VSCO Options History — November 2022

In November 2022, VSCO traded between $37.63 and $48.12. ATM implied volatility averaged 68.7%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 19.7%. IV traded above realized volatility by 8.4% (HV 20d: 60.3%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.90.

Notable Days

  • 2022-11-10: Highest Volume — 9,587 contracts
  • 2022-11-28: Largest IV spike — 9.2% change
  • 2022-11-30: Highest IV Rank — 52.8%
  • 2022-11-30: Largest Expected Move — 23.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.01$37.63$48.12$38.71$46.02
Max Pain$39.76$35.00$45.00$35.00$45.00
ATM IV68.7%63.1%82.4%63.9%82.4%
Expected Move19.7%18.2%23.6%18.3%23.6%
HV 20d60.3%49.7%67.8%49.7%65.5%
HV 60d56.8%52.3%59.1%58.5%58.4%
IV Rank29.9%20.6%52.8%21.9%52.8%
IV Percentile63.7%44.4%95.6%46.4%95.6%
Term Structure-7.5%-18.5%2.2%2.2%-18.5%
VWIV69.7%61.4%85.9%71.0%85.9%
Skew 25d8.8%4.4%10.3%8.9%8.3%
Skew 10d17.0%13.6%29.9%29.9%15.1%
Call IV 25d65.1%60.6%78.4%62.6%78.4%
Put IV 25d73.9%68.2%86.7%71.5%86.7%
Bid-Ask Spread %56.2129.1270.3455.7130.08
Gamma HHI0.300.250.440.440.25
Net GEX567.1K208.5K1.4M323.0K1.4M
Net DEX9.0M2.1M18.0M2.8M13.3M
Net VEX27.7K10.2K50.1K10.7K50.1K
P/C Ratio1.900.0224.030.274.15
Total Volume3,554.3811,5099,5872,7465,361
Total OI22,756.90517,54232,13117,54232,131

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$38.71$35.0063.9%18.3%49.7%21.9%71.0%8.9%2.2%323.0K2.8M10.7K0.2755.71N/AN/A2,16558111,3166,226
2022-11-02$37.76$35.0065.2%18.7%50.9%24.0%66.2%4.4%-0.3%350.5K2.1M10.2K0.2662.21N/AN/A2,20357911,3256,440
2022-11-03$37.63$40.0063.7%18.7%50.9%21.6%69.4%8.3%-3.7%208.5K2.2M16.9K0.2968.83N/AN/A2,09160211,3576,655
2022-11-04$38.86$40.0063.1%18.2%51.4%20.6%62.6%8.8%-2.1%228.0K2.8M16.8K0.2647.48N/AN/A2,56167011,4086,763
2022-11-07$39.77$40.0065.5%18.9%51.6%24.6%69.4%9.0%-3.5%258.1K3.6M18.2K0.4059.25N/AN/A2,20389211,7416,863
2022-11-08$40.51$40.0068.3%19.2%51.4%29.2%67.1%9.2%-4.7%266.1K4.2M18.4K0.3035.29N/AN/A2,11362511,9167,025
2022-11-09$38.18$40.0066.3%19.0%55.7%25.9%67.3%9.5%-5.0%253.6K2.6M17.9K0.2529.12N/AN/A2,26956711,9847,212
2022-11-10$43.23$40.0064.2%18.4%62.8%22.4%61.4%10.3%-4.0%276.4K6.2M19.3K0.0661.21N/AN/A9,01457312,1907,321
2022-11-11$44.68$40.0065.1%18.7%63.2%23.9%63.0%9.7%-5.0%466.6K10.6M30.7K0.2464.49N/AN/A2,06148817,7677,418
2022-11-14$44.46$40.0065.3%18.7%63.4%24.2%66.5%7.7%-6.7%492.9K10.7M27.9K1.8666.56N/AN/A8921,66217,0887,463
2022-11-15$44.23$40.0065.5%18.8%62.6%24.5%71.6%8.2%-5.9%562.7K9.9M32.9K2.0570.34N/AN/A5081,04317,5478,513
2022-11-16$42.23$40.0070.9%20.3%63.3%33.6%69.3%9.4%-7.7%543.2K6.7M30.4K0.8665.33N/AN/A1,5971,37417,5519,077
2022-11-17$44.20$40.0069.3%19.9%64.6%30.9%69.5%9.3%-8.5%611.9K9.1M35.6K0.4567.33N/AN/A1,16652917,6019,696
2022-11-18$44.08$40.0067.3%19.3%64.2%27.6%70.3%9.3%-7.9%654.3K9.1M34.3K0.7066.93N/AN/A88662318,1949,738
2022-11-21$44.23$40.0069.9%20.0%64.2%31.9%65.8%10.1%-10.0%667.3K9.3M31.5K0.2167.38N/AN/A2,59953412,8507,300
2022-11-22$47.23$40.0070.7%20.3%66.0%33.2%68.7%7.1%-10.6%652.4K14.0M31.8K0.4755.20N/AN/A3,1391,46113,1877,359
2022-11-23$47.65$40.0068.8%19.7%66.0%30.1%71.7%9.2%-11.6%722.9K17.4M33.1K2.7257.34N/AN/A4911,33614,1638,334
2022-11-25$48.12$40.0071.2%20.4%64.2%34.0%69.9%10.1%-13.6%720.7K17.6M33.2K0.0253.98N/AN/A6,80116414,2138,477
2022-11-28$45.79$40.0077.7%22.3%67.8%44.9%73.6%9.6%-15.2%1.2M18.0M43.5K0.1447.72N/AN/A3,69351818,8308,631
2022-11-29$45.63$40.0078.8%22.6%66.3%46.8%82.9%9.0%-16.0%1.1M16.4M39.2K24.0348.50N/AN/A2405,76818,1008,925
2022-11-30$46.02$45.0082.4%23.6%65.5%52.8%85.9%8.3%-18.5%1.4M13.3M50.1K4.1530.08N/AN/A1,0414,32018,21613,915