VSCO Options History — March 2022

In March 2022, VSCO traded between $42.89 and $55.97. ATM implied volatility averaged 65.6%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 19.3%. IV traded below realized volatility by 11.9% (HV 20d: 77.5%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.54.

Notable Days

  • 2022-03-02: Highest Volume — 7,020 contracts
  • 2022-03-07: Largest IV spike — 30.2% change
  • 2022-03-16: Highest IV Rank — 34.3%
  • 2022-03-07: Largest Expected Move — 26.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.31$42.89$55.97$50.74$51.55
Max Pain$50.91$45.00$55.00$55.00$55.00
ATM IV65.6%51.3%91.9%81.6%55.1%
Expected Move19.3%15.8%26.3%23.4%16.3%
HV 20d77.5%45.7%86.6%45.7%84.3%
HV 60d60.6%49.0%64.6%49.0%62.1%
IV Rank14.1%1.4%34.3%34.3%10.2%
IV Percentile30.5%1.5%67.5%67.5%26.3%
Term Structure-1.2%-15.1%4.5%-15.1%2.4%
VWIV68.7%57.2%91.7%80.0%57.2%
Skew 25d5.5%3.0%8.0%8.0%4.4%
Skew 10d11.6%6.1%14.4%13.9%6.1%
Call IV 25d62.5%50.2%79.0%79.0%54.2%
Put IV 25d68.0%56.4%87.0%87.0%58.6%
Bid-Ask Spread %41.1428.4352.4052.4048.69
Gamma HHI0.260.130.540.280.20
Net GEX367.6K01.5M803.7K25.4K
Net DEX-1.1M-10.6M12.1M-230.6K-106.6K
Net VEX10.7K038.9K30.7K2.1K
P/C Ratio1.540.213.650.281.31
Total Volume3,102.871,3977,0202,6491,859
Total OI19,375.82613,00327,69413,65613,429

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-03-01$50.74$55.0081.6%23.4%45.7%0.0%80.0%8.0%-15.1%803.7K-230.6K30.7K0.2852.40N/AN/A2,0645859,0034,653
2022-03-02$54.20$50.0084.4%24.2%50.4%0.0%86.0%5.3%-5.4%1.0M8.8M38.9K0.4343.57N/AN/A4,8982,12210,0304,723
2022-03-03$55.01$50.0060.8%17.4%50.3%0.0%60.2%6.3%0.3%1.5M12.1M38.3K0.4634.89N/AN/A3,3161,53013,2716,187
2022-03-04$50.21$50.0070.6%20.2%59.7%0.0%70.5%6.2%-3.1%1.0M-402.5K28.1K0.4244.92N/AN/A4,5851,91612,0955,738
2022-03-07$42.89$50.0091.9%26.3%79.4%0.0%91.7%6.8%-7.7%474.6K-10.6M12.5K1.1648.41N/AN/A1,9402,24413,5485,992
2022-03-08$44.62$50.0074.4%23.4%80.3%0.0%85.7%4.7%-4.2%667.6K-10.0M15.7K0.2142.60N/AN/A5,2481,10914,6527,180
2022-03-09$45.88$50.0072.8%22.6%78.3%0.0%78.6%5.2%-5.0%800.7K-8.9M15.3K1.4047.19N/AN/A7751,08419,0037,318
2022-03-10$47.01$50.0072.8%22.9%79.5%0.0%78.7%5.1%-4.3%911.9K-7.2M15.3K0.9032.47N/AN/A1,4941,34919,3097,212
2022-03-11$46.87$50.0071.5%22.7%78.5%0.0%78.4%5.6%-2.6%917.7K-7.8M13.2K1.8746.85N/AN/A6941,29520,0177,653
2022-03-14$47.42$55.0075.8%20.0%79.1%0.0%72.9%6.9%-6.2%53.3K-573.0K9.7K3.3431.80N/AN/A3921,31020,0327,662
2022-03-15$47.51$55.0070.0%19.1%79.1%0.0%71.7%5.5%-3.7%54.0K-563.9K9.5K3.6528.43N/AN/A3411,24420,0297,632
2022-03-16$51.44$55.0065.5%19.0%85.5%34.3%70.5%6.2%1.4%58.1K-181.2K10.0K1.4944.74N/AN/A8921,32820,0407,503
2022-03-17$52.09$0.0062.6%18.4%85.6%27.7%64.4%3.0%2.1%0001.1347.92N/AN/A1,8622,09619,8537,515
2022-03-18$51.16$45.0058.2%17.5%85.4%17.4%59.3%4.7%2.9%1.8K16.5K1903.0643.90N/AN/A3601,10118,3928,349
2022-03-21$50.70$50.0059.5%17.7%85.2%20.2%61.6%4.2%2.4%3.6K33.0K3643.1432.92N/AN/A3751,1779,4683,681
2022-03-22$51.82$50.0057.8%17.0%85.7%16.4%59.0%5.5%1.5%6.3K54.2K6033.1230.77N/AN/A3391,0589,5243,889
2022-03-23$49.82$50.0056.5%16.6%85.0%13.3%60.7%4.5%2.1%7.9K8547290.2237.59N/AN/A4,9021,0959,5634,006
2022-03-24$51.41$50.0055.8%16.8%86.0%11.7%59.3%4.9%2.9%10.0K-7299410.4032.37N/AN/A2,6041,0549,9534,091
2022-03-25$52.88$50.0051.3%16.0%86.6%1.4%57.5%6.8%4.5%11.1K25.5K9940.7037.10N/AN/A1,4771,0369,9654,100
2022-03-28$52.92$50.0052.7%15.9%83.9%4.6%59.4%4.9%2.8%12.3K43.4K1.0K0.9536.90N/AN/A1,1401,0788,9084,095
2022-03-29$55.97$50.0053.7%15.8%84.8%6.8%57.4%6.2%2.1%15.7K151.4K1.3K2.2951.10N/AN/A4561,0458,9654,189
2022-03-30$52.97$50.0053.1%15.9%84.1%5.5%59.0%5.0%2.5%17.6K85.2K1.4K3.5848.66N/AN/A3271,1709,0284,199
2022-03-31$51.55$55.0055.1%16.3%84.3%10.2%57.2%4.4%2.4%25.4K-106.6K2.1K1.3148.69N/AN/A8061,0539,0494,380