VSCO Options History — October 2021

In October 2021, VSCO traded between $49.83 and $56.01. ATM implied volatility averaged 64.8%. The 30-day expected move averaged 19.3%. IV traded above realized volatility by 24.9% (HV 20d: 40.0%). Max pain ranged from $45.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2021-10-11: Highest Volume — 6,492 contracts
  • 2021-10-11: Largest IV spike — 14.3% change
  • 2021-10-28: Largest Expected Move — 20.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.51$49.83$56.01$54.47$50.50
Max Pain$53.81$45.00$60.00$60.00$45.00
ATM IV64.8%53.9%71.9%56.5%71.0%
Expected Move19.3%16.2%20.6%16.2%20.4%
HV 20d40.0%32.1%44.0%32.1%43.3%
Term Structure-6.0%-10.9%9.3%9.3%-10.4%
VWIV68.2%57.5%72.5%57.5%72.5%
Skew 25d0.5%-2.3%2.1%-2.3%2.0%
Skew 10d1.0%-3.3%3.5%-3.3%3.5%
Call IV 25d67.9%59.2%71.3%59.2%70.5%
Put IV 25d68.5%56.8%72.9%56.8%72.5%
Bid-Ask Spread %32.6619.0250.4920.1950.49
Gamma HHI0.280.250.320.320.25
Net GEX309.1K105.7K696.4K696.4K527.8K
Net DEX1.5M-3.0M7.9M-656.6K4.6M
Net VEX15.9K8.6K25.6K16.1K22.0K
P/C Ratio0.530.011.780.450.12
Total Volume1,917.2381676,4921674,169
Total OI16,117.76212,91019,88313,72217,830

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$54.47$60.0056.5%16.2%0.0%0.0%57.5%-2.3%9.3%696.4K-656.6K16.1K0.4520.19N/AN/A115529,5024,220
2021-10-04$52.92$60.0059.9%19.2%0.0%0.0%67.8%-0.9%-3.7%105.7K-2.6M9.1K1.7821.20N/AN/A901609,7274,250
2021-10-05$52.26$60.0059.7%19.2%0.0%0.0%67.4%0.2%-5.8%108.2K-2.7M9.0K0.9422.81N/AN/A2662509,7674,275
2021-10-06$51.06$60.0058.0%19.2%32.1%0.0%67.3%-1.2%-4.9%110.7K-3.0M9.0K1.5425.09N/AN/A1061639,7774,400
2021-10-07$53.57$60.0057.3%19.0%39.1%0.0%67.5%-0.4%-4.5%116.4K-2.5M9.2K0.3026.59N/AN/A8462569,8384,455
2021-10-08$52.31$60.0053.9%19.0%38.3%0.0%66.6%-0.5%-4.2%117.6K-2.6M9.1K0.0226.93N/AN/A3,211699,8374,487
2021-10-11$50.50$60.0061.6%19.5%38.4%0.0%68.6%0.9%-5.3%116.9K-2.9M8.7K0.0125.22N/AN/A6,4365610,1254,477
2021-10-12$50.51$60.0064.1%19.7%37.5%0.0%69.4%0.0%-6.5%117.3K-2.9M8.6K0.3830.72N/AN/A1,53658313,1724,461
2021-10-13$49.83$55.0068.7%19.7%36.6%0.0%69.4%0.6%-6.7%143.1K-1.9M10.1K0.3231.03N/AN/A2879314,1734,482
2021-10-14$51.24$55.0065.8%18.9%38.5%0.0%66.5%-0.4%-5.3%178.8K-92.5K11.7K0.2937.46N/AN/A2,64276914,9234,880
2021-10-15$52.94$55.0064.8%18.6%41.2%0.0%65.8%2.1%-5.3%188.9K466.7K11.9K0.3041.01N/AN/A2,15964415,0044,879
2021-10-18$52.53$45.0067.5%19.3%40.6%0.0%68.4%1.1%-6.5%326.8K3.6M19.5K0.5838.31N/AN/A7814568,9094,001
2021-10-19$52.22$50.0067.8%19.4%38.8%0.0%67.7%1.3%-6.6%339.9K3.4M19.6K0.8141.18N/AN/A33827510,9794,145
2021-10-20$54.63$50.0067.3%19.3%42.5%0.0%69.5%1.4%-6.8%392.7K5.4M21.8K0.6730.96N/AN/A91461211,3164,681
2021-10-21$56.01$50.0067.4%19.3%41.5%0.0%68.2%1.6%-6.9%397.7K6.7M21.5K0.4340.30N/AN/A1,58868111,3944,689
2021-10-22$54.51$50.0067.7%19.4%41.7%0.0%67.6%0.9%-6.9%408.1K5.6M21.0K0.3044.28N/AN/A2,43372911,2014,630
2021-10-25$54.81$50.0070.2%20.1%41.0%0.0%71.2%1.2%-9.3%530.9K7.9M25.6K0.4638.63N/AN/A1,25257012,4764,745
2021-10-26$53.69$50.0069.5%19.9%41.4%0.0%71.0%1.4%-8.6%532.2K6.5M24.6K0.4435.91N/AN/A1,19753212,5344,740
2021-10-27$51.00$50.0071.2%20.4%44.0%0.0%70.9%0.6%-9.7%497.0K3.9M21.9K0.4538.54N/AN/A1,15051412,5644,741
2021-10-28$51.19$45.0071.9%20.6%43.3%0.0%72.2%1.5%-10.9%538.2K5.5M22.9K0.6119.02N/AN/A79748513,0134,774
2021-10-29$50.50$45.0071.0%20.4%43.3%0.0%72.5%2.0%-10.4%527.8K4.6M22.0K0.1250.49N/AN/A3,70946013,0344,796