VSCO Options History — May 2022

In May 2022, VSCO traded between $40.45 and $50.63. ATM implied volatility averaged 80.9%, placing in the 66.4% IV rank vs the trailing year. The 30-day expected move averaged 23.2%. IV traded above realized volatility by 24.2% (HV 20d: 56.7%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.69.

Notable Days

  • 2022-05-31: Highest Volume — 21,859 contracts
  • 2022-05-09: Largest IV spike — 33.7% change
  • 2022-05-24: Highest IV Rank — 100.0%
  • 2022-05-31: Largest Expected Move — 31.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.22$40.45$50.63$49.06$41.23
Max Pain$47.38$45.00$50.00$45.00$45.00
ATM IV80.9%63.6%110.7%68.8%110.7%
Expected Move23.2%19.3%31.7%19.7%31.7%
HV 20d56.7%51.0%66.4%58.9%64.9%
HV 60d66.2%64.3%69.1%65.3%67.0%
IV Rank66.4%29.8%100.0%42.0%100.0%
IV Percentile90.6%64.2%100.0%79.7%100.0%
Term Structure-10.3%-25.4%1.0%1.0%-25.4%
VWIV80.9%69.3%110.1%70.5%110.1%
Skew 25d10.5%6.1%15.0%8.4%14.6%
Skew 10d20.2%11.0%32.5%18.5%28.2%
Call IV 25d77.1%62.8%103.1%67.8%103.1%
Put IV 25d87.6%74.2%117.8%76.2%117.8%
Bid-Ask Spread %50.8531.9466.8360.4331.94
Gamma HHI0.250.180.360.320.25
Net GEX540.1K194.8K1.2M637.9K1.1M
Net DEX3.5M-2.8M13.0M11.3M2.1M
Net VEX30.3K15.7K63.3K22.8K55.5K
P/C Ratio1.690.144.851.630.83
Total Volume3,893.9521,38221,8591,63521,859
Total OI18,692.52414,23825,17014,23825,170

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-05-02$49.06$45.0068.8%19.7%58.9%42.0%70.5%8.4%1.0%637.9K11.3M22.8K1.6360.43N/AN/A6211,0149,1725,066
2022-05-03$50.47$45.0067.5%19.3%57.6%39.0%74.7%10.2%0.7%672.0K13.0M23.5K4.8555.38N/AN/A4642,2519,3635,637
2022-05-04$50.63$45.0068.5%19.6%55.2%41.4%74.2%11.8%0.2%803.0K12.2M25.3K2.7266.83N/AN/A5061,3779,3996,850
2022-05-05$49.43$50.0070.9%20.0%51.4%47.0%69.3%8.6%-6.3%221.8K1.8M18.0K2.2353.43N/AN/A4289549,4737,221
2022-05-06$49.17$50.0063.6%20.2%51.2%29.8%69.5%10.2%-7.7%221.8K1.7M18.1K3.4350.89N/AN/A4401,5119,5087,253
2022-05-09$47.56$50.0085.0%21.5%51.0%79.8%75.6%8.7%-10.1%207.3K1.1M16.9K4.0249.56N/AN/A4241,7069,5187,816
2022-05-10$45.58$50.0071.3%22.0%53.1%47.9%74.6%7.2%-10.4%194.8K80.8K15.7K1.3651.28N/AN/A1,1811,6099,5137,906
2022-05-11$45.13$50.0077.9%22.3%52.7%63.3%76.9%6.1%-10.3%234.8K908.1K18.2K1.4552.04N/AN/A6951,01010,1677,588
2022-05-12$47.26$50.0081.7%23.4%51.8%72.0%77.7%10.2%-13.0%270.4K2.1M21.3K1.4647.88N/AN/A64894510,3737,687
2022-05-13$49.19$50.0075.0%21.5%53.7%56.4%73.4%8.2%-9.7%295.8K2.8M21.3K0.8646.22N/AN/A95181810,4847,716
2022-05-16$48.21$50.0075.9%21.8%54.2%58.6%71.9%8.8%-10.8%288.8K2.2M19.3K0.8250.70N/AN/A98480310,3417,727
2022-05-17$49.22$50.0070.6%20.2%53.2%46.2%69.7%8.9%-6.5%312.9K2.7M19.3K1.4853.84N/AN/A60790010,3747,741
2022-05-18$46.88$50.0084.5%24.2%55.8%78.6%83.1%7.8%-16.4%273.0K1.4M18.3K1.2151.64N/AN/A2,2722,74710,4467,782
2022-05-19$45.32$45.0082.3%23.6%55.3%73.5%81.7%9.6%-10.6%437.7K1.4M28.3K1.6152.38N/AN/A1,7302,78512,1719,002
2022-05-20$42.89$45.0084.1%24.1%55.2%77.5%83.9%12.6%-10.0%527.4K-2.8M33.7K0.1758.36N/AN/A5,8191,00513,15310,526
2022-05-23$44.05$45.0085.3%24.4%56.0%80.4%83.1%12.1%-11.8%839.0K5.0M48.7K0.5946.43N/AN/A1,02760811,1266,283
2022-05-24$40.45$45.0098.5%28.2%63.1%100.0%95.9%15.0%-16.0%657.6K-766.6K39.8K3.1935.84N/AN/A1,8946,04711,1566,343
2022-05-25$41.38$45.0097.3%27.9%63.5%97.6%102.5%13.5%-14.6%866.6K675.6K51.9K0.6353.52N/AN/A1,00063112,1358,170
2022-05-26$44.70$45.0090.0%25.8%66.4%82.3%87.4%14.2%-14.3%1.0M7.9M56.9K0.1451.92N/AN/A5,31772512,2958,235
2022-05-27$42.86$45.0089.9%25.8%66.0%82.1%92.1%14.1%-14.7%1.2M7.1M63.3K0.8147.24N/AN/A1,9141,54616,3738,284
2022-05-31$41.23$45.00110.7%31.7%64.9%100.0%110.1%14.6%-25.4%1.1M2.1M55.5K0.8331.94N/AN/A11,9629,89716,1639,007