VSCO Options History — September 2024

In September 2024, VSCO traded between $21.14 and $26.96. ATM implied volatility averaged 52.8%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded below realized volatility by 11.6% (HV 20d: 64.4%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.99.

Notable Days

2024-09-10: Highest Volume — 14,714 contracts
2024-09-30: Largest IV spike — 14.7% change
2024-09-30: Highest IV Rank — 14.0%
2024-09-30: Largest Expected Move — 16.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.32	$21.14	$26.96	$23.38	$25.80
Max Pain	$23.10	$22.00	$24.00	$23.00	$23.00
ATM IV	52.8%	49.8%	57.1%	53.0%	57.1%
Expected Move	15.0%	13.9%	16.4%	15.2%	16.4%
HV 20d	64.4%	55.3%	79.2%	75.2%	56.7%
HV 60d	67.5%	63.2%	70.2%	70.0%	63.2%
IV Rank	10.0%	7.2%	14.0%	10.2%	14.0%
IV Percentile	28.1%	12.7%	51.2%	29.8%	51.2%
Term Structure	2.7%	-1.8%	8.5%	-1.6%	-1.8%
VWIV	54.1%	49.7%	59.9%	55.4%	57.1%
Skew 25d	2.7%	0.6%	5.2%	0.6%	1.9%
Skew 10d	6.0%	-1.5%	14.3%	3.9%	6.9%
Call IV 25d	51.9%	48.5%	56.6%	53.4%	56.6%
Put IV 25d	54.6%	51.4%	58.5%	54.0%	58.5%
Bid-Ask Spread %	28.44	17.41	43.74	36.63	24.81
Gamma HHI	0.22	0.15	0.32	0.16	0.20
Net GEX	1.3M	643.7K	2.0M	2.0M	1.8M
Net DEX	12.8M	-5.4M	31.8M	7.1M	23.0M
Net VEX	51.4K	36.1K	63.9K	51.5K	52.8K
P/C Ratio	0.99	0.19	4.00	0.91	0.50
Total Volume	4,040.9	342	14,714	5,285	3,221
Total OI	84,704.45	56,501	100,828	89,090	64,917

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2024-09-03	$23.38	$23.00	53.0%	15.2%	75.2%	10.2%	55.4%	0.6%	-1.6%	2.0M	7.1M	51.5K	0.91	36.63	N/A	N/A	2,768	2,517	49,730	39,360
2024-09-04	$22.41	$23.00	50.8%	14.6%	77.6%	8.2%	59.9%	2.0%	-0.3%	1.9M	-812.2K	44.4K	0.67	42.94	N/A	N/A	1,778	1,193	48,245	39,802
2024-09-05	$23.59	$24.00	52.0%	13.9%	78.8%	9.3%	49.7%	3.0%	7.1%	731.2K	-292.9K	42.0K	0.94	28.29	N/A	N/A	677	639	48,625	40,099
2024-09-06	$24.02	$24.00	52.0%	14.6%	77.7%	9.3%	50.3%	2.2%	6.7%	755.5K	1.1M	43.2K	0.32	20.13	N/A	N/A	2,609	830	49,043	40,342
2024-09-09	$23.16	$24.00	52.8%	14.4%	78.0%	10.1%	50.7%	2.3%	8.5%	783.3K	-1.1M	41.9K	0.31	27.07	N/A	N/A	2,061	649	48,441	40,715
2024-09-10	$21.69	$24.00	56.6%	15.4%	78.5%	13.5%	53.9%	2.5%	5.5%	643.7K	-5.4M	36.1K	0.25	30.01	N/A	N/A	11,777	2,937	48,199	40,823
2024-09-11	$21.14	$23.00	53.1%	15.2%	79.2%	10.3%	53.2%	4.0%	4.7%	962.6K	-4.0M	50.3K	0.37	32.60	N/A	N/A	5,864	2,169	53,162	42,159
2024-09-12	$22.30	$23.00	51.9%	14.9%	56.9%	9.3%	52.7%	3.6%	5.3%	1.2M	3.4M	62.0K	1.91	29.53	N/A	N/A	349	665	56,696	42,543
2024-09-13	$23.84	$23.00	54.5%	15.6%	55.3%	11.7%	55.6%	2.8%	3.5%	1.2M	12.1M	63.9K	0.52	23.06	N/A	N/A	3,211	1,683	57,981	42,847
2024-09-16	$23.91	$23.00	55.6%	16.0%	55.4%	12.7%	57.9%	2.9%	2.2%	1.3M	13.0M	60.8K	0.19	28.12	N/A	N/A	4,503	837	56,178	43,177
2024-09-17	$24.34	$22.00	55.7%	16.0%	55.6%	12.7%	58.9%	2.4%	3.3%	1.3M	16.9M	61.6K	0.37	18.99	N/A	N/A	1,908	713	57,138	43,439
2024-09-18	$25.02	$22.00	54.2%	15.5%	56.4%	11.3%	55.1%	1.6%	3.2%	1.2M	20.5M	56.4K	0.20	32.46	N/A	N/A	5,388	1,088	56,285	43,726
2024-09-19	$25.88	$23.00	51.0%	14.6%	57.0%	8.4%	57.6%	3.2%	1.0%	1.2M	22.3M	56.6K	0.80	43.74	N/A	N/A	985	792	55,167	44,292
2024-09-20	$25.31	$23.00	51.8%	14.9%	57.0%	9.1%	51.9%	2.9%	-0.6%	1.3M	20.5M	54.2K	0.34	41.96	N/A	N/A	2,955	991	54,960	44,682
2024-09-23	$26.05	$23.00	52.4%	15.0%	57.7%	9.7%	54.4%	2.9%	0.1%	1.3M	25.8M	49.1K	1.76	18.70	N/A	N/A	252	443	32,717	23,784
2024-09-24	$26.96	$23.00	51.6%	14.8%	57.9%	8.9%	54.6%	2.0%	-0.5%	1.1M	31.8M	39.1K	4.00	17.41	N/A	N/A	940	3,757	32,913	23,990
2024-09-25	$25.96	$23.00	49.9%	14.3%	59.8%	7.4%	52.2%	3.6%	2.3%	1.5M	24.8M	49.0K	3.19	20.96	N/A	N/A	1,635	5,222	33,102	25,787
2024-09-26	$25.69	$23.00	50.2%	14.4%	59.9%	7.7%	50.2%	2.8%	2.8%	1.8M	22.1M	57.7K	1.65	19.01	N/A	N/A	129	213	34,092	30,296
2024-09-27	$25.94	$23.00	49.8%	14.3%	58.3%	7.2%	51.0%	5.2%	2.2%	1.8M	23.5M	56.0K	0.63	32.44	N/A	N/A	288	182	34,139	30,496
2024-09-30	$25.80	$23.00	57.1%	16.4%	56.7%	14.0%	57.1%	1.9%	-1.8%	1.8M	23.0M	52.8K	0.50	24.81	N/A	N/A	2,145	1,076	34,357	30,560