VSCO Options History — August 2024

In August 2024, VSCO traded between $16.24 and $24.87. ATM implied volatility averaged 60.9%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded below realized volatility by 8.8% (HV 20d: 69.8%). Max pain ranged from $17.00 to $23.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 3.16.

Notable Days

  • 2024-08-29: Highest Volume — 20,412 contracts
  • 2024-08-05: Largest IV spike — 28.7% change
  • 2024-08-05: Highest IV Rank — 28.8%
  • 2024-08-05: Largest Expected Move — 21.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.49$16.24$24.87$16.73$23.21
Max Pain$19.64$17.00$23.00$17.00$23.00
ATM IV60.9%46.6%73.1%54.5%46.6%
Expected Move18.2%13.4%21.8%15.6%13.4%
HV 20d69.8%52.9%81.6%59.7%76.0%
HV 60d68.3%60.9%72.6%63.7%71.3%
IV Rank17.5%4.3%28.8%11.6%4.3%
IV Percentile51.9%4.4%75.4%32.1%4.4%
Term Structure-4.2%-8.9%12.4%9.8%-0.6%
VWIV64.2%47.0%75.7%55.2%47.0%
Skew 25d3.5%0.6%9.2%1.6%0.7%
Skew 10d5.9%0.3%11.0%1.7%3.9%
Call IV 25d63.0%46.3%71.2%54.6%46.3%
Put IV 25d66.4%47.0%78.8%56.2%47.0%
Bid-Ask Spread %40.7224.9854.0326.5554.03
Gamma HHI0.150.110.280.250.15
Net GEX794.2K226.9K2.0M596.1K2.0M
Net DEX8.6M-5.5M20.9M-2.1M5.6M
Net VEX37.4K13.9K66.3K13.9K56.2K
P/C Ratio3.160.1411.279.180.76
Total Volume5,696.5911,24720,4122,7274,898
Total OI60,425.31851,71189,38851,71189,388

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-08-01$16.73$17.0054.5%15.6%59.7%11.6%55.2%1.6%9.8%596.1K-2.1M13.9K9.1826.55N/AN/A2682,45925,90225,809
2024-08-02$16.24$17.0056.8%16.3%53.3%13.7%56.5%3.1%12.4%717.4K-5.5M16.3K2.8040.41N/AN/A4431,24025,93028,020
2024-08-05$17.03$18.0073.1%21.8%54.6%28.8%75.7%7.6%-8.8%226.9K-282.7K21.1K3.8952.38N/AN/A8283,22326,20227,333
2024-08-06$17.64$18.0061.6%20.1%56.1%18.1%69.8%9.2%-4.4%251.3K175.9K22.1K2.8349.49N/AN/A8662,44726,56325,838
2024-08-07$17.91$18.0063.2%20.2%55.5%19.7%70.1%5.1%-3.5%263.4K632.3K22.8K0.3346.45N/AN/A1,34643826,37727,280
2024-08-08$18.82$18.0057.8%19.7%52.9%14.7%68.8%4.5%-3.2%283.8K1.9M23.6K0.8043.96N/AN/A75060225,96427,493
2024-08-09$19.84$18.0056.5%20.2%55.3%13.5%73.9%4.3%-6.3%292.3K3.4M24.6K0.4039.46N/AN/A2,9221,17725,87927,661
2024-08-12$18.66$17.0066.2%20.3%56.1%22.4%72.2%5.2%-6.7%305.5K2.7M23.8K11.2732.26N/AN/A5986,73725,87328,066
2024-08-13$19.04$17.0063.4%20.6%55.0%19.8%71.1%4.5%-7.6%313.5K3.2M23.8K6.7239.96N/AN/A3692,47925,92626,914
2024-08-14$22.39$17.0067.1%19.2%79.5%23.3%69.2%0.6%-5.0%297.7K9.4M20.7K0.5133.91N/AN/A7,7533,94726,05428,753
2024-08-15$24.16$18.0061.6%17.7%80.5%18.2%63.7%2.7%-8.9%317.8K12.4M21.6K0.3735.97N/AN/A9,4433,50530,33530,501
2024-08-16$24.16$20.0063.4%18.2%80.6%19.8%63.4%3.5%-5.9%452.8K15.4M29.5K0.1442.34N/AN/A11,3711,54133,38632,016
2024-08-19$24.41$20.0061.7%17.7%80.4%18.3%62.7%2.6%-5.4%781.2K20.9M42.7K1.0039.51N/AN/A69969836,53118,226
2024-08-20$24.23$20.0061.3%17.6%80.6%17.9%61.6%3.4%-5.8%801.8K20.1M44.1K5.0637.20N/AN/A4512,28436,94718,506
2024-08-21$23.80$20.0062.2%17.8%80.6%18.7%62.6%4.0%-6.9%889.1K16.9M47.9K2.8945.41N/AN/A2,1096,09337,67420,525
2024-08-22$23.28$23.0064.2%18.4%81.6%20.6%65.5%0.8%-5.9%1.2M9.6M65.2K5.7742.95N/AN/A5823,35738,69826,379
2024-08-23$23.52$23.0061.2%17.5%81.6%17.8%62.4%1.0%-5.8%1.4M10.1M66.3K0.8948.64N/AN/A65958839,59928,333
2024-08-26$24.23$23.0061.8%17.7%80.8%18.3%62.5%3.7%-6.7%1.5M14.6M65.2K7.8824.98N/AN/A6375,02240,14028,697
2024-08-27$24.59$22.0061.9%17.7%79.2%18.5%63.7%3.1%-7.8%1.3M18.8M56.9K3.7740.90N/AN/A3211,20939,80125,692
2024-08-28$24.87$22.0064.1%18.4%79.2%20.4%65.2%4.0%-8.8%1.3M20.1M55.2K1.0530.88N/AN/A4,1704,38439,93026,227
2024-08-29$24.00$23.0050.0%14.3%75.6%7.4%50.9%0.9%-0.3%1.9M10.3M60.1K1.2648.29N/AN/A9,04511,36742,44135,548
2024-08-30$23.21$23.0046.6%13.4%76.0%4.3%47.0%0.7%-0.6%2.0M5.6M56.2K0.7654.03N/AN/A2,7892,10949,52339,865