VSCO Options History — June 2022

In June 2022, VSCO traded between $28.18 and $45.02. ATM implied volatility averaged 64.8%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded below realized volatility by 9.0% (HV 20d: 73.8%). Max pain ranged from $30.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2022-06-01: Highest Volume — 14,361 contracts
  • 2022-06-16: Largest IV spike — 19.7% change
  • 2022-06-16: Highest IV Rank — 36.8%
  • 2022-06-16: Largest Expected Move — 20.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.50$28.18$45.02$45.02$28.18
Max Pain$35.95$30.00$45.00$45.00$30.00
ATM IV64.8%56.1%72.8%70.2%67.1%
Expected Move18.3%16.1%20.9%20.1%19.2%
HV 20d73.8%62.5%78.8%72.4%62.5%
HV 60d63.2%61.1%65.1%61.6%65.1%
IV Rank23.5%8.9%36.8%32.4%27.3%
IV Percentile59.5%26.5%85.3%76.0%64.8%
Term Structure3.5%-5.7%7.7%-5.7%2.8%
VWIV60.9%46.3%70.6%70.6%66.0%
Skew 25d8.4%5.3%15.0%8.1%8.0%
Skew 10d14.0%-10.0%21.3%19.4%10.7%
Call IV 25d60.3%54.0%67.7%66.3%67.7%
Put IV 25d68.7%62.1%77.1%74.4%75.7%
Bid-Ask Spread %47.3718.3772.5226.6631.59
Gamma HHI0.420.270.720.270.72
Net GEX454.0K187.0K2.4M2.4M290.2K
Net DEX3.1M-1.5M9.0M9.0M160.9K
Net VEX20.2K8.1K77.5K77.5K8.1K
P/C Ratio0.750.161.900.570.90
Total Volume4,135.9521,15514,36114,3611,395
Total OI32,467.23816,35943,37941,84417,663

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-06-01$45.02$45.0070.2%20.1%72.4%32.4%70.6%8.1%-5.7%2.4M9.0M77.5K0.5726.66N/AN/A9,1475,21425,39916,445
2022-06-02$44.65$45.0059.4%16.5%72.4%14.5%61.0%8.1%6.5%381.4K3.7M24.5K0.2545.62N/AN/A5,6361,42925,75716,316
2022-06-03$41.68$40.0065.4%17.4%75.5%24.4%54.4%8.5%4.7%421.6K4.9M28.5K0.4247.52N/AN/A2,7971,18725,71116,594
2022-06-06$40.44$40.0066.9%16.9%75.9%27.0%52.0%7.1%5.6%394.0K3.1M23.2K0.5450.14N/AN/A2,6621,42725,60016,558
2022-06-07$39.03$40.0064.3%16.9%76.0%22.5%57.9%7.6%4.8%346.4K1.7M20.9K0.1748.94N/AN/A5,54692625,62216,351
2022-06-08$38.93$40.0056.6%16.2%75.0%9.8%46.3%7.7%6.0%479.1K4.4M27.3K0.3061.11N/AN/A2,82884426,05116,342
2022-06-09$38.29$40.0056.1%16.1%75.1%8.9%49.7%7.5%7.7%457.8K3.4M25.6K0.3060.44N/AN/A2,64879926,61116,406
2022-06-10$35.66$40.0062.7%18.0%75.3%19.9%56.7%8.0%3.4%345.5K685.3K19.6K0.3951.57N/AN/A2,6291,03326,86516,514
2022-06-13$33.67$40.0067.0%19.2%74.0%27.2%64.0%9.1%2.3%275.0K-794.5K15.2K1.3552.77N/AN/A2,6363,56527,00416,277
2022-06-14$33.90$40.0066.7%19.1%74.6%26.6%59.6%9.6%1.8%282.2K-530.1K15.9K0.8146.63N/AN/A2,4411,98227,07414,967
2022-06-15$33.49$40.0060.9%17.4%73.2%16.8%62.1%8.5%5.5%253.4K-1.5M12.5K0.4857.96N/AN/A4,1131,97427,11314,299
2022-06-16$30.93$35.0072.8%20.9%75.6%36.8%70.3%11.1%0.4%187.0K-1.1M10.3K0.1633.68N/AN/A6,8151,10627,51412,489
2022-06-17$32.30$30.0071.1%20.4%78.8%33.9%66.5%8.4%-0.1%293.7K3.7M16.0K0.2654.28N/AN/A3,19684328,53012,086
2022-06-21$32.39$30.0068.3%19.6%77.7%29.2%64.6%7.7%2.8%374.3K4.4M16.1K1.4623.31N/AN/A46968612,0284,331
2022-06-22$32.42$30.0068.1%19.5%76.5%28.9%60.0%8.0%0.3%384.5K4.4M15.4K1.3164.93N/AN/A49965612,1244,372
2022-06-23$33.56$30.0061.4%17.6%73.7%17.8%62.7%6.7%4.3%390.6K5.9M15.6K0.9154.24N/AN/A79672112,2554,407
2022-06-24$35.05$30.0059.7%17.1%75.2%15.0%57.2%7.7%5.9%426.7K8.1M15.3K0.9860.02N/AN/A74172412,4114,412
2022-06-27$33.92$30.0061.5%17.6%68.5%17.9%61.7%5.3%4.1%425.6K6.6M13.2K1.3372.52N/AN/A57176112,4744,469
2022-06-28$31.61$30.0067.7%19.4%70.8%28.3%67.9%9.6%5.3%395.3K3.2M12.1K0.9232.40N/AN/A85078312,4704,533
2022-06-29$30.38$30.0067.2%19.3%70.8%27.4%68.3%15.0%5.3%372.8K2.1M11.1K1.9018.37N/AN/A6141,16612,8524,516
2022-06-30$28.18$30.0067.1%19.2%62.5%27.3%66.0%8.0%2.8%290.2K160.9K8.1K0.9031.59N/AN/A73466112,9154,748