M-169.7M-2.2M0.505.71N/AN/A10,1065,058243,449181,476
2010-11-26$32.21$32.0016.9%4.8%12.2%22.9%16.7%2.6%1.1%13.3M-167.7M-2.2M0.733.72N/AN/A3,1242,283247,487184,969
2010-11-29$31.90$32.0017.3%5.0%12.6%25.8%18.9%3.2%0.4%10.6M-117.2M-2.1M1.1210.21N/AN/A9,60410,721247,503185,871
2010-11-30$32.01$32.0017.8%5.1%12.7%28.6%19.0%2.8%1.0%11.1M-123.1M-2.2M0.688.06N/AN/A6,7534,615250,069189,617