VZ Options History — September 2013

In September 2013, VZ traded between $45.91 and $48.72. ATM implied volatility averaged 19.6%, placing in the 58.4% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 1.1% (HV 20d: 20.7%). Max pain ranged from $45.00 to $48.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2013-09-03: Highest Volume — 111,794 contracts
  • 2013-09-10: Largest IV drop — 6.8% change
  • 2013-09-03: Highest IV Rank — 72.7%
  • 2013-09-16: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.26$45.91$48.72$46.01$46.68
Max Pain$46.06$45.00$48.50$48.50$45.00
ATM IV19.6%18.3%21.7%21.7%20.3%
Expected Move6.1%5.4%6.5%6.2%6.3%
HV 20d20.7%18.6%21.9%18.6%19.9%
HV 60d18.0%16.7%19.1%18.8%17.4%
IV Rank58.4%49.2%72.7%72.7%63.3%
IV Percentile83.0%72.6%95.2%95.2%88.5%
Term Structure-0.1%-1.4%1.5%0.4%-1.3%
VWIV21.6%18.7%24.1%22.3%22.7%
Skew 25d2.8%1.8%3.6%2.1%3.1%
Skew 10d5.2%3.2%7.3%3.8%6.3%
Call IV 25d18.7%16.9%21.2%21.2%19.1%
Put IV 25d21.4%20.3%23.4%23.4%22.2%
Bid-Ask Spread %6.792.9814.385.733.93
Gamma HHI0.140.110.190.130.11
Net GEX21.4M4.4M48.1M7.2M9.6M
Net DEX-51.1M-357.7M189.6M189.6M89.1M
Net VEX-4.2M-4.6M-3.5M-3.5M-4.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.201.380.620.73
Total Volume38,351.721,263111,794111,79424,248
Total OI683,118.5593,899731,270593,899659,444

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$46.01$48.5021.7%6.2%18.6%72.7%22.3%2.1%0.4%7.2M189.6M-3.5M0.625.73N/AN/A68,94242,852335,297258,602
2013-09-04$46.78$47.5020.9%6.0%20.1%67.8%21.7%2.0%0.6%16.5M40.3M-4.0M0.208.94N/AN/A48,0619,561367,977280,478
2013-09-05$46.64$47.5020.7%5.9%20.1%65.8%20.7%2.0%0.3%17.6M42.2M-4.1M0.6010.82N/AN/A26,41115,729388,347283,578
2013-09-06$46.34$47.5020.5%5.9%20.1%64.7%21.2%2.4%1.5%12.0M92.9M-4.1M0.608.58N/AN/A16,86210,040400,912292,492
2013-09-09$45.91$47.5020.6%5.9%20.2%65.6%21.5%2.4%0.7%9.0M175.1M-3.9M0.887.83N/AN/A13,61012,002382,726285,706
2013-09-10$46.47$47.0019.2%5.5%20.6%55.9%19.2%2.1%1.5%15.4M79.0M-4.1M0.7110.54N/AN/A22,78616,284388,051291,617
2013-09-11$46.52$46.5018.9%5.4%20.5%53.5%18.7%2.2%0.3%14.7M81.7M-4.1M1.127.91N/AN/A18,38420,568397,182300,592
2013-09-12$47.35$0.0020.1%5.7%21.7%61.6%20.7%1.8%0.2%24.6M-88.1M-4.4M0.733.61N/AN/A29,25121,498401,020310,933
2013-09-13$47.76$47.0019.7%5.7%21.9%59.4%21.3%1.9%-0.3%28.5M-193.1M-4.5M0.4514.38N/AN/A39,91318,049410,454314,295
2013-09-16$48.30$0.0019.9%6.5%21.4%60.5%23.0%3.0%-1.4%38.7M-274.5M-4.5M0.5813.76N/AN/A18,92210,981405,795309,657
2013-09-17$48.57$45.0019.1%6.2%21.4%55.0%22.0%3.2%-0.7%44.0M-328.7M-4.5M0.885.00N/AN/A11,63510,277408,121313,486
2013-09-18$48.72$45.0018.8%6.2%21.2%52.6%23.5%3.3%-0.7%48.1M-357.7M-4.6M0.565.84N/AN/A17,0409,569408,599315,856
2013-09-19$48.51$45.0018.3%6.1%20.6%49.2%23.1%3.1%0.5%42.9M-291.9M-4.4M1.383.42N/AN/A12,41617,102406,007313,984
2013-09-20$47.78$45.0018.7%6.3%21.3%52.4%24.1%3.6%0.2%25.9M-55.8M-4.2M0.702.98N/AN/A28,29419,800407,214324,056
2013-09-23$47.98$45.0018.4%6.2%20.9%50.0%21.0%3.6%-1.0%21.4M-175.4M-4.1M0.763.08N/AN/A15,99112,200350,607289,844
2013-09-24$47.27$45.0018.9%6.2%21.0%53.8%21.1%3.4%-0.5%14.0M-8.9M-4.1M0.473.17N/AN/A18,7528,828358,643294,708
2013-09-25$46.95$45.0018.8%6.2%21.2%52.8%21.3%3.3%-1.0%12.0M34.6M-4.1M0.653.20N/AN/A12,8528,411364,369295,791
2013-09-26$47.67$45.0018.8%6.3%21.6%53.0%21.3%3.3%-0.7%20.9M-114.4M-4.2M1.203.27N/AN/A12,40614,890368,852298,790
2013-09-27$47.00$45.0019.5%6.3%20.0%57.9%22.5%3.3%-0.6%4.4M42.9M-4.1M1.069.73N/AN/A15,35316,264370,992307,296
2013-09-30$46.68$45.0020.3%6.3%19.9%63.3%22.7%3.1%-1.3%9.6M89.1M-4.0M0.733.93N/AN/A13,97610,272359,859299,585