VSCO Options History — December 2024

In December 2024, VSCO traded between $41.55 and $48.20. ATM implied volatility averaged 60.5%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 4.1% (HV 20d: 56.5%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.73.

Notable Days

  • 2024-12-05: Highest Volume — 10,423 contracts
  • 2024-12-06: Largest IV drop — 38.2% change
  • 2024-12-05: Highest IV Rank — 49.9%
  • 2024-12-04: Largest Expected Move — 25.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.21$41.55$48.20$42.02$41.55
Max Pain$30.52$30.00$35.00$32.00$35.00
ATM IV60.5%49.3%96.0%87.5%54.7%
Expected Move16.9%14.1%25.7%25.1%15.7%
HV 20d56.5%48.9%66.0%49.0%59.2%
HV 60d47.7%44.1%50.9%47.7%49.8%
IV Rank17.2%6.8%49.9%42.1%11.8%
IV Percentile47.0%10.7%98.8%96.4%42.5%
Term Structure1.0%-22.2%11.0%-18.6%-1.4%
VWIV59.6%49.8%89.9%89.9%54.9%
Skew 25d1.3%-1.1%4.2%4.2%1.5%
Skew 10d3.8%-0.5%10.6%10.2%2.1%
Call IV 25d58.8%48.1%88.5%86.0%55.0%
Put IV 25d60.1%50.2%90.7%90.3%56.5%
Bid-Ask Spread %45.3133.6356.1936.5745.06
Gamma HHI0.160.100.310.170.22
Net GEX289.3K-499.6K554.3K280.1K343.5K
Net DEX-16.5M-69.9M26.5M15.4M-41.6M
Net VEX-63.2K-151.8K29.2K13.4K-151.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.730.0715.480.840.07
Total Volume2,368.76251210,4235,3762,346
Total OI48,215.38132,73458,25942,02738,631

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-12-02$42.02$32.0087.5%25.1%49.0%42.1%89.9%4.2%-18.6%280.1K15.4M13.4K0.8436.57N/AN/A2,9192,45719,95322,074
2024-12-03$41.78$32.0087.0%25.0%48.9%41.6%88.7%2.2%-19.3%412.2K14.4M17.2K0.2040.77N/AN/A2,62052420,19923,428
2024-12-04$43.51$32.0089.5%25.7%49.6%43.9%89.7%2.3%-22.2%397.4K16.7M15.8K0.7033.63N/AN/A1,5461,08021,67023,754
2024-12-05$43.24$30.0096.0%20.3%50.1%49.9%71.7%1.8%-2.9%339.3K20.6M29.2K1.5033.75N/AN/A4,1706,25322,01724,576
2024-12-06$47.70$30.0059.4%15.6%52.7%16.1%55.4%-0.0%7.9%332.4K26.5M21.2K1.2750.80N/AN/A2,5923,29624,72729,504
2024-12-09$47.81$30.0058.7%15.8%49.2%15.5%56.4%0.4%8.1%400.9K25.6M25.2K0.9737.98N/AN/A1,1721,13724,99029,851
2024-12-10$46.48$30.0057.9%15.8%51.5%14.7%55.9%0.1%7.9%402.4K23.9M24.2K1.8544.14N/AN/A5701,05725,38730,613
2024-12-11$47.34$30.0052.6%15.1%51.3%9.9%53.1%1.0%9.9%418.7K24.9M23.5K0.9346.09N/AN/A57053125,51930,505
2024-12-12$46.95$30.0051.9%14.9%51.9%9.2%52.5%0.2%10.2%445.3K24.1M23.4K0.9343.48N/AN/A49946225,61830,894
2024-12-13$48.20$30.0050.0%14.3%52.0%7.4%49.8%-0.1%11.0%432.8K26.1M21.3K2.6452.49N/AN/A30179425,70931,146
2024-12-16$45.80$30.0052.5%15.1%56.9%9.8%52.7%-1.1%9.6%491.6K-69.9M-135.6K1.3845.23N/AN/A58881425,84031,868
2024-12-17$44.58$30.0052.3%15.0%58.5%9.5%53.3%0.6%9.0%182.4K-64.2M-138.8K1.6252.66N/AN/A32853225,99131,947
2024-12-18$43.30$30.0054.1%15.5%59.1%11.2%54.8%1.4%8.4%-301.5K-56.6M-139.9K1.8853.38N/AN/A47388926,08632,173
2024-12-19$42.62$30.0054.7%15.7%58.9%11.8%53.9%1.3%-1.0%-499.6K-54.4M-137.3K0.5850.55N/AN/A56032626,13631,688
2024-12-20$45.21$30.0054.3%15.6%61.0%11.4%53.7%-0.0%-0.5%439.8K-67.9M-132.6K1.3456.19N/AN/A38451626,20531,495
2024-12-23$42.16$30.0051.1%14.6%66.0%8.4%51.8%1.6%2.1%168.6K-40.0M-136.8K1.4336.12N/AN/A33047317,28015,454
2024-12-24$41.88$30.0049.3%14.1%65.8%6.8%51.5%2.1%2.6%160.9K-39.3M-137.0K0.5951.38N/AN/A32318917,45915,790
2024-12-26$41.88$30.0051.4%14.7%65.2%8.7%51.1%2.5%1.0%160.1K-39.3M-135.2K0.0949.34N/AN/A3,01027817,51015,887
2024-12-27$42.33$30.0053.0%15.2%64.8%10.2%53.3%1.5%0.3%513.7K-46.3M-146.3K0.1150.50N/AN/A5045720,28115,989
2024-12-30$42.14$30.0053.5%15.3%64.6%10.7%58.0%3.3%-0.8%554.3K-45.4M-149.6K15.4841.30N/AN/A1382,13620,66016,019
2024-12-31$41.55$35.0054.7%15.7%59.2%11.8%54.9%1.5%-1.4%343.5K-41.6M-151.8K0.0745.06N/AN/A2,18815820,63717,994