VSCO Options History — November 2024

In November 2024, VSCO traded between $31.30 and $39.00. ATM implied volatility averaged 73.0%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 21.4%. IV traded above realized volatility by 28.9% (HV 20d: 44.2%). Max pain ranged from $20.00 to $32.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 2.09.

Notable Days

  • 2024-11-12: Highest Volume — 5,025 contracts
  • 2024-11-11: Largest IV spike — 28.0% change
  • 2024-11-29: Highest IV Rank — 39.0%
  • 2024-11-29: Largest Expected Move — 24.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.66$31.30$39.00$31.30$39.00
Max Pain$25.70$20.00$32.00$27.00$32.00
ATM IV73.0%56.0%84.2%67.9%84.2%
Expected Move21.4%19.5%24.1%19.5%24.1%
HV 20d44.2%36.9%47.7%37.9%44.3%
HV 60d49.6%45.8%58.6%58.6%45.8%
IV Rank28.7%13.0%39.0%24.0%39.0%
IV Percentile84.8%46.8%95.2%78.6%95.2%
Term Structure-8.5%-16.4%3.4%3.4%-16.4%
VWIV76.2%70.1%83.6%70.1%83.6%
Skew 25d3.3%1.6%5.4%3.9%1.6%
Skew 10d8.9%5.2%13.5%6.8%5.2%
Call IV 25d73.2%64.7%81.9%64.7%81.9%
Put IV 25d76.6%68.6%83.5%68.6%83.5%
Bid-Ask Spread %43.7433.6251.5933.6251.59
Gamma HHI0.190.150.240.160.22
Net GEX241.6K132.1K375.0K369.9K361.4K
Net DEX10.6M5.9M12.6M5.9M12.1M
Net VEX15.7K10.0K24.0K10.0K17.2K
P/C Ratio2.090.2216.650.980.92
Total Volume1,471.552595,025845259
Total OI42,060.636,07249,98139,61941,904

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-11-01$31.30$27.0067.9%19.5%37.9%24.0%70.1%3.9%3.4%369.9K5.9M10.0K0.9833.62N/AN/A42641920,51619,103
2024-11-04$32.41$20.0072.4%20.7%38.0%28.1%72.4%5.4%-5.5%132.1K9.1M13.0K1.1545.06N/AN/A1,1781,35020,61919,225
2024-11-05$32.42$20.0071.7%20.6%38.1%27.5%71.7%5.1%-6.9%161.0K8.9M15.4K1.0944.42N/AN/A46350320,79420,250
2024-11-06$33.08$21.0061.4%19.8%36.9%18.0%73.4%5.2%-7.9%172.4K9.5M15.2K0.9147.07N/AN/A55250320,91020,540
2024-11-07$36.02$21.0059.9%19.8%44.4%16.6%70.8%3.1%-4.7%147.1K12.0M12.2K2.3550.30N/AN/A7791,83221,11120,896
2024-11-08$34.66$22.5056.0%19.8%47.4%13.0%70.5%3.2%-6.1%166.1K10.8M13.6K0.5747.70N/AN/A47527321,22422,378
2024-11-11$34.78$22.5071.7%20.7%47.5%27.5%73.1%2.7%-6.9%165.4K10.8M12.9K0.2246.52N/AN/A1,24627121,37122,464
2024-11-12$35.74$22.5071.7%21.2%47.7%27.5%75.0%2.2%-8.2%177.9K11.2M15.1K5.4344.28N/AN/A7824,24322,32722,681
2024-11-13$36.02$22.5072.9%20.9%46.5%28.6%75.1%2.1%-7.5%176.9K11.7M14.1K1.0846.68N/AN/A66171522,67526,021
2024-11-14$36.19$25.0073.6%21.1%45.5%29.2%74.8%2.2%-7.9%192.9K11.6M14.8K0.8842.71N/AN/A61354123,19826,622
2024-11-15$36.73$25.0075.3%21.6%45.2%30.8%77.6%3.0%-8.5%186.3K12.1M13.9K0.4443.67N/AN/A67929623,22126,760
2024-11-18$37.13$25.0074.9%21.5%44.3%30.4%76.1%2.7%-8.5%181.8K12.6M12.3K0.7634.57N/AN/A59745518,93117,141
2024-11-19$36.36$25.0076.6%22.0%45.5%32.0%78.5%2.8%-9.1%204.6K11.9M13.8K1.1640.68N/AN/A33739219,35317,379
2024-11-20$35.63$25.0077.6%22.2%46.0%32.9%79.8%4.0%-9.8%217.1K11.1M14.6K16.6542.46N/AN/A1782,96319,44017,656
2024-11-21$35.30$30.0077.1%22.1%44.8%32.5%79.3%2.3%-9.3%375.0K8.1M24.0K2.6742.76N/AN/A29578819,48220,550
2024-11-22$37.04$32.0078.4%22.5%46.4%33.6%80.9%3.5%-10.1%358.2K10.0M22.2K0.6138.96N/AN/A1,40386019,58321,188
2024-11-25$37.97$32.0079.6%22.8%45.8%34.7%79.7%3.8%-12.2%352.4K11.1M20.4K0.4842.75N/AN/A42620619,71121,318
2024-11-26$37.24$32.0079.3%22.7%45.4%34.5%81.8%3.9%-14.1%371.6K10.3M20.4K2.6343.32N/AN/A24263719,73121,353
2024-11-27$38.19$32.0078.6%22.5%45.6%33.9%80.2%3.7%-13.0%362.8K11.2M18.9K0.8645.77N/AN/A31927419,75921,827
2024-11-29$39.00$32.0084.2%24.1%44.3%39.0%83.6%1.6%-16.4%361.4K12.1M17.2K0.9251.59N/AN/A13512419,88322,021