VSCO Options History — November 2023

In November 2023, VSCO traded between $17.46 and $27.02. ATM implied volatility averaged 74.7%, placing in the 52.4% IV rank vs the trailing year. The 30-day expected move averaged 21.6%. IV traded above realized volatility by 4.8% (HV 20d: 69.9%). Max pain ranged from $15.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2023-11-29: Highest Volume — 14,701 contracts
  • 2023-11-30: Largest IV drop — 36.3% change
  • 2023-11-29: Highest IV Rank — 80.1%
  • 2023-11-29: Largest Expected Move — 26.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.51$17.46$27.02$17.46$27.02
Max Pain$17.62$15.00$22.50$15.00$22.50
ATM IV74.7%58.4%91.7%72.7%58.4%
Expected Move21.6%16.7%26.3%20.8%16.7%
HV 20d69.9%62.0%75.5%71.4%74.7%
HV 60d65.8%62.9%69.8%62.9%69.8%
IV Rank52.4%26.0%80.1%49.2%26.0%
IV Percentile80.3%33.3%98.4%79.8%33.3%
Term Structure-8.3%-23.5%3.9%3.9%-2.9%
VWIV76.4%60.5%92.5%72.6%60.5%
Skew 25d5.7%1.5%8.5%5.4%1.5%
Skew 10d12.3%3.1%16.8%12.3%3.1%
Call IV 25d73.5%58.8%89.5%72.4%58.8%
Put IV 25d79.2%60.3%98.0%77.8%60.3%
Bid-Ask Spread %47.9116.4074.9874.9845.66
Gamma HHI0.270.140.450.450.26
Net GEX224.6K162.6K599.2K404.2K599.2K
Net DEX5.0M1.5M23.1M8.2M23.1M
Net VEX12.3K9.2K15.5K13.5K15.5K
P/C Ratio0.690.022.960.440.73
Total Volume2,725.2385314,70133410,732
Total OI45,866.8139,31252,39947,62052,399

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$17.46$15.0072.7%20.8%71.4%49.2%72.6%5.4%3.9%404.2K8.2M13.5K0.4474.98N/AN/A23210227,63919,981
2023-11-02$18.91$17.5070.0%21.2%75.4%44.8%79.5%6.3%-4.6%167.6K2.1M15.0K0.4251.61N/AN/A1,89180327,75920,066
2023-11-03$19.44$17.5068.5%21.1%75.5%42.5%73.2%6.6%-4.6%162.6K2.7M13.9K0.1751.75N/AN/A1,94532127,49919,848
2023-11-06$19.66$17.5072.2%21.2%74.6%48.4%74.0%6.3%-5.6%163.7K2.9M13.6K0.5255.79N/AN/A55028726,65119,973
2023-11-07$18.82$17.5071.9%21.2%74.5%47.8%77.1%6.6%-5.1%168.2K2.1M13.4K2.0055.69N/AN/A23546926,87920,143
2023-11-08$18.11$17.5075.4%21.6%66.8%53.5%74.8%5.9%-6.9%170.2K1.5M13.0K0.0249.04N/AN/A2,3744727,02820,182
2023-11-09$18.30$17.5073.8%21.1%66.8%50.9%76.4%4.6%-5.4%172.5K1.6M13.0K0.9552.74N/AN/A58756029,22820,179
2023-11-10$19.57$17.5073.6%21.1%69.8%50.7%73.4%8.3%-5.9%174.9K2.9M13.1K0.0443.01N/AN/A5,01821129,45420,411
2023-11-13$18.86$17.5075.0%21.5%69.9%53.0%76.8%6.9%-6.8%183.8K2.1M12.4K0.0344.14N/AN/A5,72716830,61020,464
2023-11-14$20.30$17.5074.5%21.4%71.7%52.1%75.9%5.0%-6.8%183.1K3.8M12.1K0.2246.62N/AN/A2,58056128,33320,452
2023-11-15$20.96$17.5074.1%21.2%71.7%51.5%75.0%4.5%-7.7%183.0K4.6M11.8K0.4946.19N/AN/A49624227,91420,606
2023-11-16$20.20$17.5076.8%22.0%73.5%55.8%77.4%8.1%-9.9%190.9K3.6M12.1K0.3851.56N/AN/A71227228,14120,770
2023-11-17$21.38$17.5073.3%21.0%69.4%50.2%73.5%4.6%-7.5%195.0K5.1M11.8K0.3047.00N/AN/A96529428,31420,879
2023-11-20$20.98$17.5074.8%21.4%68.6%52.6%74.4%4.3%-9.4%212.3K4.9M11.3K0.3348.49N/AN/A69022521,11318,199
2023-11-21$21.13$17.5073.8%21.1%67.5%50.9%75.6%5.1%-9.6%226.5K5.0M11.2K2.9656.76N/AN/A20560721,41018,258
2023-11-22$21.04$17.5076.1%21.8%67.4%54.7%75.3%6.3%-11.2%233.2K4.9M11.7K0.2556.94N/AN/A40510321,50818,603
2023-11-24$21.06$17.5076.8%22.0%67.2%55.9%77.4%6.2%-10.9%240.7K4.9M11.4K1.9416.40N/AN/A183521,61618,645
2023-11-27$21.55$17.5084.1%24.1%67.2%67.7%85.6%6.0%-19.2%236.7K5.5M10.1K0.6849.57N/AN/A43829921,64518,653
2023-11-28$22.33$17.5080.9%23.2%62.0%62.5%83.1%2.9%-15.0%235.3K6.6M9.7K0.8417.86N/AN/A61151221,93118,853
2023-11-29$23.54$17.5091.7%26.3%62.8%80.1%92.5%8.5%-23.5%213.2K7.8M9.2K0.7944.34N/AN/A8,2316,47021,84119,126
2023-11-30$27.02$22.5058.4%16.7%74.7%26.0%60.5%1.5%-2.9%599.2K23.1M15.5K0.7345.66N/AN/A6,1944,53827,96624,433