VSCO Options History — June 2023

In June 2023, VSCO traded between $17.02 and $20.23. ATM implied volatility averaged 61.2%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded below realized volatility by 12.2% (HV 20d: 73.4%). Max pain ranged from $17.50 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2023-06-08: Highest Volume — 6,552 contracts
  • 2023-06-14: Largest IV drop — 27.0% change
  • 2023-06-13: Highest IV Rank — 63.8%
  • 2023-06-01: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.36$17.02$20.23$18.63$17.45
Max Pain$23.57$17.50$25.00$25.00$17.50
ATM IV61.2%52.2%81.7%62.4%59.8%
Expected Move16.5%15.0%17.9%17.9%17.1%
HV 20d73.4%53.3%79.2%53.3%71.3%
HV 60d54.0%44.7%56.9%44.7%56.7%
IV Rank30.5%15.9%63.8%29.4%28.3%
IV Percentile41.6%20.2%97.2%44.4%36.5%
Term Structure3.3%-4.9%7.2%-4.9%1.9%
VWIV57.8%53.3%63.1%63.1%61.1%
Skew 25d3.5%-0.7%5.8%1.2%0.7%
Skew 10d2.1%-11.2%17.8%1.8%-3.7%
Call IV 25d57.3%52.8%63.4%62.9%61.3%
Put IV 25d60.7%57.1%64.1%64.1%62.0%
Bid-Ask Spread %36.798.6068.158.6048.06
Gamma HHI0.350.220.520.290.29
Net GEX483.6K289.4K958.4K583.4K323.1K
Net DEX-23.5M-35.2M-649.6K-25.9M-1.1M
Net VEX24.0K11.1K40.6K14.9K11.1K
P/C Ratio0.830.086.190.990.53
Total Volume2,210.5716606,5523,3551,013
Total OI70,407.95238,48494,02286,39645,116

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-06-01$18.63$25.0062.4%17.9%53.3%29.4%63.1%1.2%-4.9%583.4K-25.9M14.9K0.998.60N/AN/A1,6871,66841,57644,820
2023-06-02$20.23$25.0052.2%15.0%64.4%15.9%53.3%2.7%0.6%958.4K-21.5M20.1K0.8137.06N/AN/A1,11490541,78742,867
2023-06-05$18.51$25.0064.0%16.8%66.3%35.2%56.9%2.7%5.1%429.9K-34.7M29.5K1.2768.15N/AN/A2,1192,68341,82043,182
2023-06-06$19.12$25.0063.4%15.2%68.8%34.2%55.7%5.5%6.7%545.9K-34.1M37.9K0.2332.89N/AN/A92220943,32942,857
2023-06-07$18.86$25.0061.4%15.5%68.5%30.9%54.6%5.8%6.7%474.1K-35.2M30.2K0.1819.08N/AN/A1,26423044,08742,970
2023-06-08$17.70$25.0065.5%16.6%70.5%37.5%58.2%4.7%6.1%368.2K-34.1M25.7K0.5525.52N/AN/A4,2392,31345,38542,790
2023-06-09$18.02$25.0065.4%17.3%71.4%37.4%60.0%4.9%6.8%490.3K-31.8M35.4K0.7738.23N/AN/A1,06081146,49544,381
2023-06-12$18.80$25.0076.9%16.4%74.5%56.0%57.7%5.1%7.2%571.7K-31.9M35.1K0.6634.30N/AN/A96464047,11944,911
2023-06-13$18.46$25.0081.7%16.8%73.9%63.8%58.5%3.1%6.5%518.5K-32.4M31.0K0.6652.42N/AN/A50833546,85945,151
2023-06-14$18.18$25.0059.6%17.1%73.7%28.0%59.3%5.0%6.5%480.3K-32.7M28.0K0.2655.39N/AN/A1,98651447,21344,409
2023-06-15$19.88$25.0057.6%16.5%79.2%24.7%57.2%5.8%0.9%736.9K-31.4M40.6K0.4334.77N/AN/A1,75575048,38844,534
2023-06-16$19.70$25.0055.5%15.9%78.7%21.4%54.8%2.7%2.4%701.0K-31.9M37.0K0.5111.72N/AN/A3,2431,64949,13444,888
2023-06-20$18.91$25.0055.7%16.0%78.6%21.7%57.1%3.5%1.5%556.4K-33.2M26.3K1.0641.43N/AN/A33034923,15431,305
2023-06-21$18.45$25.0056.8%16.3%78.7%23.4%54.8%3.0%2.6%492.8K-33.7M23.1K0.089.01N/AN/A6244823,38931,568
2023-06-22$17.91$25.0056.4%16.2%77.6%22.8%56.6%4.1%1.0%342.7K-14.9M15.6K0.2846.74N/AN/A1,09230723,67520,556
2023-06-23$17.02$25.0057.0%16.3%78.3%23.8%56.5%5.3%3.4%289.4K-15.6M12.7K0.2849.10N/AN/A1,49142524,53620,645
2023-06-26$17.32$25.0054.2%15.5%77.6%19.3%55.3%3.6%3.7%331.6K-15.0M13.1K0.9849.32N/AN/A33432625,70220,714
2023-06-27$17.77$17.5058.5%16.8%78.6%26.2%58.7%3.6%2.3%326.1K-649.6K12.5K0.3019.43N/AN/A1,15034425,81512,669
2023-06-28$17.21$17.5060.2%17.3%79.0%29.0%61.2%0.2%2.4%311.7K-1.3M12.1K0.4143.74N/AN/A70529226,42712,801
2023-06-29$17.36$17.5061.5%17.6%78.6%31.0%63.1%-0.7%1.0%322.5K-1.1M12.2K6.1947.62N/AN/A5603,46426,59312,950
2023-06-30$17.45$17.5059.8%17.1%71.3%28.3%61.1%0.7%1.9%323.1K-1.1M11.1K0.5348.06N/AN/A66434926,85218,264