VZ Options History — June 2020 In June 2020, VZ traded between $53.10 and $57.95. ATM implied volatility averaged 23.0%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 4.5% (HV 20d: 18.5%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.50.
Notable Days 2020-06-24 : Highest Volume — 61,145 contracts2020-06-11 : Largest IV spike — 21.0% change2020-06-26 : Highest IV Rank — 25.7%2020-06-26 : Largest Expected Move — 7.4%Monthly Statistics Metric Avg Min Max Open Close Price $56.11 $53.10 $57.95 $55.88 $55.02 Max Pain $55.32 $55.00 $57.50 $57.50 $55.00 ATM IV 23.0% 18.8% 26.4% 21.1% 23.7% Expected Move 6.4% 5.5% 7.4% 6.1% 6.1% HV 20d 18.5% 14.0% 22.3% 22.0% 20.0% HV 60d 27.4% 22.2% 32.9% 32.8% 22.2% IV Rank 19.5% 11.7% 25.7% 16.1% 20.7% IV Percentile 78.3% 59.9% 85.3% 76.2% 78.6% Term Structure 0.2% -2.9% 2.7% 0.7% -1.0% VWIV 22.8% 19.4% 27.1% 22.4% 21.9% Skew 25d 4.6% 3.8% 5.4% 4.3% 4.1% Skew 10d 8.5% 5.6% 9.9% 8.9% 8.3% Call IV 25d 21.3% 17.3% 24.9% 19.7% 22.2% Put IV 25d 25.9% 21.1% 29.5% 24.1% 26.3% Bid-Ask Spread % 4.57 3.30 8.21 3.49 4.88 Gamma HHI 0.11 0.08 0.16 0.10 0.09 Net GEX 19.8M -18.8M 49.7M 17.2M 10.7M Net DEX -118.8M -474.5M 257.1M -56.7M -66.6M Net VEX -4.1M -4.4M -3.7M -4.3M -3.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.50 0.26 0.90 0.56 0.51 Total Volume 35,576.955 16,733 61,145 37,839 24,513 Total OI 646,230.136 507,861 708,257 648,959 608,227
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-06-01 $55.88 $57.50 21.1% 6.1% 22.0% 16.1% 22.4% 4.3% 0.7% 17.2M -56.7M -4.3M 0.56 3.49 N/A N/A 24,305 13,534 332,479 316,480 2020-06-02 $56.16 $57.50 21.0% 5.9% 21.8% 15.8% 20.1% 4.2% 1.1% 20.4M -92.7M -4.3M 0.32 3.30 N/A N/A 19,130 6,094 338,206 324,218 2020-06-03 $56.92 $57.00 19.8% 5.5% 22.3% 13.7% 20.8% 4.5% 0.8% 35.6M -278.6M -4.2M 0.48 3.65 N/A N/A 24,151 11,481 345,469 325,767 2020-06-04 $56.93 $55.00 20.6% 5.8% 21.4% 15.1% 20.4% 4.3% 1.0% 36.0M -268.4M -4.2M 0.79 4.88 N/A N/A 15,960 12,541 346,542 328,209 2020-06-05 $57.65 $55.00 18.8% 5.6% 21.8% 11.7% 19.4% 3.8% 1.3% 44.2M -443.0M -4.0M 0.38 5.38 N/A N/A 39,342 14,973 347,622 331,762 2020-06-08 $57.84 $55.00 20.1% 5.7% 20.2% 14.2% 20.3% 4.0% -0.4% 44.6M -428.2M -4.0M 0.72 3.70 N/A N/A 15,502 11,177 336,971 325,028 2020-06-09 $57.82 $55.00 21.4% 6.1% 20.1% 16.6% 24.1% 4.8% -0.5% 40.5M -394.0M -4.1M 0.30 4.44 N/A N/A 25,785 7,672 339,720 330,393 2020-06-10 $57.95 $55.00 21.2% 5.9% 18.8% 16.1% 20.8% 3.9% -0.2% 49.7M -474.5M -4.1M 0.38 3.38 N/A N/A 23,160 8,810 350,049 332,138 2020-06-11 $56.58 $55.00 25.6% 7.0% 19.7% 24.2% 27.1% 4.9% -1.0% 22.6M -133.0M -4.4M 0.70 5.69 N/A N/A 21,675 15,076 352,942 335,521 2020-06-12 $56.42 $55.00 26.4% 7.0% 19.8% 25.6% 25.4% 5.4% -2.9% 18.5M -96.9M -4.4M 0.71 5.41 N/A N/A 18,127 12,871 355,776 340,614 2020-06-15 $55.93 $55.00 25.3% 7.2% 19.9% 23.6% 23.7% 5.2% 0.0% 10.1M -838.5K -4.1M 0.42 8.21 N/A N/A 17,917 7,545 346,456 335,389 2020-06-16 $56.83 $55.00 23.1% 6.6% 17.9% 19.6% 22.7% 5.4% 1.5% 28.9M -177.2M -4.0M 0.65 4.16 N/A N/A 22,923 14,996 350,808 336,450 2020-06-17 $56.61 $55.00 23.2% 6.6% 14.2% 19.7% 23.3% 5.2% 1.0% 27.9M -120.7M -4.1M 0.32 3.91 N/A N/A 12,665 4,068 355,636 338,041 2020-06-18 $56.60 $55.00 22.5% 6.4% 14.1% 18.6% 22.2% 5.3% 1.9% 26.4M -100.0M -3.9M 0.26 5.35 N/A N/A 22,714 5,809 358,793 339,433 2020-06-19 $56.40 $55.00 22.6% 6.3% 14.0% 18.7% 23.6% 5.2% 2.7% 13.0M -62.2M -4.0M 0.45 5.19 N/A N/A 18,293 8,164 366,313 341,944 2020-06-22 $55.73 $55.00 23.6% 6.4% 14.9% 20.5% 22.3% 4.6% -0.1% 8.3M -31.8M -3.7M 0.46 3.95 N/A N/A 32,597 15,028 252,807 255,054 2020-06-23 $55.23 $55.00 23.7% 6.5% 15.1% 20.7% 23.1% 4.2% -0.3% 5.0M 19.5M -3.8M 0.90 4.17 N/A N/A 21,057 18,943 277,045 265,541 2020-06-24 $54.14 $55.00 25.7% 7.0% 16.6% 24.3% 24.8% 4.2% 0.0% -6.4M 159.0M -3.9M 0.62 4.68 N/A N/A 37,781 23,364 285,574 277,807 2020-06-25 $54.18 $55.00 25.4% 6.9% 16.0% 23.9% 24.9% 4.8% -0.0% -2.7M 138.5M -3.9M 0.31 4.68 N/A N/A 33,620 10,532 302,804 284,786 2020-06-26 $53.10 $55.00 26.4% 7.4% 17.2% 25.7% 26.0% 4.6% 0.1% -18.8M 257.1M -4.0M 0.53 4.26 N/A N/A 29,730 15,695 316,649 289,817 2020-06-29 $54.43 $55.00 24.9% 6.8% 19.7% 22.9% 22.9% 4.3% -0.2% 2.9M 37.0M -4.0M 0.32 3.87 N/A N/A 32,843 10,530 310,128 285,655 2020-06-30 $55.02 $55.00 23.7% 6.1% 20.0% 20.7% 21.9% 4.1% -1.0% 10.7M -66.6M -3.9M 0.51 4.88 N/A N/A 16,212 8,301 316,549 291,678
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