VSCO Options History — July 2023

In July 2023, VSCO traded between $18.08 and $20.55. ATM implied volatility averaged 61.5%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded above realized volatility by 5.9% (HV 20d: 55.6%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.90.

Notable Days

  • 2023-07-11: Highest Volume — 7,645 contracts
  • 2023-07-12: Largest IV drop — 8.3% change
  • 2023-07-31: Highest IV Rank — 37.5%
  • 2023-07-31: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.66$18.08$20.55$18.08$20.55
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV61.5%58.1%65.5%60.3%65.5%
Expected Move17.6%16.6%18.8%17.3%18.8%
HV 20d55.6%47.3%65.6%65.6%50.1%
HV 60d60.1%56.7%62.1%56.7%60.7%
IV Rank31.1%25.5%37.5%29.1%37.5%
IV Percentile45.7%31.7%64.3%38.1%64.3%
Term Structure4.9%-0.5%7.1%2.6%3.9%
VWIV61.7%58.4%66.3%61.0%65.7%
Skew 25d2.4%-1.8%6.0%1.4%4.8%
Skew 10d-2.2%-21.7%24.7%24.7%-3.0%
Call IV 25d60.8%57.5%64.1%62.3%63.2%
Put IV 25d63.2%58.7%68.3%63.7%68.0%
Bid-Ask Spread %33.036.6154.2249.2510.53
Gamma HHI0.260.220.310.310.27
Net GEX275.9K114.0K396.7K356.8K312.8K
Net DEX3.2M-201.2K5.1M-201.2K5.1M
Net VEX12.7K8.2K16.3K10.9K10.3K
P/C Ratio0.900.143.180.140.70
Total Volume1,530.254187,645548600
Total OI47,732.241,38455,36245,78241,541

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-07-03$18.08$17.5060.3%17.3%65.6%29.1%61.0%1.4%2.6%356.8K-201.2K10.9K0.1449.25N/AN/A4826627,36318,419
2023-07-05$19.34$17.5061.2%17.6%62.6%30.6%62.5%6.0%-0.5%396.7K2.2M11.8K0.286.61N/AN/A1,22034527,54418,411
2023-07-06$18.73$17.5062.6%18.2%62.7%32.9%61.7%4.7%5.5%114.0K1.9M8.2K0.5340.09N/AN/A29315627,40818,597
2023-07-07$19.27$17.5060.1%17.1%63.3%28.8%60.9%4.0%4.9%120.1K2.3M8.3K0.7724.60N/AN/A55242327,42918,673
2023-07-10$19.98$17.5061.4%17.6%59.6%30.9%61.6%2.9%4.1%128.4K2.8M8.4K0.2736.14N/AN/A1,04428527,66018,776
2023-07-11$20.48$17.5063.3%17.3%59.9%34.0%61.5%2.2%5.1%137.8K3.1M8.4K0.8632.14N/AN/A4,1203,52527,79018,855
2023-07-12$20.20$17.5058.1%16.6%58.7%25.5%58.4%1.2%6.1%215.4K4.7M12.9K2.1134.21N/AN/A5591,17728,68121,567
2023-07-13$19.13$17.5058.9%16.9%61.8%26.8%58.9%0.2%4.1%266.3K2.4M15.8K0.4042.61N/AN/A1,45157428,59522,642
2023-07-14$19.27$17.5059.4%17.0%61.5%27.7%59.7%3.1%6.0%281.3K2.3M16.3K0.7825.93N/AN/A1,7991,40029,62823,043
2023-07-17$19.27$17.5061.6%17.7%52.3%31.2%62.3%2.9%5.2%286.4K2.7M15.5K1.2510.38N/AN/A18623231,18823,021
2023-07-18$19.54$17.5062.3%17.8%52.5%32.3%62.2%2.5%4.8%290.0K3.1M14.9K1.1951.05N/AN/A44252631,16723,145
2023-07-19$20.36$17.5064.6%18.5%52.2%36.1%64.4%4.3%3.2%290.2K4.4M15.8K0.3954.22N/AN/A1,15344431,40623,336
2023-07-20$19.93$17.5062.4%17.9%52.0%32.5%62.4%2.8%5.3%323.1K4.1M16.0K0.8332.10N/AN/A41634731,78223,580
2023-07-21$19.49$17.5062.0%17.8%51.4%31.8%60.2%-1.8%5.7%332.6K3.2M15.9K0.8953.02N/AN/A58952331,93823,163
2023-07-24$19.37$17.5058.7%16.8%47.3%26.4%58.8%1.0%7.1%352.8K3.1M14.4K0.5850.59N/AN/A74943422,53019,043
2023-07-25$19.30$17.5060.2%17.3%47.3%29.0%60.7%0.2%6.6%338.4K2.6M13.4K0.9440.96N/AN/A22321022,19119,382
2023-07-26$20.55$17.5060.9%17.4%51.1%30.0%60.6%2.7%7.0%328.2K4.9M12.5K0.6339.95N/AN/A59737522,37619,373
2023-07-27$20.16$17.5062.7%18.0%49.9%33.0%66.3%2.0%6.0%339.1K4.1M13.6K3.1812.04N/AN/A6021,91322,57219,445
2023-07-28$20.18$17.5064.2%18.4%50.0%35.4%64.4%0.9%4.4%307.3K4.5M11.2K1.3114.18N/AN/A24832522,58418,800
2023-07-31$20.55$17.5065.5%18.8%50.1%37.5%65.7%4.8%3.9%312.8K5.1M10.3K0.7010.53N/AN/A35224822,75918,782