VSCO Options History — March 2023

In March 2023, VSCO traded between $30.30 and $38.66. ATM implied volatility averaged 57.4%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded above realized volatility by 22.4% (HV 20d: 35.0%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.90.

Notable Days

  • 2023-03-08: Highest Volume — 33,105 contracts
  • 2023-03-03: Largest IV drop — 35.1% change
  • 2023-03-13: Highest IV Rank — 48.4%
  • 2023-03-01: Largest Expected Move — 21.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.87$30.30$38.66$38.66$34.02
Max Pain$37.39$35.00$45.00$40.00$35.00
ATM IV57.4%45.3%78.0%75.4%45.3%
Expected Move15.9%13.0%21.6%21.6%13.0%
HV 20d35.0%26.4%45.3%45.3%35.7%
HV 60d57.2%51.9%59.1%57.9%51.9%
IV Rank16.2%0.0%48.4%44.4%0.0%
IV Percentile27.5%0.0%93.3%89.3%0.0%
Term Structure-1.6%-20.5%3.1%-20.5%3.0%
VWIV54.3%45.2%76.2%76.2%45.2%
Skew 25d8.5%4.7%12.7%7.3%9.9%
Skew 10d14.7%1.8%31.5%18.5%7.6%
Call IV 25d52.0%45.0%74.4%72.7%45.0%
Put IV 25d60.5%52.2%81.8%80.1%54.9%
Bid-Ask Spread %40.2610.2859.0359.0310.28
Gamma HHI0.570.300.890.310.49
Net GEX2.1M820.9K3.2M2.8M2.6M
Net DEX-38.3M-51.6M-17.9M-26.9M-28.6M
Net VEX90.2K47.1K124.6K94.6K75.9K
P/C Ratio1.900.0615.951.210.19
Total Volume5,311.91314333,1053,301143
Total OI88,625.30466,929124,94866,92974,234

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-03-01$38.66$40.0075.4%21.6%45.3%44.4%76.2%7.3%-20.5%2.8M-26.9M94.6K1.2159.03N/AN/A1,4931,80816,93749,992
2023-03-02$37.94$40.0075.2%21.6%26.4%44.0%76.0%7.4%-18.8%2.8M-29.0M91.7K4.2840.10N/AN/A5,73024,50018,03449,642
2023-03-03$35.75$40.0048.8%14.0%31.7%2.4%48.5%4.9%-0.6%3.2M-43.9M57.6K1.5324.12N/AN/A2,7174,15822,54961,186
2023-03-06$34.54$45.0050.9%13.8%32.5%5.8%48.1%7.2%0.4%880.3K-18.6M55.0K1.5847.36N/AN/A7201,14022,64860,989
2023-03-07$34.70$40.0050.9%14.0%31.8%5.8%48.0%7.6%-0.6%885.1K-17.9M54.9K0.5841.84N/AN/A40623422,96461,405
2023-03-08$33.95$40.0049.6%13.7%31.9%3.7%49.3%6.3%0.6%919.7K-19.8M52.9K2.1932.06N/AN/A10,38322,72222,87961,483
2023-03-09$32.55$40.0050.7%14.1%33.6%5.5%52.2%4.7%-0.3%820.9K-21.8M47.1K15.9553.17N/AN/A1,93630,87928,98171,874
2023-03-10$31.70$40.0061.7%16.2%33.8%22.8%55.4%8.2%-0.8%1.9M-44.3M124.6K1.8538.88N/AN/A9841,82230,82091,948
2023-03-13$31.02$40.0078.0%16.4%33.7%48.4%55.7%8.3%-1.4%1.9M-47.7M118.4K1.9346.60N/AN/A7961,53731,66992,654
2023-03-14$30.88$40.0071.2%16.1%31.3%37.7%54.3%8.8%-0.5%2.0M-48.7M114.3K1.6951.71N/AN/A12921832,27992,145
2023-03-15$30.30$35.0058.4%16.7%30.2%17.5%56.7%8.4%-0.4%1.9M-51.6M110.0K1.7744.02N/AN/A26747232,46592,163
2023-03-16$30.91$35.0057.2%16.4%32.4%15.6%52.6%8.9%-0.6%2.0M-48.5M111.6K0.3544.39N/AN/A44515632,64091,947
2023-03-17$30.52$35.0059.1%16.9%32.4%18.6%58.5%9.3%0.3%1.9M-50.6M111.0K4.1921.88N/AN/A4792,00632,97291,976
2023-03-20$31.65$35.0059.3%17.0%36.9%18.9%54.0%12.0%-1.7%2.1M-46.1M104.9K0.6134.04N/AN/A41325316,03454,357
2023-03-21$31.91$35.0056.5%16.2%36.2%14.5%50.9%9.8%0.3%2.2M-43.9M104.5K0.0637.45N/AN/A6133416,32154,575
2023-03-22$31.20$35.0055.0%15.8%36.4%12.1%49.6%12.7%-0.3%2.3M-48.1M98.8K0.2250.92N/AN/A2675916,83454,581
2023-03-23$30.83$35.0059.3%17.0%35.5%18.9%58.7%12.7%-2.1%2.1M-50.1M98.0K1.5338.54N/AN/A15423617,05654,596
2023-03-24$31.88$35.0057.3%16.4%39.1%15.8%54.6%9.0%0.2%2.3M-43.4M99.6K0.3644.05N/AN/A2288117,13954,768
2023-03-27$32.02$35.0055.9%16.0%39.5%13.7%54.8%7.8%0.3%2.4M-42.8M91.8K0.4732.70N/AN/A1969217,17454,774
2023-03-28$32.69$35.0050.8%14.6%39.9%5.5%51.3%8.1%1.7%2.5M-38.8M89.8K0.4752.81N/AN/A23010817,35954,833
2023-03-29$33.02$35.0047.9%13.7%39.8%1.1%50.0%7.4%2.4%2.6M-36.2M86.8K0.3052.82N/AN/A56116917,49554,885
2023-03-30$33.47$35.0046.9%13.4%40.2%0.0%47.6%8.6%3.1%2.6M-32.9M80.1K0.4627.12N/AN/A1376318,63355,493
2023-03-31$34.02$35.0045.3%13.0%35.7%0.0%45.2%9.9%3.0%2.6M-28.6M75.9K0.1910.28N/AN/A1202318,71855,516