VSCO Options History — August 2022 In August 2022, VSCO traded between $33.77 and $42.42. ATM implied volatility averaged 69.0%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 20.0%. IV traded below realized volatility by 3.7% (HV 20d: 72.7%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 1.23.
Notable Days 2022-08-05 : Highest Volume — 8,410 contracts2022-08-25 : Largest IV drop — 26.5% change2022-08-22 : Highest IV Rank — 46.8%2022-08-22 : Largest Expected Move — 22.6%Monthly Statistics Metric Avg Min Max Open Close Price $38.21 $33.77 $42.42 $36.80 $33.77 Max Pain $37.83 $30.00 $40.00 $30.00 $40.00 ATM IV 69.0% 57.4% 78.8% 71.2% 61.8% Expected Move 20.0% 16.5% 22.6% 20.4% 17.7% HV 20d 72.7% 55.7% 83.2% 55.7% 67.4% HV 60d 71.0% 66.8% 74.8% 67.3% 66.9% IV Rank 30.5% 11.1% 46.8% 34.0% 18.4% IV Percentile 69.5% 24.8% 91.9% 81.4% 44.2% Term Structure -4.4% -11.9% 3.3% -2.8% 1.9% VWIV 70.4% 59.7% 83.8% 70.4% 62.6% Skew 25d 9.4% 6.4% 12.6% 12.6% 8.0% Skew 10d 19.2% 8.9% 31.7% 15.8% 21.2% Call IV 25d 66.1% 56.8% 76.1% 62.9% 60.0% Put IV 25d 75.5% 64.2% 86.3% 75.5% 68.0% Bid-Ask Spread % 53.97 11.21 71.62 71.39 11.21 Gamma HHI 0.30 0.23 0.64 0.47 0.30 Net GEX 333.4K 164.3K 632.5K 460.0K 344.5K Net DEX 3.0M -3.4M 17.7M 16.5M -3.4M Net VEX 16.7K 10.0K 21.4K 15.3K 10.0K P/C Ratio 1.23 0.15 3.70 3.70 0.34 Total Volume 3,036.783 275 8,410 4,968 6,286 Total OI 33,362.391 24,997 38,917 28,312 30,345
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2022-08-01 $36.80 $30.00 71.2% 20.4% 55.7% 34.0% 70.4% 12.6% -2.8% 460.0K 16.5M 15.3K 3.70 71.39 N/A N/A 1,056 3,912 17,501 10,811 2022-08-02 $35.50 $30.00 69.8% 20.0% 57.8% 31.8% 65.8% 6.4% -6.5% 632.5K 12.6M 21.4K 1.70 66.49 N/A N/A 2,024 3,439 17,834 14,288 2022-08-03 $38.60 $30.00 61.9% 17.7% 60.4% 18.6% 66.7% 10.5% -0.6% 589.8K 17.7M 18.3K 2.92 69.24 N/A N/A 2,017 5,894 18,898 16,310 2022-08-04 $37.62 $35.00 63.2% 19.2% 62.3% 20.8% 69.9% 10.7% -4.0% 164.3K 626.6K 14.5K 1.05 68.77 N/A N/A 1,793 1,887 19,132 16,868 2022-08-05 $37.15 $35.00 69.5% 19.9% 62.8% 31.2% 67.2% 11.1% -3.8% 175.4K 296.9K 14.3K 3.13 71.62 N/A N/A 2,036 6,374 19,187 16,959 2022-08-08 $39.54 $35.00 62.8% 20.1% 64.5% 20.0% 66.5% 10.5% -5.6% 164.7K 1.3M 14.2K 0.43 63.32 N/A N/A 4,898 2,118 18,997 16,406 2022-08-09 $35.64 $35.00 67.1% 21.2% 77.2% 27.3% 73.1% 8.7% -6.2% 215.6K 248.9K 16.7K 0.99 65.40 N/A N/A 1,375 1,356 19,045 16,246 2022-08-10 $38.30 $40.00 69.4% 19.9% 77.2% 31.1% 70.7% 9.8% -4.8% 261.5K 1.0M 19.6K 0.82 65.13 N/A N/A 426 349 20,306 17,258 2022-08-11 $38.96 $40.00 69.4% 19.9% 77.2% 31.2% 70.1% 10.5% -4.2% 290.6K 1.8M 21.2K 0.39 66.41 N/A N/A 1,147 446 20,537 17,586 2022-08-12 $40.82 $40.00 70.4% 20.2% 77.0% 32.8% 69.1% 10.7% -4.7% 295.7K 2.9M 20.4K 0.69 64.96 N/A N/A 209 145 20,168 17,787 2022-08-15 $40.03 $40.00 71.5% 20.5% 77.8% 34.6% 83.8% 9.3% -5.4% 296.7K 2.6M 19.2K 2.66 62.74 N/A N/A 308 819 20,239 17,833 2022-08-16 $42.42 $40.00 75.2% 21.6% 78.7% 40.8% 72.5% 6.6% -7.9% 290.5K 4.6M 18.5K 0.15 58.22 N/A N/A 743 112 20,327 17,820 2022-08-17 $41.77 $40.00 74.5% 21.4% 79.4% 39.6% 74.0% 8.2% -7.3% 326.0K 4.2M 19.3K 1.12 65.15 N/A N/A 130 145 20,919 17,859 2022-08-18 $41.95 $40.00 74.5% 21.3% 79.1% 39.6% 70.6% 10.5% -7.5% 322.8K 4.3M 20.4K 0.18 57.27 N/A N/A 429 77 20,957 17,960 2022-08-19 $39.77 $40.00 74.9% 21.5% 82.1% 40.3% 73.4% 10.0% -6.7% 308.4K 2.4M 18.9K 0.48 57.97 N/A N/A 315 151 20,926 17,971 2022-08-22 $38.58 $40.00 78.8% 22.6% 83.2% 46.8% 81.0% 9.8% -10.9% 311.3K 1.5M 17.4K 1.33 49.96 N/A N/A 209 278 15,186 9,811 2022-08-23 $38.27 $40.00 77.6% 22.3% 79.7% 44.8% 80.6% 10.2% -10.2% 313.8K 1.2M 17.4K 0.57 51.12 N/A N/A 682 388 15,270 9,960 2022-08-24 $38.39 $40.00 78.1% 22.4% 78.4% 45.6% 83.1% 10.2% -11.9% 324.1K 1.1M 16.5K 1.90 24.68 N/A N/A 2,236 4,259 15,833 10,256 2022-08-25 $37.99 $40.00 57.4% 16.5% 72.6% 11.1% 59.7% 7.4% 1.7% 387.0K 160.3K 13.6K 0.87 16.99 N/A N/A 2,516 2,192 16,827 10,031 2022-08-26 $36.25 $40.00 61.8% 17.7% 74.3% 18.5% 60.1% 6.4% 1.8% 412.6K -792.8K 14.9K 0.45 42.31 N/A N/A 2,565 1,164 18,056 10,210 2022-08-29 $35.67 $40.00 63.9% 18.3% 74.5% 22.0% 65.0% 8.7% 1.5% 400.7K -1.5M 12.4K 1.02 20.28 N/A N/A 212 216 19,479 10,813 2022-08-30 $34.93 $40.00 62.6% 18.0% 73.7% 19.8% 63.0% 9.4% 3.3% 378.6K -2.5M 10.7K 1.29 50.80 N/A N/A 224 289 19,509 10,814 2022-08-31 $33.77 $40.00 61.8% 17.7% 67.4% 18.4% 62.6% 8.0% 1.9% 344.5K -3.4M 10.0K 0.34 11.21 N/A N/A 4,677 1,609 19,588 10,757
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