VSCO Options History — December 2022

In December 2022, VSCO traded between $35.66 and $46.09. ATM implied volatility averaged 57.6%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 3.2% (HV 20d: 54.4%). 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 16 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2022-12-01: Highest Volume — 8,353 contracts
  • 2022-12-12: Largest IV spike — 27.7% change
  • 2022-12-12: Highest IV Rank — 40.0%
  • 2022-12-28: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.78$35.66$46.09$43.63$35.69
Max Pain$39.76$35.00$45.00$45.00$40.00
ATM IV57.6%49.9%74.7%56.4%57.0%
Expected Move15.5%14.3%17.1%16.2%16.3%
HV 20d54.4%41.0%68.4%68.2%53.3%
HV 60d58.3%56.0%59.9%59.4%58.4%
IV Rank11.9%0.0%40.0%9.4%11.7%
IV Percentile23.5%0.0%87.7%20.2%21.8%
Term Structure2.0%-4.6%6.8%-4.6%0.4%
VWIV53.9%47.8%58.7%58.3%56.8%
Skew 25d7.0%4.6%9.4%6.1%8.3%
Skew 10d13.3%4.3%19.8%11.9%13.2%
Call IV 25d51.3%47.8%55.8%55.8%53.6%
Put IV 25d58.3%54.3%64.8%61.9%62.0%
Bid-Ask Spread %54.8726.7469.1526.7469.14
Gamma HHI0.270.200.350.350.29
Net GEX640.0K341.7K1.7M1.7M516.6K
Net DEX1.8M-6.8M14.1M830.9K-6.8M
Net VEX27.4K17.4K42.2K42.2K17.4K
P/C Ratio1.060.033.291.393.12
Total Volume1,960.9051078,3538,353107
Total OI29,730.85717,27842,71935,98720,158

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$43.63$45.0056.4%16.2%68.2%9.4%58.3%6.1%-4.6%1.7M830.9K42.2K1.3926.74N/AN/A3,4984,85518,53617,451
2022-12-02$44.26$40.0054.9%15.8%68.1%7.0%57.8%5.3%-4.6%1.6M14.1M34.6K1.0833.60N/AN/A82188520,12015,254
2022-12-05$43.24$35.0059.9%15.2%68.4%15.3%53.2%6.7%4.9%341.7K5.2M24.0K0.2556.13N/AN/A1,37934320,48415,472
2022-12-06$44.01$35.0060.7%15.2%68.2%16.6%53.5%8.9%5.0%342.6K5.9M25.7K1.2445.70N/AN/A25031120,93615,560
2022-12-07$45.09$40.0063.3%15.5%68.4%20.9%57.0%7.5%4.7%368.0K6.5M26.6K1.8850.45N/AN/A22542420,88115,674
2022-12-08$46.09$40.0062.7%15.4%64.2%20.0%52.0%7.5%5.4%389.4K7.6M25.1K0.0851.65N/AN/A1,46412120,81515,667
2022-12-09$45.20$40.0058.5%15.1%48.4%12.9%54.1%7.5%6.0%390.7K7.3M24.1K3.2954.01N/AN/A10434221,59715,706
2022-12-12$43.30$40.0074.7%16.1%49.5%40.0%56.1%7.5%3.6%383.3K5.2M25.2K0.2556.87N/AN/A3,00575921,66515,810
2022-12-13$41.89$40.0071.3%15.5%50.7%34.3%53.0%7.2%6.8%648.3K5.8M36.4K0.7951.51N/AN/A33926925,05516,188
2022-12-14$40.85$40.0053.9%15.4%51.3%5.2%52.7%6.8%5.3%617.3K4.3M32.8K0.4461.67N/AN/A2,8001,21925,16316,278
2022-12-15$39.73$40.0053.5%15.3%49.7%4.6%51.9%7.5%1.4%651.2K2.0M34.9K0.1057.30N/AN/A2,58525525,76116,958
2022-12-16$38.28$40.0052.4%15.0%47.6%2.8%53.0%5.7%2.1%607.0K510.4K30.6K2.7860.49N/AN/A5641,56725,78316,772
2022-12-19$38.42$40.0051.9%14.9%47.8%1.9%50.7%7.4%1.5%667.4K-970.9K31.3K0.0357.40N/AN/A5,01714013,2386,838
2022-12-20$38.98$40.0051.9%14.9%48.2%2.0%51.7%6.8%2.3%617.1K-995.7K27.1K1.4760.71N/AN/A23534510,3226,956
2022-12-21$39.66$40.0049.9%14.3%41.2%0.0%47.8%6.4%1.3%679.5K-99.7K27.7K0.1855.70N/AN/A1,74530610,4847,122
2022-12-22$38.72$40.0052.4%15.0%41.0%4.1%53.8%5.2%1.4%646.4K-1.7M27.0K0.4958.64N/AN/A1406810,5757,284
2022-12-23$40.51$40.0051.2%14.7%45.0%2.1%50.6%6.7%1.8%679.2K609.6K27.4K0.4056.89N/AN/A37515010,1387,311
2022-12-27$36.66$40.0057.7%16.5%53.8%12.9%57.1%4.6%-1.4%515.7K-4.7M18.3K1.6759.47N/AN/A6451,07910,4077,392
2022-12-28$35.66$40.0059.8%17.1%54.0%16.3%58.7%9.4%-0.9%502.6K-6.5M18.5K1.2658.95N/AN/A14818710,3137,928
2022-12-29$36.59$40.0056.4%16.2%55.2%10.8%52.4%7.2%-1.0%545.0K-5.6M18.4K0.0769.15N/AN/A1,97813010,3387,958
2022-12-30$35.69$40.0057.0%16.3%53.3%11.7%56.8%8.3%0.4%516.6K-6.8M17.4K3.1269.14N/AN/A268112,1707,988