SCHY Options History — November 2021

In November 2021, SCHY traded between $24.55 and $25.72. ATM implied volatility averaged 32.9%. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 25.1% (HV 20d: 7.9%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2021-11-01: Highest Volume — 1 contracts
  • 2021-11-04: Largest IV spike — 87.2% change
  • 2021-11-24: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.34$24.55$25.72$25.61$24.55
Max Pain$26.00$26.00$26.00$26.00$26.00
ATM IV32.9%18.9%44.8%18.9%38.5%
Expected Move8.6%5.4%12.9%5.4%11.0%
HV 20d7.9%7.0%9.3%8.2%8.7%
HV 60d9.9%9.5%10.3%9.9%10.3%
Term Structure-6.7%-13.7%19.4%19.1%-12.8%
VWIV35.3%35.3%35.3%35.3%35.3%
Skew 25d5.1%-14.2%29.3%0.5%3.5%
Skew 10d9.7%1.9%39.2%3.0%32.1%
Call IV 25d33.3%10.9%53.4%38.0%48.9%
Put IV 25d38.5%18.0%55.8%38.5%52.4%
Bid-Ask Spread %144.70141.14153.07142.49142.68
Gamma HHI1.001.001.001.001.00
Net GEX8501571450
Net DEX-724-1.1K0-1.1K0
Net VEX-1-20-20
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.7140110
Total OI0.7140110

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$25.61$26.0018.9%5.4%8.2%0.0%0.0%0.5%19.1%145-1.1K-20.00142.49N/AN/A1010
2021-11-02$25.54$26.0035.2%10.1%8.2%0.0%35.3%6.8%-11.5%118-1.1K-20.00142.82N/AN/A1010
2021-11-03$25.72$26.0019.7%5.7%8.1%0.0%0.0%-1.6%19.4%157-1.1K-20.00141.14N/AN/A1010
2021-11-04$25.60$0.0036.9%7.0%8.2%0.0%0.0%1.4%-6.4%119-1.1K-20.00145.51N/AN/A1010
2021-11-05$25.62$0.0037.6%6.9%8.2%0.0%0.0%0.6%-6.5%121-1.1K-20.00145.18N/AN/A1010
2021-11-08$25.60$0.0041.7%7.2%8.0%0.0%0.0%0.8%-7.3%122-1.1K-20.00145.08N/AN/A1010
2021-11-09$25.58$0.0043.8%7.4%7.9%0.0%0.0%0.7%-7.6%121-1.1K-20.00144.14N/AN/A1010
2021-11-10$25.46$0.0028.4%8.1%8.0%0.0%0.0%-14.2%-8.9%119-1.1K-20.00144.21N/AN/A1010
2021-11-11$25.49$0.0028.3%8.1%7.7%0.0%0.0%0.8%-9.0%121-1.1K-10.00144.94N/AN/A1010
2021-11-12$25.60$0.0023.0%6.6%7.7%0.0%0.0%1.0%-8.1%123-1.1K-10.00144.76N/AN/A1010
2021-11-15$25.56$0.0024.1%6.9%7.6%0.0%0.0%1.0%-9.2%148-1.1K-10.00145.38N/AN/A1010
2021-11-16$25.43$0.0028.9%8.3%7.6%0.0%0.0%0.8%-9.4%123-1.0K-10.00144.98N/AN/A1010
2021-11-17$25.35$0.0029.0%8.3%7.4%0.0%0.0%1.8%-9.8%121-992-10.00144.42N/AN/A1010
2021-11-18$25.30$0.0029.1%8.3%7.3%0.0%0.0%1.9%-7.1%126-947-10.00144.64N/AN/A1010
2021-11-19$25.18$0.0029.7%8.5%7.2%0.0%0.0%26.6%-7.0%0000.00142.94N/AN/A1010
2021-11-22$25.17$0.0043.0%12.3%7.2%0.0%0.0%25.0%-11.6%0000.00146.16N/AN/A0000
2021-11-23$25.16$0.0032.1%9.2%7.1%0.0%0.0%17.1%-8.6%0000.00142.91N/AN/A0000
2021-11-24$25.14$0.0044.8%12.9%7.0%0.0%0.0%29.3%-13.3%0000.00153.07N/AN/A0000
2021-11-26$24.68$0.0042.4%12.2%9.3%0.0%0.0%1.1%-13.7%0000.00149.16N/AN/A0000
2021-11-29$24.80$0.0036.8%10.5%9.1%0.0%0.0%2.8%-11.8%0000.00142.19N/AN/A0000
2021-11-30$24.55$0.0038.5%11.0%8.7%0.0%0.0%3.5%-12.8%0000.00142.68N/AN/A0000