VSCO Options History — December 2023

In December 2023, VSCO traded between $25.02 and $28.77. ATM implied volatility averaged 56.5%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded below realized volatility by 18.0% (HV 20d: 74.4%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.69.

Notable Days

  • 2023-12-11: Highest Volume — 10,390 contracts
  • 2023-12-11: Largest IV spike — 18.6% change
  • 2023-12-11: Highest IV Rank — 36.7%
  • 2023-12-04: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.82$25.02$28.77$28.61$26.64
Max Pain$20.95$20.00$22.50$22.50$22.50
ATM IV56.5%51.9%65.0%56.3%55.8%
Expected Move15.6%14.9%16.2%16.1%16.0%
HV 20d74.4%60.8%80.4%72.8%60.8%
HV 60d70.2%69.0%72.0%70.6%69.6%
IV Rank22.9%15.5%36.7%22.6%21.9%
IV Percentile31.0%19.4%59.9%27.0%27.0%
Term Structure2.7%-1.7%6.9%-1.7%-0.1%
VWIV54.9%51.7%58.6%57.9%56.0%
Skew 25d2.5%0.8%4.7%0.8%3.0%
Skew 10d7.5%2.3%15.0%2.3%15.0%
Call IV 25d54.1%51.8%57.3%57.3%55.3%
Put IV 25d56.7%53.5%58.8%58.1%58.3%
Bid-Ask Spread %47.7419.4367.3944.1752.19
Gamma HHI0.150.120.170.170.13
Net GEX679.0K308.6K1.1M441.6K1.1M
Net DEX16.5M10.1M28.2M24.4M17.4M
Net VEX31.6K10.1K43.3K10.1K38.4K
P/C Ratio0.690.073.641.020.07
Total Volume2,71257710,3903,4903,967
Total OI54,611.5542,91965,41854,73050,019

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$28.61$22.5056.3%16.1%72.8%22.6%57.9%0.8%-1.7%441.6K24.4M10.1K1.0244.17N/AN/A1,7251,76528,04826,682
2023-12-04$27.09$20.0061.4%16.2%77.5%30.8%55.6%4.0%3.4%308.6K11.7M23.3K0.2426.34N/AN/A5,4601,28828,10527,456
2023-12-05$25.94$20.0061.1%16.0%80.4%30.5%55.8%4.7%5.5%348.9K10.1M25.4K0.2439.64N/AN/A5,6161,33732,93827,701
2023-12-06$26.10$20.0059.5%15.8%77.5%27.8%55.1%3.8%4.9%363.7K11.2M24.6K0.2020.10N/AN/A1,56331332,89527,530
2023-12-07$26.76$20.0058.8%15.5%74.8%26.6%51.7%3.3%5.8%391.5K12.0M26.5K1.0363.82N/AN/A43444532,07327,691
2023-12-08$26.48$20.0054.8%15.3%75.5%20.2%55.1%2.7%6.4%388.2K11.5M25.2K1.1063.06N/AN/A40644632,12727,793
2023-12-11$26.34$20.0065.0%15.5%73.7%36.7%53.2%3.8%5.1%382.7K11.5M22.8K0.1167.39N/AN/A9,39299832,16828,030
2023-12-12$25.40$20.0063.3%15.1%73.6%34.0%53.7%3.3%6.2%592.4K12.0M33.9K0.9763.91N/AN/A59758135,94928,596
2023-12-13$26.69$20.0052.0%14.9%71.5%15.7%53.3%2.7%6.9%639.2K15.9M34.3K0.9867.05N/AN/A55654336,22328,925
2023-12-14$26.80$20.0051.9%14.9%71.3%15.5%52.7%2.5%1.6%667.9K15.9M35.5K0.9664.70N/AN/A42841336,23928,859
2023-12-15$25.75$20.0052.3%15.0%71.6%16.2%53.9%2.1%1.4%613.3K13.0M32.1K0.6624.88N/AN/A1,14374936,26529,153
2023-12-18$25.02$21.0052.9%15.2%70.9%17.1%53.2%1.8%2.4%615.3K10.8M29.8K0.2667.07N/AN/A1,06027124,35618,563
2023-12-19$27.07$21.0052.4%15.0%74.4%16.3%52.9%1.5%0.3%762.5K17.6M34.8K0.2261.10N/AN/A1,87041525,14418,655
2023-12-20$26.37$21.0054.3%15.6%75.7%19.4%53.9%0.9%0.4%799.9K17.1M36.6K0.7319.43N/AN/A33424326,20518,741
2023-12-21$27.79$21.0055.8%16.0%76.8%21.7%55.9%1.9%0.5%839.0K22.0M38.6K0.1824.79N/AN/A2,64046726,26318,874
2023-12-22$28.06$22.5055.6%16.0%76.7%21.6%55.9%2.2%0.7%991.4K24.7M43.3K0.4562.38N/AN/A1,88685127,64819,437
2023-12-26$28.77$22.5056.2%16.1%76.7%22.4%58.6%1.9%1.5%1.1M28.2M41.6K0.1135.21N/AN/A5746428,71520,113
2023-12-27$27.59$22.5055.0%15.8%78.8%20.6%56.4%0.9%1.4%1.1M22.7M38.6K0.7163.52N/AN/A74252628,66920,146
2023-12-28$27.05$22.5054.8%15.7%77.8%20.2%56.5%2.9%0.8%1.1M19.4M37.2K3.6424.07N/AN/A4591,67328,71920,518
2023-12-29$26.64$22.5055.8%16.0%60.8%21.9%56.0%3.0%-0.1%1.1M17.4M38.4K0.0752.19N/AN/A3,70626128,70221,317