VSCO Options History — January 2023

In January 2023, VSCO traded between $31.89 and $41.98. ATM implied volatility averaged 52.5%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded below realized volatility by 18.4% (HV 20d: 70.8%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 16.64.

Notable Days

  • 2023-01-11: Highest Volume — 12,658 contracts
  • 2023-01-31: Largest IV spike — 8.9% change
  • 2023-01-05: Highest IV Rank — 23.3%
  • 2023-01-03: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.41$31.89$41.98$33.14$41.98
Max Pain$36.25$35.00$40.00$40.00$35.00
ATM IV52.5%47.3%64.0%60.4%52.1%
Expected Move15.0%13.6%17.3%17.3%14.9%
HV 20d70.8%57.0%79.8%57.0%71.2%
HV 60d63.3%58.9%65.4%60.4%65.0%
IV Rank5.7%0.0%23.3%17.2%7.6%
IV Percentile9.2%0.0%44.8%29.8%7.5%
Term Structure6.5%-3.1%9.9%-3.1%8.6%
VWIV52.9%48.5%61.2%61.2%49.3%
Skew 25d6.3%2.9%8.5%2.9%7.4%
Skew 10d14.8%-9.3%24.8%-9.3%9.4%
Call IV 25d50.3%43.8%60.4%60.4%46.7%
Put IV 25d56.6%50.6%64.5%63.4%54.2%
Bid-Ask Spread %53.4224.8666.3166.3153.31
Gamma HHI0.350.290.390.320.38
Net GEX282.9K37.8K532.7K411.1K413.2K
Net DEX2.2M-9.4M7.0M-9.4M7.0M
Net VEX9.9K2.6K14.6K11.5K9.8K
P/C Ratio16.640.04281.480.9214.13
Total Volume2,550.359312,6582,17411,347
Total OI30,189.2520,21041,76020,21034,385

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-01-03$33.14$40.0060.4%17.3%57.0%17.2%61.2%2.9%-3.1%411.1K-9.4M11.5K0.9266.31N/AN/A1,1351,03912,1738,037
2023-01-04$33.84$40.0058.9%16.9%58.2%14.8%60.8%6.2%-0.9%532.7K-5.1M14.6K0.7351.80N/AN/A52938812,7887,570
2023-01-05$31.89$40.0064.0%17.3%59.4%23.3%58.8%8.3%6.5%37.8K-525.5K2.6K0.7264.06N/AN/A1,6111,15613,0767,573
2023-01-06$32.50$40.0061.2%17.1%59.0%18.7%54.8%8.2%4.8%51.7K-530.0K3.3K0.4460.50N/AN/A39217114,3618,445
2023-01-09$33.30$40.0056.0%16.2%59.2%10.0%55.0%7.2%5.0%59.4K-378.8K3.6K0.1252.35N/AN/A1,35915814,5148,461
2023-01-10$34.24$35.0054.9%16.1%61.2%8.3%56.1%6.1%4.9%89.6K172.3K5.1K0.0450.31N/AN/A1,6766715,2558,494
2023-01-11$39.19$35.0054.2%15.5%79.8%7.2%54.7%5.8%6.1%190.8K4.9M11.1K5.9463.79N/AN/A1,82410,83416,6258,480
2023-01-12$38.14$35.0051.5%14.8%79.5%2.7%52.9%6.5%7.5%187.1K3.5M10.2K7.8144.66N/AN/A3062,39017,33120,457
2023-01-13$38.75$35.0050.4%14.4%79.4%0.8%52.2%6.0%7.4%190.9K3.9M9.8K1.0345.94N/AN/A32032917,48922,592
2023-01-17$38.52$35.0050.1%14.4%78.9%0.5%49.6%6.2%8.1%215.8K3.8M9.7K0.6065.43N/AN/A875217,43322,768
2023-01-18$38.44$35.0049.9%14.3%77.8%0.1%50.3%5.3%7.6%220.2K3.7M9.7K0.7057.74N/AN/A1,19883417,46122,793
2023-01-19$37.82$35.0048.6%13.9%78.0%0.0%48.5%6.4%9.2%328.3K2.5M13.0K0.3343.12N/AN/A35011518,32823,432
2023-01-20$39.47$35.0049.1%14.1%79.3%0.8%50.5%7.0%7.8%359.1K4.2M14.0K8.1143.09N/AN/A2161,75118,35723,076
2023-01-23$40.15$35.0049.1%14.1%79.3%0.9%49.0%6.4%6.8%386.2K4.9M13.1K1.0043.42N/AN/A2132129,52116,167
2023-01-24$39.55$35.0048.7%14.0%79.0%0.2%51.2%6.3%7.4%389.0K4.5M12.6K1.8066.05N/AN/A40729,69916,287
2023-01-25$39.12$35.0047.9%13.7%77.4%0.0%50.3%7.0%8.2%388.8K3.9M12.0K1.3565.05N/AN/A43589,71316,316
2023-01-26$39.87$35.0047.3%13.6%68.4%0.0%55.1%4.7%9.1%404.3K4.7M11.8K281.4824.86N/AN/A298,1639,71616,321
2023-01-27$39.39$35.0047.4%13.6%67.6%0.1%48.9%8.5%8.8%402.6K4.3M11.1K2.5845.02N/AN/A26679,72724,412
2023-01-30$38.91$35.0047.9%13.7%67.4%0.9%48.5%3.7%9.9%399.0K3.6M9.8K2.9561.52N/AN/A1143369,71424,438
2023-01-31$41.98$35.0052.1%14.9%71.2%7.6%49.3%7.4%8.6%413.2K7.0M9.8K14.1353.31N/AN/A75010,5979,71624,669