VSCO Options History — August 2023 In August 2023, VSCO traded between $17.34 and $21.62. ATM implied volatility averaged 77.1%, placing in the 56.4% IV rank vs the trailing year. The 30-day expected move averaged 22.4%. IV traded above realized volatility by 27.5% (HV 20d: 49.6%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.12.
Notable Days 2023-08-31 : Highest Volume — 20,283 contracts2023-08-31 : Largest IV drop — 33.9% change2023-08-28 : Highest IV Rank — 76.6%2023-08-28 : Largest Expected Move — 25.7%Monthly Statistics Metric Avg Min Max Open Close Price $19.55 $17.34 $21.62 $19.80 $19.31 Max Pain $17.50 $17.50 $17.50 $17.50 $17.50 ATM IV 77.1% 56.7% 89.6% 67.7% 56.7% Expected Move 22.4% 16.2% 25.7% 19.4% 16.2% HV 20d 49.6% 43.1% 59.0% 51.5% 59.0% HV 60d 60.4% 54.2% 62.3% 61.0% 55.4% IV Rank 56.4% 23.2% 76.6% 41.2% 23.2% IV Percentile 86.3% 28.2% 98.0% 69.8% 28.2% Term Structure -8.2% -17.4% 3.2% 2.6% 2.0% VWIV 78.3% 60.9% 88.8% 66.9% 60.9% Skew 25d 4.6% 0.1% 7.8% 0.1% 4.0% Skew 10d 12.3% 0.4% 31.3% 5.2% 12.7% Call IV 25d 76.6% 59.2% 88.2% 66.7% 59.2% Put IV 25d 81.2% 63.3% 91.9% 66.8% 63.3% Bid-Ask Spread % 36.79 7.57 70.91 19.82 20.60 Gamma HHI 0.26 0.19 0.41 0.28 0.41 Net GEX 348.7K 222.2K 800.8K 311.0K 800.8K Net DEX 3.8M -195.3K 10.0M 4.0M 10.0M Net VEX 19.5K 9.4K 23.3K 9.7K 19.7K P/C Ratio 1.12 0.08 13.61 0.40 0.87 Total Volume 2,644.565 410 20,283 960 20,283 Total OI 42,683.913 35,927 50,508 41,663 50,508
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2023-08-01 $19.80 $17.50 67.7% 19.4% 51.5% 41.2% 66.9% 0.1% 2.6% 311.0K 4.0M 9.7K 0.40 19.82 N/A N/A 685 275 22,953 18,710 2023-08-02 $19.59 $17.50 69.7% 20.0% 46.0% 44.4% 69.1% 0.4% 3.2% 309.6K 3.6M 9.4K 0.82 18.98 N/A N/A 225 185 22,834 18,714 2023-08-03 $20.20 $17.50 69.8% 21.1% 45.5% 44.5% 73.7% 4.9% -7.1% 228.3K 3.2M 20.3K 0.50 64.57 N/A N/A 387 194 22,932 18,799 2023-08-04 $20.59 $17.50 65.7% 20.3% 44.9% 37.8% 70.6% 3.6% -5.1% 231.7K 3.8M 20.2K 0.42 68.99 N/A N/A 1,356 571 23,197 18,890 2023-08-07 $19.46 $17.50 67.8% 21.7% 47.9% 41.3% 75.7% 5.0% -7.3% 222.2K 2.4M 18.5K 0.80 61.29 N/A N/A 310 247 22,549 18,675 2023-08-08 $19.21 $17.50 70.6% 22.1% 47.0% 45.8% 79.8% 4.7% -6.8% 224.1K 2.0M 18.6K 0.17 19.59 N/A N/A 983 163 22,756 18,804 2023-08-09 $19.49 $17.50 77.7% 22.3% 47.3% 57.3% 79.5% 3.1% -7.7% 247.9K 3.3M 19.9K 13.61 19.89 N/A N/A 142 1,932 23,478 18,881 2023-08-10 $19.70 $17.50 77.5% 22.2% 43.1% 57.0% 77.6% 2.9% -7.6% 286.5K 2.6M 22.5K 0.14 18.04 N/A N/A 717 101 23,496 20,607 2023-08-11 $20.08 $17.50 75.0% 21.5% 43.5% 52.9% 74.0% 5.1% -7.4% 292.8K 3.1M 21.5K 0.12 20.62 N/A N/A 1,746 203 23,773 20,626 2023-08-14 $21.45 $17.50 75.3% 21.6% 49.1% 53.4% 75.4% 7.4% -8.4% 299.3K 5.2M 21.0K 0.08 63.87 N/A N/A 4,663 357 24,650 20,656 2023-08-15 $21.36 $17.50 78.4% 22.5% 49.1% 58.4% 78.7% 7.8% -9.5% 320.7K 6.5M 22.6K 0.31 70.91 N/A N/A 898 280 24,737 20,710 2023-08-16 $21.62 $17.50 76.9% 22.0% 47.2% 56.0% 77.5% 5.7% -8.3% 346.3K 7.4M 23.3K 0.76 14.05 N/A N/A 639 484 25,181 20,803 2023-08-17 $21.27 $17.50 78.2% 22.4% 46.9% 58.1% 78.7% 6.4% -7.4% 326.3K 6.4M 22.7K 0.48 12.65 N/A N/A 293 141 24,766 20,825 2023-08-18 $20.77 $17.50 79.2% 22.7% 47.0% 59.8% 77.8% 7.0% -8.5% 339.2K 5.7M 21.8K 0.59 52.34 N/A N/A 262 154 24,903 20,863 2023-08-21 $19.96 $17.50 79.9% 22.9% 49.4% 60.8% 80.6% 5.0% -9.3% 345.7K 4.2M 19.6K 0.89 52.94 N/A N/A 301 269 19,134 16,793 2023-08-22 $18.69 $17.50 83.6% 24.0% 54.9% 66.9% 83.8% 4.6% -8.5% 339.3K 1.8M 18.8K 0.91 12.52 N/A N/A 432 392 19,260 16,863 2023-08-23 $18.09 $17.50 84.4% 24.2% 50.3% 68.2% 84.3% 5.4% -10.7% 337.5K 628.4K 18.1K 1.13 7.57 N/A N/A 1,367 1,548 19,550 16,970 2023-08-24 $17.34 $17.50 88.0% 25.2% 51.7% 74.0% 88.0% 2.9% -12.9% 349.8K -195.3K 18.8K 0.27 49.58 N/A N/A 2,698 723 20,613 17,668 2023-08-25 $18.14 $17.50 88.6% 25.4% 54.9% 75.0% 88.5% 4.0% -13.3% 385.8K 2.2M 20.6K 0.67 13.39 N/A N/A 1,374 921 22,924 18,234 2023-08-28 $17.55 $17.50 89.6% 25.7% 55.0% 76.6% 88.8% 3.7% -17.4% 415.8K 1.2M 18.9K 0.17 58.74 N/A N/A 3,551 602 23,683 18,987 2023-08-29 $17.82 $17.50 88.3% 25.3% 54.5% 74.5% 88.1% 3.8% -16.0% 515.8K 3.4M 21.2K 1.13 53.00 N/A N/A 460 518 26,131 19,562 2023-08-30 $18.09 $17.50 85.8% 24.6% 54.9% 70.4% 83.8% 7.8% -16.4% 544.4K 3.9M 20.2K 0.49 52.30 N/A N/A 4,571 2,222 26,309 19,773 2023-08-31 $19.31 $17.50 56.7% 16.2% 59.0% 23.2% 60.9% 4.0% 2.0% 800.8K 10.0M 19.7K 0.87 20.60 N/A N/A 10,864 9,419 29,578 20,930
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