SCCO Options History — January 2017

In January 2017, SCCO traded between $31.92 and $38.21. ATM implied volatility averaged 27.4%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 1.6% (HV 20d: 25.8%). Max pain ranged from $29.69 to $35.63. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 2.12.

Notable Days

  • 2017-01-13: Highest Volume — 3,839 contracts
  • 2017-01-09: Largest IV spike — 16.6% change
  • 2017-01-30: Highest IV Rank — 24.0%
  • 2017-01-30: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.28$31.92$38.21$31.92$37.85
Max Pain$33.01$29.69$35.63$29.69$34.64
ATM IV27.4%23.8%29.6%28.2%29.4%
Expected Move8.0%7.5%8.5%8.1%8.4%
HV 20d25.8%23.4%27.6%23.9%26.1%
HV 60d38.2%37.6%39.0%37.6%37.6%
IV Rank16.4%4.4%24.0%18.2%23.4%
IV Percentile26.4%1.6%44.0%29.8%43.3%
Term Structure0.0%-1.7%1.6%1.6%-0.3%
VWIV29.0%27.1%32.2%28.7%29.7%
Skew 25d3.9%2.8%5.7%3.5%2.8%
Skew 10d14.1%5.4%21.7%7.6%16.7%
Call IV 25d26.7%25.1%29.1%27.5%29.1%
Put IV 25d30.6%29.1%32.3%31.0%31.9%
Bid-Ask Spread %44.1420.7060.3020.7043.65
Gamma HHI0.240.130.680.150.15
Net GEX541.6K-38.8K1.7M-38.8K398.9K
Net DEX-21.6M-31.3M-9.7M-9.7M-23.5M
Net VEX-76.3K-86.9K-67.8K-77.3K-86.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.120.863.403.211.80
Total Volume2,982.42,2393,8392,6162,727
Total OI24,364.412,92231,56928,00116,181

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$31.92$29.6928.2%8.1%23.9%18.2%28.7%3.5%1.6%-38.8K-9.7M-77.3K3.2120.706211,99510,44217,559
2017-01-04$33.10$29.6926.8%7.7%26.2%13.7%28.1%4.0%1.6%227.0K-15.2M-72.3K3.0023.106641,99510,48217,556
2017-01-05$33.17$31.6725.8%8.1%26.0%10.5%29.9%4.1%0.2%223.1K-15.8M-72.2K3.4032.375831,98110,58117,665
2017-01-06$33.26$31.6723.8%7.7%25.8%4.4%28.0%5.5%1.0%250.1K-15.6M-72.1K2.8733.506631,90410,65317,784
2017-01-09$32.97$32.6627.8%8.3%25.5%16.8%28.8%3.1%-0.8%205.0K-15.4M-68.9K1.9841.239661,91210,70317,837
2017-01-10$33.83$32.6627.0%8.2%27.3%14.4%29.0%5.7%-0.4%492.4K-19.8M-69.5K1.8457.529941,82811,04117,865
2017-01-11$33.29$32.6628.3%8.1%27.6%18.9%28.4%3.0%0.6%371.4K-18.3M-67.8K1.2448.641,4681,82711,06117,877
2017-01-12$34.46$32.6627.0%7.7%27.1%15.3%28.2%3.0%1.0%727.1K-22.8M-70.6K1.3145.041,3781,80511,40317,881
2017-01-13$35.04$32.6627.4%7.9%27.5%16.6%27.8%5.6%-0.2%881.5K-26.0M-71.1K0.8654.002,0611,77811,74317,902
2017-01-17$34.79$32.6627.8%8.0%27.6%18.0%29.6%4.0%0.5%1.1M-27.7M-78.6K3.0248.706211,87912,79517,946
2017-01-18$35.51$32.6627.3%7.8%26.9%16.2%29.0%3.6%-0.0%960.9K-31.3M-76.4K2.2960.309922,26912,81018,075
2017-01-19$35.51$33.6527.4%7.9%24.1%16.6%28.7%3.5%-0.1%1.0M-30.8M-78.8K2.6045.138292,15113,09018,479
2017-01-20$35.62$33.6526.7%7.6%23.4%14.2%28.1%4.0%-0.5%1.7M-30.9M-76.1K1.5145.241,4282,15212,89118,486
2017-01-23$36.35$33.6526.0%7.5%23.9%12.0%27.6%3.4%0.3%370.9K-17.4M-76.8K2.9548.225671,6727,7285,194
2017-01-24$37.56$33.6527.3%7.8%24.5%16.2%29.2%3.1%-0.6%353.0K-20.4M-76.0K2.0752.921,2412,5688,0005,446
2017-01-25$38.21$34.6427.2%7.8%24.6%16.0%27.1%3.3%-0.4%396.2K-23.0M-78.4K1.1953.831,4841,7698,7676,184
2017-01-26$37.54$34.6429.2%8.4%26.4%22.4%31.8%3.7%-1.7%425.8K-22.2M-85.3K2.2147.188291,8299,2906,263
2017-01-27$38.01$35.6328.3%8.1%26.0%19.5%30.7%5.1%-0.9%420.8K-23.1M-86.9K1.3037.231,5151,9769,4106,381
2017-01-30$37.65$34.6429.6%8.5%26.3%24.0%32.2%3.9%-0.3%395.7K-22.6M-85.5K1.7144.371,0061,7219,4536,384
2017-01-31$37.85$34.6429.4%8.4%26.1%23.4%29.7%2.8%-0.3%398.9K-23.5M-86.1K1.8043.659751,7529,5396,642