VSCO Options History — October 2023 In October 2023, VSCO traded between $14.41 and $19.55. ATM implied volatility averaged 75.3%, placing in the 53.4% IV rank vs the trailing year. The 30-day expected move averaged 20.9%. IV traded above realized volatility by 11.2% (HV 20d: 64.0%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.67.
Notable Days 2023-10-25 : Highest Volume — 10,690 contracts2023-10-05 : Largest IV spike — 12.6% change2023-10-09 : Highest IV Rank — 81.8%2023-10-03 : Largest Expected Move — 22.8%Monthly Statistics Metric Avg Min Max Open Close Price $16.78 $14.41 $19.55 $16.14 $17.95 Max Pain $15.23 $15.00 $17.50 $17.50 $15.00 ATM IV 75.3% 67.2% 92.8% 72.7% 75.8% Expected Move 20.9% 19.3% 22.8% 20.8% 21.7% HV 20d 64.0% 47.5% 76.6% 52.3% 71.8% HV 60d 58.6% 52.3% 63.1% 52.3% 62.7% IV Rank 53.4% 40.3% 81.8% 49.3% 54.2% IV Percentile 82.9% 68.7% 98.8% 82.9% 85.7% Term Structure 1.7% -8.1% 4.9% -3.3% 1.9% VWIV 73.9% 69.0% 80.1% 72.6% 75.9% Skew 25d 6.3% 2.8% 8.5% 2.8% 3.6% Skew 10d 14.9% -4.5% 32.5% 11.7% 12.0% Call IV 25d 71.1% 66.3% 78.1% 72.3% 75.3% Put IV 25d 77.4% 71.9% 83.4% 75.1% 78.9% Bid-Ask Spread % 43.46 9.25 74.54 40.44 74.54 Gamma HHI 0.62 0.38 0.85 0.38 0.44 Net GEX 257.1K 110.2K 582.2K 582.2K 372.0K Net DEX 5.3M -5.1M 12.3M -1.8M 9.4M Net VEX 13.4K 8.5K 20.8K 20.8K 13.9K P/C Ratio 0.67 0.02 2.12 0.11 0.85 Total Volume 3,176.727 286 10,690 1,528 1,101 Total OI 59,684.227 40,840 72,584 52,793 47,285
Daily Data (22 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 2023-10-02 $16.14 $17.50 72.7% 20.8% 52.3% 49.3% 72.6% 2.8% -3.3% 582.2K -1.8M 20.8K 0.11 40.44 N/A N/A 1,381 147 29,063 23,730 2023-10-03 $14.98 $17.50 79.4% 22.8% 54.5% 60.1% 80.1% 4.4% -8.1% 461.5K -5.1M 16.7K 0.54 24.12 N/A N/A 3,846 2,070 29,740 23,847 2023-10-04 $14.48 $15.00 76.6% 22.0% 54.7% 55.6% 76.4% 6.0% -5.7% 567.3K -4.9M 19.3K 0.58 13.53 N/A N/A 4,410 2,580 33,328 25,516 2023-10-05 $14.41 $15.00 86.3% 21.2% 54.5% 71.3% 73.9% 8.0% 2.4% 110.2K 1.9M 9.8K 0.82 56.15 N/A N/A 1,554 1,282 37,389 27,307 2023-10-06 $14.68 $15.00 85.7% 21.8% 47.5% 70.3% 75.9% 7.0% 1.4% 146.2K 2.4M 13.1K 0.13 39.10 N/A N/A 1,924 250 38,784 28,149 2023-10-09 $15.36 $15.00 92.8% 22.4% 47.9% 81.8% 75.5% 8.5% 0.8% 167.9K 3.9M 14.3K 0.20 49.22 N/A N/A 2,471 487 40,611 28,069 2023-10-10 $16.38 $15.00 87.4% 21.1% 53.8% 73.1% 75.5% 7.1% 1.4% 171.4K 5.3M 13.9K 1.02 59.91 N/A N/A 485 497 41,456 28,305 2023-10-11 $14.92 $15.00 76.5% 21.9% 62.6% 55.4% 76.1% 8.2% 0.2% 177.7K 3.2M 13.8K 1.18 48.32 N/A N/A 1,785 2,109 41,581 28,510 2023-10-12 $15.18 $15.00 72.6% 20.8% 61.6% 49.1% 72.7% 5.9% 4.5% 194.1K 3.5M 14.0K 0.43 49.38 N/A N/A 2,574 1,118 41,195 29,387 2023-10-13 $15.46 $15.00 71.6% 20.5% 59.9% 47.4% 71.1% 6.6% 4.9% 211.0K 3.8M 14.7K 1.26 43.40 N/A N/A 340 430 42,348 30,094 2023-10-16 $16.34 $15.00 67.2% 19.3% 63.5% 40.3% 72.2% 7.0% 4.7% 211.5K 5.1M 13.6K 1.18 34.38 N/A N/A 1,426 1,678 42,339 30,245 2023-10-17 $17.29 $15.00 67.3% 19.3% 66.9% 40.5% 72.4% 5.7% 4.0% 181.1K 6.8M 11.3K 0.54 22.83 N/A N/A 961 517 42,090 29,443 2023-10-18 $17.84 $15.00 70.9% 20.3% 67.2% 46.3% 73.8% 7.8% 3.4% 165.5K 7.4M 10.7K 0.34 9.25 N/A N/A 5,125 1,721 41,664 29,531 2023-10-19 $17.88 $15.00 71.2% 20.4% 67.1% 46.8% 70.4% 7.0% 1.7% 204.6K 9.7M 13.1K 0.12 54.54 N/A N/A 2,290 285 41,645 29,689 2023-10-20 $19.55 $15.00 69.0% 19.8% 73.9% 43.1% 76.5% 5.7% 3.0% 162.2K 12.3M 10.0K 0.17 40.28 N/A N/A 4,557 760 40,951 29,789 2023-10-23 $18.94 $15.00 68.6% 19.7% 75.1% 42.5% 74.4% 6.6% 3.3% 173.5K 9.1M 9.5K 0.65 22.46 N/A N/A 1,557 1,011 22,077 19,122 2023-10-24 $18.41 $15.00 70.1% 20.1% 75.8% 45.0% 69.0% 5.6% 4.6% 182.0K 7.4M 8.9K 1.10 42.10 N/A N/A 430 473 21,581 19,259 2023-10-25 $18.76 $15.00 71.2% 20.4% 74.2% 46.8% 74.5% 5.8% 3.2% 179.2K 7.9M 8.5K 0.02 61.29 N/A N/A 10,454 236 21,779 19,342 2023-10-26 $18.57 $15.00 75.5% 21.6% 73.9% 53.7% 69.9% 7.0% 0.7% 323.2K 10.8M 14.9K 0.96 53.45 N/A N/A 146 140 25,963 19,482 2023-10-27 $18.39 $15.00 74.0% 21.2% 73.5% 51.3% 73.9% 5.5% 3.1% 333.3K 10.5M 14.7K 2.12 61.42 N/A N/A 231 489 26,033 19,526 2023-10-30 $17.23 $15.00 73.7% 21.1% 76.6% 50.8% 73.7% 6.2% 4.9% 377.6K 7.6M 14.4K 0.32 56.01 N/A N/A 1,938 622 26,104 19,705 2023-10-31 $17.95 $15.00 75.8% 21.7% 71.8% 54.2% 75.9% 3.6% 1.9% 372.0K 9.4M 13.9K 0.85 74.54 N/A N/A 595 506 27,548 19,737
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