VSCO Options History — March 2024

In March 2024, VSCO traded between $17.77 and $28.23. ATM implied volatility averaged 65.1%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded below realized volatility by 54.4% (HV 20d: 119.5%). Max pain ranged from $19.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.85.

Notable Days

  • 2024-03-07: Highest Volume — 53,914 contracts
  • 2024-03-07: Largest IV drop — 55.2% change
  • 2024-03-04: Highest IV Rank — 100.0%
  • 2024-03-01: Largest Expected Move — 27.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.40$17.77$28.23$28.23$19.34
Max Pain$21.80$19.00$30.00$28.00$19.00
ATM IV65.1%41.9%150.3%95.1%43.0%
Expected Move15.7%12.0%27.3%27.3%12.3%
HV 20d119.5%46.8%138.5%46.8%138.5%
HV 60d81.1%49.0%89.7%49.0%88.9%
IV Rank24.6%0.0%100.0%85.5%1.0%
IV Percentile30.2%0.0%100.0%98.0%1.2%
Term Structure0.6%-28.6%9.7%-28.6%3.7%
VWIV55.4%42.3%95.2%95.2%43.0%
Skew 25d1.1%-1.3%3.4%-1.3%0.5%
Skew 10d3.2%-8.9%8.4%0.3%4.1%
Call IV 25d55.4%42.1%95.8%95.8%44.1%
Put IV 25d56.5%43.4%94.5%94.5%44.6%
Bid-Ask Spread %24.317.6251.7751.7715.06
Gamma HHI0.180.120.290.120.22
Net GEX419.1K54.8K762.1K688.8K762.1K
Net DEX1.0M-4.7M4.8M4.8M4.8M
Net VEX17.8K4.0K25.0K25.0K20.4K
P/C Ratio0.850.272.620.930.39
Total Volume10,174.4594453,9145,1571,666
Total OI74,482.2540,884110,26640,88467,367

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-03-01$28.23$28.0095.1%27.3%46.8%85.5%95.2%-1.3%-28.6%688.8K4.8M25.0K0.9351.77N/AN/A2,6692,48820,66220,222
2024-03-04$26.14$30.00127.7%21.9%54.6%100.0%76.0%1.7%-9.4%123.6K383.7K11.8K0.629.45N/AN/A8,6785,41722,63122,527
2024-03-05$26.74$29.00138.4%22.2%55.3%100.0%77.8%0.9%-9.4%214.8K1.2M20.5K0.307.62N/AN/A2,26868630,36427,093
2024-03-06$25.28$29.00150.3%23.9%58.2%100.0%83.1%3.4%-11.4%195.4K263.6K19.2K0.5614.91N/AN/A21,43612,09530,85527,683
2024-03-07$17.77$27.0067.3%16.9%137.3%23.1%60.6%3.0%6.4%54.8K-4.7M4.0K1.0215.96N/AN/A26,65727,25744,57236,452
2024-03-08$18.04$20.0057.0%15.6%135.2%13.6%55.2%1.0%9.0%237.7K125.7K15.2K0.8948.93N/AN/A11,96010,68661,28236,542
2024-03-11$19.12$20.0060.9%15.4%136.0%17.2%54.4%1.8%9.1%334.1K1.6M19.6K0.5728.46N/AN/A10,7426,17164,91440,407
2024-03-12$18.58$20.0059.0%14.6%133.8%15.5%51.8%1.4%9.7%323.5K93.7K17.5K2.6226.99N/AN/A2,6847,02064,79841,371
2024-03-13$19.39$20.0049.6%14.2%135.3%6.7%50.3%2.2%9.5%372.9K1.5M19.1K1.0930.54N/AN/A5,4885,97565,19245,074
2024-03-14$18.74$20.0049.1%14.1%134.9%6.2%49.3%2.1%1.7%381.5K-337.4K18.8K0.2736.01N/AN/A3,35692264,02145,571
2024-03-15$18.34$20.0047.9%13.7%133.4%5.2%47.8%1.2%2.4%366.1K-1.3M17.6K1.1322.88N/AN/A1,8072,04562,84045,816
2024-03-18$18.30$20.0046.6%13.4%133.6%4.0%47.5%-0.6%1.7%427.4K-1.7M18.1K1.3923.58N/AN/A1,7132,37529,42429,356
2024-03-19$18.62$20.0044.8%12.8%134.4%2.2%44.9%0.1%2.6%466.5K-1.3M18.0K0.4329.18N/AN/A1,09146430,36031,223
2024-03-20$19.55$19.0044.2%12.7%136.7%1.8%45.3%1.4%1.9%526.9K2.9M19.9K0.7224.87N/AN/A1,27692531,04430,518
2024-03-21$20.03$19.0042.7%12.2%137.5%0.3%44.6%0.4%2.9%567.6K4.5M20.0K0.9721.61N/AN/A2,0231,95631,64730,765
2024-03-22$19.89$19.0041.9%12.0%136.1%0.0%42.3%1.3%3.1%594.5K3.9M19.6K0.7618.61N/AN/A59044931,53530,972
2024-03-25$18.39$19.0045.6%13.1%137.6%3.4%47.6%-0.6%1.8%482.7K-152.7K15.8K0.5121.97N/AN/A3,8701,98231,62731,202
2024-03-26$18.62$19.0045.6%13.1%137.0%3.4%45.4%1.0%2.7%560.4K93.6K16.9K0.2810.80N/AN/A2,86679231,89132,722
2024-03-27$18.93$19.0044.7%12.8%137.7%2.5%45.3%0.8%2.0%700.1K3.3M19.8K1.5227.01N/AN/A37457034,40532,698
2024-03-28$19.34$19.0043.0%12.3%138.5%1.0%43.0%0.5%3.7%762.1K4.8M20.4K0.3915.06N/AN/A1,19946734,41132,956