VSCO Options History — September 2022

In September 2022, VSCO traded between $29.08 and $35.64. ATM implied volatility averaged 66.1%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded above realized volatility by 16.1% (HV 20d: 49.9%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2022-09-06: Highest Volume — 2,987 contracts
  • 2022-09-06: Largest IV spike — 18.0% change
  • 2022-09-29: Highest IV Rank — 38.1%
  • 2022-09-29: Largest Expected Move — 21.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.03$29.08$35.64$33.35$29.08
Max Pain$34.05$30.00$40.00$40.00$30.00
ATM IV66.1%57.6%73.6%60.0%71.7%
Expected Move18.6%17.0%21.1%17.2%20.5%
HV 20d49.9%43.9%67.2%67.1%54.0%
HV 60d63.9%60.4%66.8%66.6%62.3%
IV Rank25.6%11.4%38.1%15.4%34.9%
IV Percentile59.5%25.1%85.7%37.4%81.3%
Term Structure1.7%-4.2%17.7%3.9%-0.4%
VWIV65.4%55.9%73.5%66.0%72.5%
Skew 25d9.2%5.9%12.0%8.3%7.1%
Skew 10d15.5%-11.5%21.5%17.2%10.8%
Call IV 25d61.1%55.3%69.8%59.4%69.8%
Put IV 25d70.3%63.7%80.2%67.7%76.9%
Bid-Ask Spread %41.7612.8764.7938.1023.32
Gamma HHI0.290.240.370.320.35
Net GEX496.5K338.6K699.0K338.6K621.0K
Net DEX-479.9K-4.5M5.3M-3.7M-3.0M
Net VEX27.1K8.4K34.6K8.9K25.4K
P/C Ratio0.840.132.691.050.73
Total Volume1,288.9521092,9872,3611,194
Total OI30,464.14325,03634,28231,49829,249

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$33.35$40.0060.0%17.2%67.1%15.4%66.0%8.3%3.9%338.6K-3.7M8.9K1.0538.10N/AN/A1,1511,21019,71811,780
2022-09-02$32.70$40.0059.2%17.0%67.2%14.1%61.7%5.9%3.8%348.0K-4.5M8.4K0.6241.25N/AN/A52732519,75612,779
2022-09-06$31.69$35.0069.9%19.0%62.6%31.9%65.9%9.7%2.5%400.4K-836.8K31.1K0.3250.40N/AN/A2,26672120,07112,906
2022-09-07$32.76$35.0060.3%17.4%53.9%15.9%63.4%10.2%3.9%435.6K362.2K32.2K0.2341.45N/AN/A1,74640720,52013,241
2022-09-08$33.26$35.0057.6%17.0%46.5%11.4%61.2%10.6%3.9%454.0K1.0M32.9K1.1149.16N/AN/A14015620,54713,243
2022-09-09$34.70$35.0061.3%17.0%49.1%17.6%57.8%8.3%4.2%505.5K3.2M34.6K0.4164.79N/AN/A1,71670920,62713,281
2022-09-12$35.64$35.0070.5%17.4%46.7%33.0%55.9%10.2%2.6%533.7K5.3M34.4K0.6254.73N/AN/A16410220,68913,155
2022-09-13$33.49$35.0071.2%17.6%50.5%34.2%67.9%9.0%3.4%486.8K1.9M31.5K0.5239.51N/AN/A1,00252020,75913,151
2022-09-14$33.09$35.0061.2%17.5%43.9%17.4%63.4%9.8%3.3%480.5K1.6M30.4K2.6945.90N/AN/A6517520,77413,195
2022-09-15$33.63$35.0060.6%17.4%45.1%16.4%61.2%6.1%3.9%510.9K1.8M29.1K0.1735.33N/AN/A88315020,79313,242
2022-09-16$32.29$35.0066.1%18.9%45.9%25.6%64.5%9.3%17.7%475.4K257.5K29.7K1.0354.24N/AN/A96398921,23413,048
2022-09-19$32.61$35.0060.9%17.5%44.0%16.9%63.1%9.9%0.4%506.8K278.4K28.7K0.9217.04N/AN/A20719115,4269,610
2022-09-20$31.44$35.0066.2%19.0%44.4%25.7%67.6%9.3%-1.1%470.7K-1.4M26.0K2.0131.20N/AN/A15130315,5829,771
2022-09-21$30.85$35.0065.2%18.7%44.5%24.1%63.7%6.5%-1.2%472.8K-2.1M24.5K1.8759.09N/AN/A387115,7219,995
2022-09-22$31.10$35.0066.4%19.0%44.7%26.1%66.0%9.3%0.8%481.4K-1.9M24.8K0.1359.27N/AN/A1,38517815,74110,023
2022-09-23$29.88$30.0068.8%19.7%45.9%30.1%68.8%9.3%-1.6%490.1K-1.9M26.2K0.7315.18N/AN/A80558816,69910,072
2022-09-26$29.60$30.0071.8%20.6%44.1%35.2%71.0%10.3%-3.0%536.2K-2.3M26.1K0.9958.19N/AN/A1,0541,04717,19710,494
2022-09-27$30.19$30.0072.6%20.8%45.2%36.5%71.1%11.9%-3.3%596.3K-2.2M28.2K0.6949.10N/AN/A61642817,36011,141
2022-09-28$31.72$30.0072.5%20.8%49.3%36.2%67.6%12.0%-3.3%699.0K1.1M29.3K0.5436.76N/AN/A68937417,42311,141
2022-09-29$29.52$30.0073.6%21.1%53.9%38.1%73.5%10.5%-4.2%582.8K-3.2M26.4K0.3512.87N/AN/A1,23342917,48311,110
2022-09-30$29.08$30.0071.7%20.5%54.0%34.9%72.5%7.1%-0.4%621.0K-3.0M25.4K0.7323.32N/AN/A69150318,10711,142