VZ Options History — September 2023

In September 2023, VZ traded between $32.41 and $34.92. ATM implied volatility averaged 21.7%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 5.4% (HV 20d: 16.4%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.62.

Notable Days

  • 2023-09-15: Highest Volume — 63,361 contracts
  • 2023-09-05: Largest IV spike — 19.2% change
  • 2023-09-27: Highest IV Rank — 55.7%
  • 2023-09-27: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.55$32.41$34.92$34.92$32.42
Max Pain$33.95$33.00$34.00$33.00$34.00
ATM IV21.7%17.1%26.6%17.1%24.4%
Expected Move5.7%4.2%6.6%4.2%5.7%
HV 20d16.4%11.9%17.8%14.5%11.9%
HV 60d24.9%24.5%25.3%24.9%24.6%
IV Rank30.1%5.7%55.7%5.7%44.2%
IV Percentile41.8%2.8%88.1%2.8%76.6%
Term Structure0.1%-2.3%4.2%2.8%-1.0%
VWIV19.8%15.1%23.1%15.1%20.3%
Skew 25d2.7%0.8%3.8%2.0%1.8%
Skew 10d3.4%2.1%4.9%4.4%2.1%
Call IV 25d19.8%15.2%25.2%15.2%24.0%
Put IV 25d22.6%17.2%28.1%17.2%25.9%
Bid-Ask Spread %2.842.077.902.282.34
Gamma HHI0.140.110.320.320.11
Net GEX6.3M-10.5M45.5M45.5M-10.5M
Net DEX145.0M-307.6M468.5M-307.6M468.5M
Net VEX-4.0M-4.5M-3.7M-4.5M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.201.020.410.62
Total Volume46,281.827,19363,36141,47751,796
Total OI1,061,603.25951,4361,143,3111,067,8601,108,063

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$34.92$33.0017.1%4.2%14.5%5.7%15.1%2.0%2.8%45.5M-307.6M-4.5M0.412.28N/AN/A29,32412,153638,046429,814
2023-09-05$34.42$34.0020.4%5.6%15.8%23.1%19.3%0.8%-2.3%22.0M-110.7M-4.2M0.573.01N/AN/A22,48212,896617,187418,386
2023-09-06$34.27$34.0021.9%5.8%16.0%31.3%19.7%2.3%-1.8%18.6M-61.8M-4.3M0.632.60N/AN/A16,65110,542625,733425,122
2023-09-07$33.75$34.0022.1%5.8%17.2%32.4%20.2%2.3%-1.3%7.0M88.4M-4.0M0.422.27N/AN/A38,42416,279630,071428,252
2023-09-08$33.48$34.0022.8%6.1%17.3%35.7%20.6%2.9%-1.9%2.7M151.5M-4.0M0.747.90N/AN/A29,84322,098648,609437,413
2023-09-11$33.84$34.0021.2%5.7%17.1%27.3%19.1%3.6%-0.7%7.7M35.7M-4.0M0.492.43N/AN/A23,23211,414636,679437,470
2023-09-12$33.95$34.0021.0%5.7%17.1%26.2%20.5%3.6%-0.9%12.1M-8.3M-4.1M0.862.56N/AN/A17,35414,911645,522441,550
2023-09-13$33.81$34.0020.6%5.5%16.8%24.2%18.6%3.3%-1.3%5.1M42.8M-4.0M0.862.38N/AN/A28,97224,958653,232451,286
2023-09-14$34.06$34.0019.8%5.4%17.0%19.9%19.5%3.8%-0.9%13.4M-60.2M-4.0M0.682.92N/AN/A26,48317,930663,351458,682
2023-09-15$33.91$34.0019.6%5.4%17.1%19.1%19.0%3.0%-1.3%6.6M5.4M-4.0M0.932.07N/AN/A32,90130,460673,917469,394
2023-09-18$33.61$34.0019.6%5.5%17.4%19.1%18.1%3.2%2.5%1.1M214.1M-3.9M0.592.40N/AN/A29,39217,222554,967396,469
2023-09-19$33.39$34.0019.9%5.7%17.4%20.7%18.5%2.5%3.7%-1.2M261.6M-3.9M0.203.54N/AN/A52,35410,705569,802404,895
2023-09-20$33.66$34.0020.0%5.7%17.5%20.9%18.1%3.4%2.3%10.6M156.3M-4.1M0.262.42N/AN/A49,17812,629612,494411,746
2023-09-21$33.33$34.0021.3%6.0%17.8%28.0%20.7%2.8%3.8%3.5M236.4M-4.1M0.562.48N/AN/A24,26313,630619,425416,387
2023-09-22$33.30$34.0021.5%5.8%17.7%28.8%20.3%2.9%4.2%932.6K261.7M-4.0M0.432.61N/AN/A37,35516,014628,392422,435
2023-09-25$33.16$34.0023.8%6.2%17.8%41.3%21.8%2.6%-0.8%1.9M273.4M-4.0M1.022.43N/AN/A23,59223,952617,383416,058
2023-09-26$32.94$34.0025.0%6.5%17.8%47.7%22.4%2.8%-0.7%-2.3M337.3M-4.0M0.562.47N/AN/A18,14010,243629,233433,821
2023-09-27$32.41$34.0026.6%6.6%12.9%55.7%23.1%2.9%-1.0%-8.1M463.9M-3.8M0.732.72N/AN/A32,45623,681634,351437,699
2023-09-28$32.47$34.0025.7%6.2%13.0%51.4%21.9%2.3%-0.8%-10.0M451.8M-3.8M0.753.01N/AN/A22,68917,038645,330443,399
2023-09-29$32.42$34.0024.4%5.7%11.9%44.2%20.3%1.8%-1.0%-10.5M468.5M-3.7M0.622.34N/AN/A32,03119,765653,308454,755