VSCO Options History — November 2021

In November 2021, VSCO traded between $49.15 and $58.70. ATM implied volatility averaged 70.7%. The 30-day expected move averaged 19.1%. IV traded above realized volatility by 17.5% (HV 20d: 53.1%). 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 2 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2021-11-18: Highest Volume — 21,178 contracts
  • 2021-11-10: Largest IV drop — 27.4% change
  • 2021-11-03: Largest Expected Move — 23.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.83$49.15$58.70$49.98$54.25
Max Pain$53.81$45.00$60.00$45.00$55.00
ATM IV70.7%54.9%93.7%75.0%64.5%
Expected Move19.1%15.8%23.7%21.5%18.5%
HV 20d53.1%40.8%69.6%42.4%69.6%
HV 60d51.1%40.2%53.1%40.2%52.8%
Term Structure-5.6%-16.1%1.5%-13.3%-3.5%
VWIV67.4%56.5%83.9%75.5%66.0%
Skew 25d-0.8%-3.3%0.9%0.3%-1.6%
Skew 10d-1.6%-5.8%2.2%-0.9%-3.5%
Call IV 25d68.2%56.8%84.2%75.6%66.6%
Put IV 25d67.4%56.0%84.2%75.9%65.0%
Bid-Ask Spread %43.4622.3356.5741.9747.63
Gamma HHI0.280.250.330.250.28
Net GEX629.9K400.7K975.5K520.5K839.6K
Net DEX3.6M-461.3K11.9M4.2M2.3M
Net VEX30.6K18.8K40.7K20.2K25.3K
P/C Ratio0.710.242.230.630.91
Total Volume5,562.7141,02321,1781,3922,777
Total OI22,591.76216,47837,35116,47818,576

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$49.98$45.0075.0%21.5%42.4%0.0%75.5%0.3%-13.3%520.5K4.2M20.2K0.6341.97N/AN/A85453811,6654,813
2021-11-02$49.15$45.0076.6%22.0%42.6%0.0%75.5%0.9%-14.8%523.8K3.1M18.8K2.2349.56N/AN/A31770611,7904,960
2021-11-03$52.78$45.0082.7%23.7%49.3%0.0%83.9%-0.1%-16.1%569.4K7.6M21.9K0.2738.61N/AN/A2,16659011,8355,252
2021-11-04$51.93$60.0081.0%18.5%46.5%0.0%66.0%-0.6%-3.1%437.6K1.6M33.8K0.4945.76N/AN/A6,2793,10512,5455,294
2021-11-05$51.63$55.0082.4%18.6%45.8%0.0%64.9%0.7%-3.3%431.1K1.3M32.7K0.6247.39N/AN/A79048717,4877,786
2021-11-08$50.25$55.0091.0%19.2%45.1%0.0%67.1%-0.9%-5.4%400.7K268.2K29.4K0.4746.03N/AN/A1,40465917,7367,779
2021-11-09$50.65$55.0093.7%19.5%45.2%0.0%68.1%-0.9%-6.2%416.5K524.8K29.8K0.9848.99N/AN/A5,6165,52317,5837,900
2021-11-10$49.58$55.0068.0%19.5%45.6%0.0%68.3%-0.5%-6.7%413.2K-461.3K29.1K0.2652.36N/AN/A2,50964415,8988,448
2021-11-11$50.54$55.0068.2%19.6%44.9%0.0%68.2%0.8%-6.2%449.8K362.9K31.3K1.2147.23N/AN/A2,7353,31216,7248,580
2021-11-12$51.61$55.0068.6%19.7%44.0%0.0%68.7%0.6%-6.7%482.9K1.3M31.6K0.6450.06N/AN/A81052116,3938,389
2021-11-15$51.19$55.0070.8%20.3%44.0%0.0%71.6%-0.3%-7.9%473.9K1.1M30.3K0.9848.09N/AN/A1,3511,32616,2338,434
2021-11-16$51.46$55.0072.7%20.8%44.0%0.0%72.9%0.3%-8.4%495.7K1.6M30.7K1.0251.20N/AN/A2,4172,45916,6608,474
2021-11-17$50.64$55.0076.8%22.0%40.8%0.0%78.0%-1.4%-12.0%486.1K1.5M31.1K0.4522.33N/AN/A12,4305,59716,7268,230
2021-11-18$57.84$55.0059.3%17.0%62.9%0.0%60.3%-1.7%-1.8%861.6K11.9M40.7K0.2729.04N/AN/A16,6994,47926,49710,854
2021-11-19$55.27$55.0054.9%15.8%64.3%0.0%56.5%-0.8%1.5%876.5K5.5M37.5K0.2433.18N/AN/A11,7592,85523,94810,470
2021-11-22$58.70$55.0059.3%17.0%67.7%0.0%60.2%-1.6%-1.9%975.5K10.7M39.3K0.4930.32N/AN/A2,7621,36212,2925,195
2021-11-23$56.52$55.0058.6%16.8%68.8%0.0%60.3%-2.1%-0.3%925.0K7.5M37.7K0.8038.76N/AN/A1,4211,13612,7275,377
2021-11-24$55.52$55.0057.9%16.6%66.3%0.0%60.0%-3.3%0.9%881.4K5.2M33.1K0.7651.89N/AN/A1,28297712,4345,604
2021-11-26$53.87$55.0061.8%17.7%67.4%0.0%62.1%-2.5%-1.1%821.1K2.5M29.4K0.5356.57N/AN/A1,58983912,5385,762
2021-11-29$56.09$55.0060.0%17.2%68.4%0.0%61.2%-2.0%-1.9%944.7K5.3M28.3K0.7435.62N/AN/A99773812,7065,833
2021-11-30$54.25$55.0064.5%18.5%69.6%0.0%66.0%-1.6%-3.5%839.6K2.3M25.3K0.9147.63N/AN/A1,4511,32612,7315,845