VSCO Options History — December 2021

In December 2021, VSCO traded between $46.53 and $56.00. ATM implied volatility averaged 56.8%. The 30-day expected move averaged 16.2%. IV traded below realized volatility by 1.1% (HV 20d: 58.0%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.65.

Notable Days

  • 2021-12-29: Highest Volume — 7,159 contracts
  • 2021-12-13: Largest IV spike — 14.1% change
  • 2021-12-01: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.15$46.53$56.00$52.86$56.00
Max Pain$49.77$45.00$55.00$55.00$45.00
ATM IV56.8%50.7%64.0%62.7%50.7%
Expected Move16.2%14.5%18.0%18.0%14.5%
HV 20d58.0%37.8%70.0%70.0%56.1%
HV 60d52.3%50.7%56.7%52.5%56.4%
Term Structure1.4%-2.4%4.4%-2.4%1.6%
VWIV57.4%51.6%66.0%64.5%51.6%
Skew 25d0.4%-1.3%1.7%-1.2%0.3%
Skew 10d1.6%-3.4%4.3%-3.4%2.3%
Call IV 25d57.6%52.2%65.0%65.0%52.2%
Put IV 25d58.0%52.5%65.0%63.7%52.5%
Bid-Ask Spread %36.4112.5255.4951.7135.79
Gamma HHI0.340.240.390.240.27
Net GEX570.8K308.0K989.6K909.3K807.3K
Net DEX5.0M-129.8K19.5M2.1M19.5M
Net VEX24.8K22.8K27.0K25.8K24.6K
P/C Ratio0.650.101.690.641.34
Total Volume2,072.51,0397,1591,5831,811
Total OI17,523.45511,52121,32919,81016,143

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$52.86$55.0062.7%18.0%70.0%0.0%64.5%-1.2%-2.4%909.3K2.1M25.8K0.6451.71N/AN/A96362013,2896,521
2021-12-02$53.88$55.0059.9%17.2%65.6%0.0%61.6%-1.3%0.0%989.6K3.4M25.8K0.7652.54N/AN/A76958813,4466,536
2021-12-03$52.97$55.0062.5%17.9%65.7%0.0%66.0%1.4%-0.8%936.2K1.5M23.6K0.5355.49N/AN/A1,08757613,4296,539
2021-12-06$52.27$50.0064.0%17.4%65.8%0.0%61.3%1.7%2.1%308.0K4.2M23.8K0.6931.71N/AN/A84358413,5486,576
2021-12-07$54.27$50.0060.8%16.8%66.2%0.0%60.2%0.4%3.0%319.5K5.6M23.6K0.4130.91N/AN/A1,45560013,5696,576
2021-12-08$54.35$50.0058.6%16.5%66.2%0.0%58.8%0.3%3.1%322.5K5.6M22.8K0.4531.05N/AN/A1,37261713,6086,563
2021-12-09$51.69$50.0058.0%16.5%68.4%0.0%58.2%0.2%3.2%349.4K3.9M23.9K0.4438.79N/AN/A1,29657113,7066,605
2021-12-10$50.45$50.0051.4%16.1%68.7%0.0%56.4%0.3%4.1%359.3K3.0M23.6K0.5938.30N/AN/A1,07663413,7376,628
2021-12-13$50.00$50.0058.6%16.2%68.3%0.0%57.6%0.1%4.4%389.9K3.0M23.6K0.9543.48N/AN/A59857113,9956,680
2021-12-14$50.17$50.0061.1%16.2%68.3%0.0%57.5%0.2%4.3%396.9K3.2M23.6K1.6931.39N/AN/A7821,32314,0346,536
2021-12-15$49.16$50.0056.2%16.1%68.6%0.0%56.5%-0.2%4.1%441.3K2.2M25.4K0.6644.47N/AN/A99265914,1536,825
2021-12-16$49.09$50.0055.8%16.0%68.4%0.0%55.1%0.2%-0.7%474.6K2.6M26.2K0.6934.08N/AN/A84457914,4896,822
2021-12-17$48.88$50.0054.6%15.7%46.4%0.0%55.5%0.9%-0.0%489.2K2.2M26.0K0.8545.82N/AN/A89976414,4706,859
2021-12-20$46.53$50.0058.3%16.7%46.8%0.0%58.6%0.3%0.0%470.7K-129.8K24.0K0.4539.14N/AN/A1,0044517,8683,653
2021-12-21$47.70$50.0056.6%16.2%41.3%0.0%57.2%0.5%0.4%525.7K1.1M25.5K0.3946.98N/AN/A1,0784158,2483,701
2021-12-22$47.90$50.0054.8%15.7%40.3%0.0%55.7%0.8%0.5%569.2K1.4M26.1K0.5637.25N/AN/A7274108,5803,766
2021-12-23$49.18$50.0052.8%15.2%41.9%0.0%53.5%1.2%1.4%621.1K3.0M26.4K0.4820.54N/AN/A8243948,7013,771
2021-12-27$48.45$50.0053.9%15.5%41.1%0.0%54.3%1.6%-0.2%649.5K2.1M24.2K0.1036.65N/AN/A4,1584298,8433,782
2021-12-28$48.85$45.0052.4%15.0%37.8%0.0%53.8%1.3%1.8%757.4K6.1M27.0K0.6414.61N/AN/A6334069,6673,817
2021-12-29$55.00$45.0055.6%15.9%57.2%0.0%56.6%-0.3%-0.4%660.7K16.3M23.6K0.2912.52N/AN/A5,5571,6029,8193,830
2021-12-30$55.70$45.0051.0%14.6%56.4%0.0%53.0%-0.9%0.5%810.2K19.4M25.3K0.5727.81N/AN/A2,5661,46811,1884,400
2021-12-31$56.00$45.0050.7%14.5%56.1%0.0%51.6%0.3%1.6%807.3K19.5M24.6K1.3435.79N/AN/A7731,03811,5494,594