VZ Options History — October 2020 In October 2020, VZ traded between $56.52 and $59.68. ATM implied volatility averaged 20.3%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 8.9% (HV 20d: 11.4%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.45.
Notable Days 2020-10-13 : Highest Volume — 171,035 contracts2020-10-28 : Largest IV spike — 17.3% change2020-10-28 : Highest IV Rank — 18.5%2020-10-28 : Largest Expected Move — 6.9%Monthly Statistics Metric Avg Min Max Open Close Price $58.22 $56.52 $59.68 $59.32 $56.69 Max Pain $58.14 $57.50 $60.00 $57.50 $57.50 ATM IV 20.3% 17.8% 22.5% 20.0% 21.9% Expected Move 5.8% 4.9% 6.9% 5.1% 6.6% HV 20d 11.4% 10.1% 12.8% 11.3% 12.8% HV 60d 11.8% 10.9% 13.4% 13.4% 12.2% IV Rank 14.5% 10.0% 18.5% 14.0% 17.4% IV Percentile 57.7% 40.9% 71.4% 55.2% 68.7% Term Structure -0.2% -1.7% 0.8% 0.8% -0.3% VWIV 20.1% 16.6% 24.9% 17.4% 24.5% Skew 25d 2.8% 1.2% 4.7% 2.0% 4.0% Skew 10d 6.3% 2.2% 20.7% 2.9% 10.4% Call IV 25d 19.3% 17.1% 21.4% 19.2% 20.4% Put IV 25d 22.2% 19.8% 26.1% 21.2% 24.5% Bid-Ask Spread % 3.27 2.41 5.16 4.29 3.03 Gamma HHI 0.20 0.13 0.31 0.25 0.17 Net GEX 29.4M 10.9M 55.1M 36.8M 18.9M Net DEX -232.1M -506.5M -9.3M -433.8M -9.3M Net VEX -3.8M -4.0M -3.5M -3.6M -4.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.45 0.06 1.07 0.40 1.05 Total Volume 45,117.227 15,897 171,035 19,448 24,294 Total OI 609,932.955 550,638 666,551 600,666 615,291
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 2020-10-01 $59.32 $57.50 20.0% 5.1% 11.3% 14.0% 17.4% 2.0% 0.8% 36.8M -433.8M -3.6M 0.40 4.29 N/A N/A 13,874 5,574 346,929 253,737 2020-10-02 $59.34 $57.50 19.9% 4.9% 11.1% 13.7% 16.6% 1.7% 0.8% 37.3M -443.3M -3.6M 0.68 5.16 N/A N/A 10,673 7,223 350,786 256,877 2020-10-05 $59.59 $57.50 20.6% 5.8% 11.2% 15.1% 20.5% 1.5% -0.7% 43.2M -483.9M -3.5M 0.49 3.07 N/A N/A 16,684 8,215 340,033 246,619 2020-10-06 $59.42 $57.50 20.9% 5.8% 11.0% 15.7% 20.9% 3.6% -0.4% 39.2M -438.7M -3.6M 0.34 3.91 N/A N/A 22,210 7,484 347,965 250,167 2020-10-07 $59.68 $57.50 19.3% 5.4% 11.1% 12.6% 19.2% 3.0% 0.2% 49.9M -506.5M -3.5M 0.06 3.46 N/A N/A 116,324 6,850 360,615 254,413 2020-10-08 $59.05 $57.50 20.5% 5.6% 11.1% 15.0% 19.8% 3.6% -0.2% 29.0M -258.4M -3.9M 0.48 2.51 N/A N/A 22,759 11,012 341,116 258,081 2020-10-09 $59.34 $57.50 19.2% 5.4% 11.2% 12.5% 19.3% 4.5% -0.6% 43.4M -325.7M -3.9M 0.58 4.72 N/A N/A 12,802 7,429 349,145 262,576 2020-10-12 $59.55 $57.50 19.1% 5.4% 10.4% 12.4% 18.6% 2.8% -0.4% 55.1M -377.0M -3.9M 0.58 3.28 N/A N/A 22,641 13,190 339,241 252,263 2020-10-13 $59.45 $60.00 21.2% 5.7% 10.3% 16.2% 20.2% 1.2% -1.7% 51.2M -366.6M -4.0M 0.11 3.23 N/A N/A 153,856 17,179 344,580 254,846 2020-10-14 $58.42 $60.00 20.8% 5.9% 11.8% 15.5% 19.9% 1.7% 0.1% 25.9M -212.0M -4.0M 0.19 2.41 N/A N/A 42,598 8,003 387,222 265,373 2020-10-15 $58.01 $60.00 20.9% 5.9% 12.0% 15.7% 20.5% 2.2% -0.4% 10.9M -134.3M -3.9M 0.43 2.53 N/A N/A 26,424 11,339 390,901 267,903 2020-10-16 $58.05 $60.00 20.6% 5.9% 12.0% 15.1% 19.8% 2.3% -0.3% 20.4M -169.5M -3.9M 0.30 2.43 N/A N/A 26,633 7,865 395,411 271,140 2020-10-19 $57.23 $60.00 22.1% 6.3% 11.8% 17.8% 21.2% 3.0% -1.0% 16.2M -71.0M -3.8M 0.32 3.05 N/A N/A 52,993 16,895 322,194 228,444 2020-10-20 $57.17 $58.00 21.6% 6.2% 11.2% 16.9% 22.1% 2.1% -0.8% 21.1M -101.6M -4.0M 0.58 3.64 N/A N/A 44,484 25,784 349,767 238,775 2020-10-21 $56.78 $58.00 19.0% 5.4% 10.1% 12.1% 19.0% 2.7% -0.3% 11.0M -14.9M -3.8M 0.25 3.00 N/A N/A 56,420 14,008 367,856 250,679 2020-10-22 $57.48 $58.00 18.2% 5.2% 11.1% 10.7% 18.1% 3.0% 0.1% 23.6M -129.0M -3.9M 0.26 3.04 N/A N/A 26,591 6,902 377,011 255,134 2020-10-23 $57.83 $57.50 17.8% 5.1% 11.4% 10.0% 18.1% 2.7% -0.3% 35.1M -197.3M -3.9M 0.45 2.82 N/A N/A 16,486 7,446 377,289 257,011 2020-10-26 $57.59 $57.50 19.5% 5.8% 11.3% 13.1% 20.4% 3.1% 0.2% 23.4M -172.5M -3.9M 0.50 2.71 N/A N/A 18,381 9,170 346,519 237,684 2020-10-27 $57.40 $57.50 19.1% 5.7% 11.3% 12.4% 19.4% 3.1% -0.2% 21.4M -153.2M -3.9M 0.40 3.00 N/A N/A 11,343 4,554 351,884 242,082 2020-10-28 $56.52 $57.50 22.5% 6.9% 12.3% 18.5% 24.9% 4.7% 0.7% 13.9M -24.4M -3.9M 1.07 3.37 N/A N/A 16,840 18,075 357,136 243,979 2020-10-29 $56.98 $57.50 21.2% 6.5% 12.8% 16.1% 22.7% 4.0% 0.6% 20.1M -83.7M -3.9M 0.48 3.38 N/A N/A 15,551 7,521 360,476 251,375 2020-10-30 $56.69 $57.50 21.9% 6.6% 12.8% 17.4% 24.5% 4.0% -0.3% 18.9M -9.3M -4.0M 1.05 3.03 N/A N/A 11,870 12,424 361,887 253,404
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