VSCO Options History — September 2021

In September 2021, VSCO traded between $55.16 and $61.95. ATM implied volatility averaged 58.7%. The 30-day expected move averaged 16.8%. Max pain ranged from $60.00 to $65.00. Net GEX was positive for 12 of 12 trading days. Term structure was in contango for 12 of 12 days. Put/call ratio averaged 0.81.

Notable Days

  • 2021-09-29: Highest Volume — 6,633 contracts
  • 2021-09-20: Largest IV spike — 6.5% change
  • 2021-09-27: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.72$55.16$61.95$61.09$55.16
Max Pain$64.58$60.00$65.00$65.00$60.00
ATM IV58.7%56.7%61.0%59.3%58.0%
Expected Move16.8%16.2%17.5%17.0%16.6%
Term Structure6.8%3.9%8.2%3.9%7.7%
VWIV59.9%57.7%61.2%60.9%60.0%
Skew 25d-1.1%-1.8%-0.0%-1.6%-1.4%
Skew 10d-1.4%-5.0%1.6%-1.8%-1.8%
Call IV 25d60.2%58.8%61.9%61.5%60.3%
Put IV 25d59.2%57.4%61.4%59.9%58.9%
Bid-Ask Spread %45.5431.8455.3844.6044.15
Gamma HHI0.400.190.460.190.39
Net GEX775.2K195.9K1.1M195.9K645.9K
Net DEX4.8M-611.9K10.8M-611.9K-436.5K
Net VEX27.5K9.7K40.1K9.8K16.9K
P/C Ratio0.810.056.160.050.16
Total Volume1,932.251786,6335,5571,781
Total OI12,302.511,08416,51711,08412,483

Daily Data (12 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-15$61.09$65.0059.3%17.0%0.0%0.0%60.9%-1.6%3.9%195.9K-611.9K9.8K0.0544.60N/AN/A5,2882696,7044,380
2021-09-16$61.62$65.0059.6%17.1%0.0%0.0%59.5%-1.4%5.9%204.1K-502.3K9.7K0.0743.89N/AN/A1,6351196,7144,421
2021-09-17$61.44$65.0056.7%16.2%0.0%0.0%57.7%-1.7%7.7%782.3K7.7M35.6K0.3640.18N/AN/A73026011,9284,589
2021-09-20$59.84$65.0060.4%17.3%0.0%0.0%61.2%-0.5%5.9%896.4K7.9M37.5K0.5746.31N/AN/A2641518,9302,339
2021-09-21$61.41$65.0058.9%16.9%0.0%0.0%59.2%-0.0%7.0%1.0M9.9M40.1K0.1047.43N/AN/A162169,0312,378
2021-09-22$59.88$65.0057.9%16.6%0.0%0.0%59.1%-0.6%7.5%931.8K7.1M34.9K1.1255.38N/AN/A2472769,0622,389
2021-09-23$61.95$65.0058.4%16.7%0.0%0.0%60.8%-0.3%7.1%1.1M10.8M38.6K0.0837.35N/AN/A3,2942799,1562,396
2021-09-24$60.44$65.0057.6%16.5%0.0%0.0%58.3%-1.1%7.9%995.5K7.7M33.5K6.1652.82N/AN/A754629,2073,072
2021-09-27$58.83$65.0061.0%17.5%0.0%0.0%61.1%-1.0%5.7%964.9K4.5M29.1K0.7249.31N/AN/A30121810,7583,293
2021-09-28$58.26$65.0059.4%17.0%0.0%0.0%60.6%-1.2%7.1%848.5K3.1M24.0K0.2731.84N/AN/A5721558,2963,728
2021-09-29$56.69$65.0057.6%16.5%0.0%0.0%59.7%-1.8%8.2%744.7K978.2K20.2K0.0953.24N/AN/A6,0985358,4813,895
2021-09-30$55.16$60.0058.0%16.6%0.0%0.0%60.0%-1.4%7.7%645.9K-436.5K16.9K0.1644.15N/AN/A1,5312508,6023,881