VSCO Options History — October 2022

In October 2022, VSCO traded between $30.22 and $39.33. ATM implied volatility averaged 71.2%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded above realized volatility by 12.7% (HV 20d: 58.4%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2022-10-13: Highest Volume — 6,273 contracts
  • 2022-10-31: Largest IV spike — 11.9% change
  • 2022-10-11: Highest IV Rank — 49.8%
  • 2022-10-04: Largest Expected Move — 21.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.55$30.22$39.33$30.22$37.33
Max Pain$34.29$30.00$35.00$30.00$35.00
ATM IV71.2%66.4%80.6%71.5%75.0%
Expected Move20.1%18.4%21.8%20.5%21.5%
HV 20d58.4%52.1%63.0%56.1%53.7%
HV 60d62.8%59.2%65.2%62.7%59.5%
IV Rank34.1%26.1%49.8%34.7%40.5%
IV Percentile73.0%53.2%92.5%80.6%86.9%
Term Structure-0.1%-9.7%3.3%-0.9%-9.7%
VWIV70.6%65.1%75.8%71.7%72.6%
Skew 25d9.8%3.0%18.9%11.2%9.1%
Skew 10d20.4%12.4%34.5%34.5%23.5%
Call IV 25d66.2%61.0%71.4%67.8%65.2%
Put IV 25d76.0%69.6%80.4%79.0%74.3%
Bid-Ask Spread %51.8518.1365.7718.1363.69
Gamma HHI0.380.300.480.350.41
Net GEX228.5K29.7K952.9K663.8K299.2K
Net DEX2.2M-1.3M8.2M-1.3M2.1M
Net VEX9.7K2.4K31.8K24.9K10.6K
P/C Ratio0.460.201.600.300.22
Total Volume2,672.7629166,2732,0662,650
Total OI30,360.76215,79140,05129,27117,382

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-10-03$30.22$30.0071.5%20.5%56.1%34.7%71.7%11.2%-0.9%663.8K-1.3M24.9K0.3018.13N/AN/A1,58847818,10511,166
2022-10-04$32.45$30.0076.0%21.8%61.0%42.1%72.5%12.1%-3.1%825.4K6.1M27.9K0.9361.74N/AN/A2,7212,53519,12011,196
2022-10-05$33.07$30.0070.2%20.1%60.2%32.4%70.3%11.4%-5.2%952.9K8.2M31.8K1.6052.26N/AN/A60997519,84112,411
2022-10-06$32.92$35.0069.2%18.4%60.0%30.8%65.1%18.9%3.3%29.7K100.8K2.4K0.7863.77N/AN/A52340919,91012,422
2022-10-07$33.70$35.0069.8%18.9%58.6%31.8%66.9%13.1%2.1%32.0K136.3K2.4K0.8663.12N/AN/A49342319,92012,452
2022-10-10$33.73$35.0078.1%20.1%57.6%45.5%72.7%9.3%0.7%31.9K204.7K2.5K0.4446.66N/AN/A3,6351,59019,94412,459
2022-10-11$33.45$35.0080.6%20.9%53.2%49.8%75.8%10.0%-0.2%31.9K203.6K2.5K0.3140.77N/AN/A2,26470122,80513,195
2022-10-12$32.62$35.0071.8%20.6%53.8%35.2%74.2%8.0%0.2%35.5K64.8K2.6K0.4141.84N/AN/A1,07444522,95413,258
2022-10-13$35.77$35.0069.7%20.0%63.0%31.7%69.9%8.4%1.6%40.7K402.7K2.8K0.5139.30N/AN/A4,1542,11922,97113,263
2022-10-14$35.67$35.0069.8%20.0%60.9%31.8%71.2%9.2%2.6%109.0K1.9M7.3K0.3850.96N/AN/A1,23547225,76513,927
2022-10-17$36.01$35.0072.2%20.7%60.9%35.7%74.4%7.3%1.4%113.5K2.0M7.0K0.3652.98N/AN/A1,23044425,80013,994
2022-10-18$37.53$35.0067.9%19.5%60.1%28.6%70.1%13.0%-0.0%120.5K2.5M7.4K0.2751.68N/AN/A1,75948325,83814,063
2022-10-19$36.06$35.0071.5%20.5%61.8%34.5%75.3%10.8%1.9%124.2K2.1M7.3K0.4955.05N/AN/A1,18758425,88714,100
2022-10-20$36.13$35.0071.5%20.5%61.9%34.7%73.4%7.5%1.1%123.3K2.1M7.5K0.3247.55N/AN/A1,16336825,89314,158
2022-10-21$37.30$35.0068.8%19.7%59.8%30.2%65.2%6.6%1.1%142.9K2.5M7.3K0.3352.27N/AN/A1,70755725,86213,804
2022-10-24$37.40$35.0072.7%20.9%59.4%36.6%73.4%9.9%-1.7%154.5K2.7M7.5K0.2958.32N/AN/A2,27465810,7925,102
2022-10-25$39.19$35.0066.8%19.1%60.6%26.7%65.8%10.5%1.2%182.6K3.6M8.3K0.2237.87N/AN/A2,57856010,4575,334
2022-10-26$39.33$35.0066.4%19.0%59.2%26.1%66.9%3.0%1.4%217.5K4.0M9.2K0.2961.70N/AN/A2,75479212,2225,386
2022-10-27$38.12$35.0067.7%19.4%53.1%28.3%67.1%7.9%-1.0%270.5K3.2M11.9K0.2063.38N/AN/A2,73153411,2785,847
2022-10-28$38.54$35.0067.1%19.2%52.1%27.2%67.5%9.0%0.7%297.2K2.9M11.6K0.2565.77N/AN/A2,13853411,2816,012
2022-10-31$37.33$35.0075.0%21.5%53.7%40.5%72.6%9.1%-9.7%299.2K2.1M10.6K0.2263.69N/AN/A2,17347711,2516,131