VSCO Options History — January 2022

In January 2022, VSCO traded between $51.95 and $57.43. ATM implied volatility averaged 54.1%. The 30-day expected move averaged 15.5%. IV traded below realized volatility by 2.6% (HV 20d: 56.6%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2022-01-18: Highest Volume — 4,981 contracts
  • 2022-01-21: Largest IV spike — 9.5% change
  • 2022-01-21: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.25$51.95$57.43$56.24$55.54
Max Pain$50.00$45.00$55.00$45.00$50.00
ATM IV54.1%51.7%59.4%51.7%54.7%
Expected Move15.5%14.8%17.0%14.8%15.7%
HV 20d56.6%45.9%61.7%55.7%46.5%
HV 60d56.7%55.1%57.8%55.6%55.7%
Term Structure5.0%-1.7%8.2%1.0%6.4%
VWIV54.4%51.0%57.4%53.6%52.6%
Skew 25d1.7%-0.7%3.4%1.3%3.2%
Skew 10d4.6%1.5%7.2%4.2%7.2%
Call IV 25d54.3%52.6%57.9%52.6%53.3%
Put IV 25d56.0%53.8%58.8%53.8%56.5%
Bid-Ask Spread %30.4214.0148.6322.3346.91
Gamma HHI0.430.260.600.260.44
Net GEX512.3K103.1K818.7K818.7K707.1K
Net DEX12.6M674.7K21.9M19.7M16.5M
Net VEX19.6K6.1K28.2K21.9K19.2K
P/C Ratio0.730.291.371.080.37
Total Volume2,165.851,2344,9811,5031,497
Total OI18,04215,87823,76416,20517,221

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$56.24$45.0051.7%14.8%55.7%0.0%53.6%1.3%1.0%818.7K19.7M21.9K1.0822.33N/AN/A72378011,5414,664
2022-01-04$57.43$45.0052.4%15.0%55.7%0.0%53.0%1.5%0.7%721.2K21.9M18.4K0.7722.25N/AN/A87867411,4314,656
2022-01-05$56.52$45.0053.0%15.2%54.7%0.0%53.4%1.8%-0.7%745.7K19.8M18.1K1.0328.51N/AN/A67869611,2024,676
2022-01-06$57.24$55.0052.1%15.4%54.8%0.0%53.7%1.0%5.1%103.1K1.6M6.7K1.1932.90N/AN/A57568311,1944,707
2022-01-07$57.35$55.0052.0%15.3%51.2%0.0%53.2%1.6%5.5%116.0K1.7M7.2K1.3725.99N/AN/A65690111,3574,792
2022-01-10$52.90$55.0056.2%16.0%58.8%0.0%56.9%2.4%5.0%103.8K674.7K6.1K0.2926.60N/AN/A2,97385011,3724,806
2022-01-11$55.47$50.0054.5%15.7%60.8%0.0%54.7%1.2%5.4%325.1K10.0M18.9K0.4816.76N/AN/A1,25760713,5184,872
2022-01-12$56.33$50.0053.2%15.3%60.9%0.0%56.4%1.6%6.2%323.2K10.6M18.1K0.7436.31N/AN/A1,4061,04413,2584,887
2022-01-13$56.76$50.0053.0%15.2%60.1%0.0%51.0%1.2%6.8%337.5K11.9M17.9K0.8314.01N/AN/A1,5151,26413,4555,342
2022-01-14$56.18$50.0053.1%15.2%60.3%0.0%52.5%2.2%6.7%374.3K11.0M20.0K0.6020.33N/AN/A1,57294613,2695,499
2022-01-18$54.47$50.0054.9%15.7%61.7%0.0%56.2%1.5%5.3%401.6K9.8M18.9K0.6521.03N/AN/A3,0131,96813,3725,497
2022-01-19$53.67$50.0054.7%15.7%58.8%0.0%55.9%1.1%5.3%423.8K8.9M19.8K0.2931.78N/AN/A2,54774314,3266,886
2022-01-20$51.95$50.0054.2%15.5%60.0%0.0%54.3%1.1%5.8%571.0K10.7M24.9K0.2945.18N/AN/A2,43671815,6416,993
2022-01-21$52.51$50.0059.4%17.0%60.1%0.0%57.4%-0.7%-1.7%640.6K14.0M28.2K1.2942.72N/AN/A7821,00816,5987,166
2022-01-24$54.09$50.0055.2%15.8%60.2%0.0%56.9%3.4%6.4%717.2K15.9M28.1K0.9632.09N/AN/A95491911,6975,460
2022-01-25$54.58$50.0056.1%16.1%59.8%0.0%56.6%3.2%6.3%694.9K16.5M28.2K1.2344.46N/AN/A55468011,8305,519
2022-01-26$53.95$50.0054.0%15.5%60.1%0.0%55.8%1.1%7.2%771.9K16.2M27.0K0.4548.63N/AN/A1,14151812,0745,536
2022-01-27$56.57$50.0053.8%15.4%45.9%0.0%52.3%2.4%8.2%655.0K19.2M22.1K0.4220.12N/AN/A1,26552611,9615,468
2022-01-28$55.30$50.0053.0%15.2%46.5%0.0%52.2%1.1%8.0%694.5K15.9M22.0K0.3629.41N/AN/A1,01135911,6385,459
2022-01-31$55.54$50.0054.7%15.7%46.5%0.0%52.6%3.2%6.4%707.1K16.5M19.2K0.3746.91N/AN/A1,09340411,7355,486