VSCO Options History — July 2024

In July 2024, VSCO traded between $15.98 and $19.80. ATM implied volatility averaged 52.2%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded below realized volatility by 15.7% (HV 20d: 67.9%). Max pain ranged from $15.00 to $18.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.54.

Notable Days

  • 2024-07-01: Highest Volume — 11,444 contracts
  • 2024-07-05: Largest IV spike — 6.0% change
  • 2024-07-18: Highest IV Rank — 11.9%
  • 2024-07-18: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.03$15.98$19.80$15.98$17.87
Max Pain$16.32$15.00$18.00$18.00$17.00
ATM IV52.2%49.3%54.8%51.1%50.0%
Expected Move14.9%14.1%15.7%14.6%14.3%
HV 20d67.9%54.8%76.4%70.0%54.8%
HV 60d61.0%57.6%62.5%59.2%62.3%
IV Rank9.5%6.9%11.9%8.5%7.4%
IV Percentile22.0%10.3%29.0%15.5%13.5%
Term Structure7.1%1.2%12.2%1.2%12.2%
VWIV53.7%48.8%56.6%52.6%53.5%
Skew 25d0.8%-1.5%3.0%-1.2%2.2%
Skew 10d1.2%-11.1%4.5%1.8%2.5%
Call IV 25d53.1%49.5%56.0%52.6%52.7%
Put IV 25d54.0%50.9%58.1%51.4%54.9%
Bid-Ask Spread %43.9333.2658.1039.1941.89
Gamma HHI0.220.160.380.240.21
Net GEX318.2K142.0K523.7K466.7K523.7K
Net DEX2.3M-5.6M6.2M-5.6M1.1M
Net VEX11.7K8.0K16.3K12.5K13.3K
P/C Ratio1.540.065.740.204.75
Total Volume2,686.77330711,44411,4441,110
Total OI54,432.45545,71963,31850,46751,099

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-07-01$15.98$18.0051.1%14.6%70.0%8.5%52.6%-1.2%1.2%466.7K-5.6M12.5K0.2039.19N/AN/A9,5071,93727,31823,149
2024-07-02$16.30$18.0049.5%14.2%69.3%7.0%50.2%1.7%1.7%427.5K-5.4M10.1K1.3051.12N/AN/A1,5432,00029,73423,429
2024-07-03$15.98$18.0049.3%14.1%68.7%6.9%48.8%-0.6%2.4%431.9K-5.3M10.0K0.1458.10N/AN/A1,40320330,70724,065
2024-07-05$17.30$15.0052.3%14.7%76.4%9.6%52.1%1.3%7.8%205.4K5.4M12.7K0.2539.08N/AN/A2,69667431,39624,158
2024-07-08$17.93$15.0054.2%15.3%75.7%11.3%55.4%1.1%6.5%177.0K5.4M10.0K0.1947.20N/AN/A2,25342030,97124,289
2024-07-09$18.02$15.0053.6%14.9%75.1%10.8%53.0%1.2%7.3%181.5K5.0M10.1K0.2450.20N/AN/A54113130,73124,444
2024-07-10$18.52$15.0052.0%14.9%65.2%9.3%56.3%2.6%6.7%169.9K5.4M9.5K0.0647.05N/AN/A4,36525330,64024,470
2024-07-11$19.80$15.0052.1%14.9%69.3%9.4%56.6%-0.1%6.6%142.0K6.2M8.0K1.5836.68N/AN/A3,6945,84530,82524,461
2024-07-12$19.21$15.0050.6%14.5%69.7%8.0%50.2%-0.2%7.7%155.0K5.0M8.5K2.5746.23N/AN/A5431,39329,76529,602
2024-07-15$18.16$15.0053.0%15.2%72.5%10.2%54.6%0.3%6.7%177.4K3.9M8.8K3.6146.78N/AN/A7902,85029,94530,568
2024-07-16$18.84$16.0051.6%14.8%73.3%9.0%55.7%0.1%8.0%213.5K4.1M10.6K0.3433.26N/AN/A63821830,29532,457
2024-07-17$19.05$16.0053.2%15.3%66.8%10.4%54.3%0.7%6.8%210.0K4.4M10.6K0.5943.09N/AN/A95455930,51132,484
2024-07-18$18.24$16.0054.8%15.7%67.6%11.9%55.4%-0.8%5.4%244.3K3.2M11.0K0.1648.73N/AN/A84613730,50732,710
2024-07-19$18.37$16.0052.6%15.1%66.7%9.9%53.6%-1.5%8.6%244.7K3.6M10.5K5.7451.69N/AN/A6293,60930,64332,675
2024-07-22$18.31$17.0052.8%15.1%66.1%10.0%53.4%0.3%7.0%355.7K2.5M13.2K2.1747.49N/AN/A6181,34423,86221,857
2024-07-23$18.26$17.0052.1%14.9%66.0%9.4%55.9%3.0%9.2%390.4K1.9M15.2K1.9841.11N/AN/A30861124,23323,131
2024-07-24$17.95$17.0053.4%15.3%66.2%10.6%55.6%2.4%7.6%439.1K1.3M16.3K4.2050.75N/AN/A2581,08424,25123,669
2024-07-25$18.21$17.0053.1%15.2%66.2%10.4%53.1%0.3%8.2%447.9K2.0M15.2K2.0037.39N/AN/A22344624,42824,604
2024-07-26$18.56$17.0051.4%14.7%66.4%8.8%51.6%2.6%10.0%421.5K2.7M13.8K0.9933.71N/AN/A15415324,57824,779
2024-07-29$18.16$17.0052.7%15.1%66.7%9.9%54.3%0.5%9.8%453.0K2.2M12.4K0.3040.31N/AN/A1,03930824,68124,860
2024-07-30$17.64$17.0052.3%15.0%55.0%9.6%54.7%2.7%9.4%522.4K671.0K13.9K0.5935.37N/AN/A51630625,48925,044
2024-07-31$17.87$17.0050.0%14.3%54.8%7.4%53.5%2.2%12.2%523.7K1.1M13.3K4.7541.89N/AN/A19391725,84025,259