VSCO Options History — July 2022

In July 2022, VSCO traded between $26.77 and $36.77. ATM implied volatility averaged 66.7%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 19.2%. IV traded above realized volatility by 5.3% (HV 20d: 61.4%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.56.

Notable Days

  • 2022-07-12: Highest Volume — 7,563 contracts
  • 2022-07-26: Largest IV spike — 19.7% change
  • 2022-07-13: Highest IV Rank — 39.7%
  • 2022-07-13: Largest Expected Move — 21.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.35$26.77$36.77$28.00$36.77
Max Pain$25.75$25.00$30.00$30.00$30.00
ATM IV66.7%60.6%74.5%63.3%62.7%
Expected Move19.2%17.5%21.4%18.1%18.0%
HV 20d61.4%55.9%64.4%62.5%55.9%
HV 60d64.7%62.9%67.4%64.7%67.3%
IV Rank26.6%16.5%39.7%20.9%20.0%
IV Percentile64.9%45.6%87.0%55.5%52.1%
Term Structure1.0%-3.8%6.9%6.9%3.0%
VWIV68.1%55.2%77.1%67.0%55.2%
Skew 25d10.3%6.2%14.4%9.5%6.7%
Skew 10d22.6%10.0%42.9%15.6%10.0%
Call IV 25d62.7%57.8%68.2%64.0%59.0%
Put IV 25d73.1%64.9%79.5%73.4%65.7%
Bid-Ask Spread %61.4011.2174.6211.2174.62
Gamma HHI0.470.330.780.780.45
Net GEX288.5K31.4K471.7K286.5K467.3K
Net DEX6.4M-6.9K16.5M-6.9K16.5M
Net VEX15.1K2.8K22.9K7.1K17.3K
P/C Ratio0.560.100.890.760.46
Total Volume3,341.451,1767,5631,4455,575
Total OI21,571.2517,71125,39017,71124,538

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-07-01$28.00$30.0063.3%18.1%62.5%20.9%67.0%9.5%6.9%286.5K-6.9K7.1K0.7611.21N/AN/A81962613,0164,695
2022-07-05$28.97$30.0066.3%19.9%63.2%26.0%73.9%12.7%-0.2%31.4K119.9K2.8K0.1054.00N/AN/A5,62358913,1284,751
2022-07-06$27.90$25.0065.9%19.3%63.5%25.2%73.3%9.3%2.5%101.3K3.9M8.8K0.2857.59N/AN/A2,98484613,2924,829
2022-07-07$28.35$25.0065.5%19.2%64.3%24.6%75.4%11.7%0.5%109.2K3.9M9.8K0.2253.03N/AN/A2,67857613,1695,060
2022-07-08$28.31$25.0060.6%19.1%64.3%16.5%73.6%8.1%0.5%114.8K3.9M9.2K0.1562.26N/AN/A4,03859313,2305,068
2022-07-11$28.07$25.0071.1%19.4%64.4%33.9%77.1%8.9%0.4%116.9K3.9M9.1K0.4760.15N/AN/A4,3052,00214,5274,857
2022-07-12$27.91$25.0071.6%19.8%61.0%34.8%76.4%7.2%-1.2%119.9K3.8M9.2K0.6367.37N/AN/A4,6442,91916,0756,294
2022-07-13$26.77$25.0074.5%21.4%59.7%39.7%68.5%13.7%-1.8%219.1K1.1M15.7K0.8968.61N/AN/A1,2621,12316,6348,201
2022-07-14$27.12$25.0072.5%20.8%60.0%36.2%68.9%8.2%0.2%231.4K1.5M16.3K0.8060.14N/AN/A1,00580116,9438,190
2022-07-15$28.55$25.0069.0%19.8%63.9%30.5%64.0%8.5%1.3%250.4K2.9M16.3K0.4859.34N/AN/A2,6611,28217,1288,262
2022-07-18$29.56$25.0067.5%19.4%59.7%27.9%64.8%11.2%0.9%261.0K4.4M16.2K0.2358.27N/AN/A4,12693111,6997,771
2022-07-19$30.84$25.0066.0%18.9%59.6%25.4%62.2%11.3%1.8%395.5K8.2M22.7K0.7666.67N/AN/A93771114,0537,794
2022-07-20$30.95$25.0067.9%19.5%59.6%28.6%66.1%12.9%-1.5%401.1K8.4M22.9K0.8368.90N/AN/A90275314,2057,860
2022-07-21$32.07$25.0067.4%19.3%61.1%27.8%60.2%13.2%1.1%429.7K10.0M21.1K0.5774.46N/AN/A1,18067814,3357,879
2022-07-22$33.21$25.0063.0%18.1%61.1%20.5%66.7%9.2%3.0%431.9K12.6M21.9K0.5859.80N/AN/A1,68097814,7277,885
2022-07-25$33.32$25.0060.9%17.5%58.9%17.0%66.3%11.2%5.1%458.1K10.6M19.7K0.8968.16N/AN/A70663114,1938,418
2022-07-26$31.40$25.0073.0%20.9%61.4%37.0%69.4%14.4%-3.8%450.1K7.4M20.7K0.7067.72N/AN/A69248414,2078,638
2022-07-27$32.95$25.0062.8%18.0%58.8%20.1%69.9%12.6%1.7%471.7K9.8M20.2K0.6771.43N/AN/A77552314,2068,657
2022-07-28$35.99$25.0062.3%17.9%64.0%19.2%63.0%6.2%-1.3%422.5K15.2M15.1K0.7964.22N/AN/A1,7791,41214,3088,703
2022-07-29$36.77$30.0062.7%18.0%55.9%20.0%55.2%6.7%3.0%467.3K16.5M17.3K0.4674.62N/AN/A3,8271,74814,9879,551