VSCO Options History — September 2023

In September 2023, VSCO traded between $16.14 and $19.77. ATM implied volatility averaged 62.1%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded above realized volatility by 0.7% (HV 20d: 61.4%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.11.

Notable Days

  • 2023-09-08: Highest Volume — 10,494 contracts
  • 2023-09-05: Largest IV spike — 19.8% change
  • 2023-09-28: Highest IV Rank — 45.0%
  • 2023-09-28: Largest Expected Move — 20.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.51$16.14$19.77$19.77$16.66
Max Pain$18.00$17.50$20.00$17.50$17.50
ATM IV62.1%51.2%70.1%51.2%66.9%
Expected Move17.6%14.7%20.1%14.7%19.2%
HV 20d61.4%52.9%68.3%59.3%52.9%
HV 60d54.9%52.3%58.2%55.5%52.4%
IV Rank32.1%14.4%45.0%14.4%39.8%
IV Percentile49.0%17.9%75.8%17.9%67.5%
Term Structure1.1%-4.1%7.2%3.5%-4.1%
VWIV62.7%56.8%69.9%56.8%68.6%
Skew 25d4.5%3.0%6.7%4.9%3.7%
Skew 10d10.9%0.0%18.8%5.3%10.9%
Call IV 25d60.3%53.0%69.5%53.0%67.2%
Put IV 25d64.9%57.9%73.4%57.9%70.9%
Bid-Ask Spread %24.608.1151.2939.8729.28
Gamma HHI0.340.300.450.450.37
Net GEX554.0K305.1K933.5K933.5K615.2K
Net DEX1.7M-4.5M10.4M10.4M328.3K
Net VEX28.4K18.9K35.5K18.9K24.8K
P/C Ratio1.110.174.382.400.67
Total Volume2,178.0519910,4943,853903
Total OI56,553.6547,26168,42558,89053,163

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$19.77$17.5051.2%14.7%59.3%14.4%56.8%4.9%3.5%933.5K10.4M18.9K2.4039.87N/AN/A1,1342,71932,31926,571
2023-09-05$18.64$20.0061.3%16.7%59.6%30.8%57.5%3.0%7.2%345.0K-865.1K24.4K0.5426.21N/AN/A1,80897632,98627,071
2023-09-06$18.11$20.0058.9%16.6%60.2%26.8%56.8%3.8%6.4%364.8K-2.2M25.5K0.8821.58N/AN/A31427534,04927,661
2023-09-07$18.16$20.0058.2%16.8%59.9%25.8%59.1%3.8%6.0%375.0K-1.9M25.6K1.7751.29N/AN/A1,3442,38534,14027,617
2023-09-08$16.64$20.0058.0%16.8%66.6%25.3%60.8%5.3%6.0%305.1K-4.5M20.6K0.4410.32N/AN/A7,3083,18634,25927,426
2023-09-11$17.36$17.5066.5%17.2%68.3%39.1%64.4%5.2%5.4%514.9K1.6M33.0K0.2324.65N/AN/A2,07948638,73627,484
2023-09-12$17.07$17.5066.8%17.2%62.6%39.6%63.5%4.2%4.6%527.8K1.5M33.3K0.1718.36N/AN/A2,33540439,15627,590
2023-09-13$17.17$17.5059.5%17.1%62.9%27.9%59.0%4.9%4.4%555.7K2.7M34.5K0.3012.50N/AN/A1,34040539,83727,621
2023-09-14$17.74$17.5059.7%17.1%64.3%28.2%60.0%6.7%-2.0%593.9K4.6M35.5K3.3417.31N/AN/A3651,21839,83427,404
2023-09-15$18.44$17.5061.3%17.6%66.5%30.7%62.2%3.8%-2.1%603.2K7.0M34.8K0.9511.30N/AN/A1,1611,10440,01228,413
2023-09-18$17.91$17.5060.3%17.3%66.7%29.0%62.1%3.3%-0.9%603.5K4.5M31.7K1.178.11N/AN/A69281125,18222,079
2023-09-19$17.61$17.5061.1%17.5%65.7%30.5%62.0%6.0%-1.3%605.1K3.3M31.6K0.6312.30N/AN/A24715525,51022,669
2023-09-20$17.19$17.5061.6%17.7%62.3%31.3%62.1%3.3%-0.4%597.5K1.8M30.5K0.1740.00N/AN/A4006625,68222,729
2023-09-21$17.45$17.5063.0%18.1%61.7%33.5%64.5%5.2%-0.7%603.3K2.6M30.8K0.8126.36N/AN/A18414925,88622,765
2023-09-22$17.36$17.5061.0%17.5%59.8%30.2%64.7%6.0%-0.6%621.8K2.5M30.2K0.6526.75N/AN/A41226825,90822,775
2023-09-25$17.30$17.5065.3%18.7%57.4%37.2%65.2%4.8%-3.7%592.9K2.1M28.0K0.4833.27N/AN/A43721126,10222,834
2023-09-26$17.11$17.5066.7%19.1%56.4%39.4%69.9%4.3%-2.4%588.7K1.5M27.5K4.3827.76N/AN/A3716226,29322,729
2023-09-27$16.45$17.5064.9%18.6%57.6%36.6%66.8%5.0%-1.4%567.6K-872.3K24.5K1.7828.51N/AN/A5701,01526,33422,702
2023-09-28$16.14$17.5070.1%20.1%57.3%45.0%68.4%3.9%-3.0%565.1K-2.1M23.3K0.4426.30N/AN/A3,1171,37926,49523,050
2023-09-29$16.66$17.5066.9%19.2%52.9%39.8%68.6%3.7%-4.1%615.2K328.3K24.8K0.6729.28N/AN/A54036329,41523,748