SCCO Options History — February 2017

In February 2017, SCCO traded between $35.82 and $38.77. ATM implied volatility averaged 27.2%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 0.6% (HV 20d: 26.6%). Max pain ranged from $30.68 to $34.64. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 1.38.

Notable Days

  • 2017-02-24: Highest Volume — 3,338 contracts
  • 2017-02-07: Largest IV drop — 8.2% change
  • 2017-02-28: Highest IV Rank — 27.7%
  • 2017-02-09: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.45$35.82$38.77$38.25$36.33
Max Pain$33.23$30.68$34.64$34.64$34.64
ATM IV27.2%26.0%29.1%27.1%28.1%
Expected Move7.8%7.5%8.1%7.8%8.1%
HV 20d26.6%24.1%28.9%26.1%26.0%
HV 60d29.3%26.1%37.7%37.6%26.1%
IV Rank19.7%14.2%27.7%15.4%27.7%
IV Percentile27.5%13.5%42.1%24.2%40.5%
Term Structure0.4%-0.9%1.5%0.4%0.1%
VWIV27.7%26.1%30.3%30.3%28.6%
Skew 25d3.4%0.8%4.6%3.8%2.1%
Skew 10d7.7%1.2%20.1%20.1%4.6%
Call IV 25d26.2%24.9%28.2%26.5%28.2%
Put IV 25d29.6%28.7%30.8%30.3%30.2%
Bid-Ask Spread %32.9925.0543.0641.4728.59
Gamma HHI0.150.120.210.150.13
Net GEX426.7K306.2K609.7K422.7K432.7K
Net DEX-20.9M-25.7M-14.1M-24.1M-15.9M
Net VEX-89.7K-98.5K-83.7K-84.6K-98.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.712.312.310.87
Total Volume2,758.5792,1373,3382,6132,666
Total OI16,971.21114,39618,52616,26016,479

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-02-01$38.25$34.6427.1%7.8%26.1%15.4%30.3%3.8%0.4%422.7K-24.1M-84.6K2.3141.477901,8239,5676,693
2017-02-02$38.77$30.6826.8%7.9%24.1%14.7%27.2%4.5%-0.9%410.3K-25.7M-84.1K1.9541.489391,8269,7066,877
2017-02-03$38.03$30.6827.6%7.8%25.9%17.2%28.7%2.9%0.7%357.8K-24.1M-85.6K2.0341.517911,6079,8057,119
2017-02-06$37.43$31.6729.1%7.9%27.1%22.2%28.5%4.1%-0.2%338.6K-22.0M-85.0K2.2335.247281,6249,8257,166
2017-02-07$37.55$31.6726.7%7.7%26.5%14.2%27.9%3.7%1.2%306.2K-21.8M-87.3K2.0433.877021,4359,8687,329
2017-02-08$38.27$31.6726.7%7.7%26.0%14.2%27.4%3.8%0.7%334.1K-24.4M-83.7K1.4332.801,2831,8389,8807,346
2017-02-09$36.96$31.6728.1%8.1%28.9%23.4%27.6%3.1%-0.0%357.8K-19.9M-89.7K1.1229.431,5171,70210,3397,460
2017-02-10$37.59$33.6527.2%7.8%27.1%19.5%26.9%3.6%1.1%464.6K-21.5M-92.1K1.0143.061,3551,36310,3137,542
2017-02-13$38.29$33.6526.6%7.6%27.3%17.7%27.3%2.7%1.5%580.8K-25.3M-88.1K1.2031.271,1851,42010,4427,583
2017-02-14$38.19$33.6526.6%7.6%27.1%18.0%26.9%3.8%1.4%609.7K-24.9M-89.3K0.9829.941,4061,37410,5397,754
2017-02-15$37.94$33.6527.1%7.8%26.7%19.7%26.3%3.1%0.4%604.5K-23.7M-88.6K0.8534.611,5301,29710,6807,761
2017-02-16$37.57$33.6526.0%7.5%27.0%15.3%26.4%3.5%0.8%526.9K-21.8M-87.7K0.7225.921,6861,21610,5047,807
2017-02-17$36.92$33.6526.7%7.6%28.0%19.6%26.1%3.1%0.5%408.0K-18.8M-88.4K1.2431.081,0921,35310,7047,822
2017-02-21$37.63$33.6526.7%7.6%27.9%19.6%27.2%3.4%0.1%428.3K-19.6M-87.4K1.6525.058141,3419,1255,271
2017-02-22$37.11$34.6427.3%7.8%25.8%22.6%28.1%4.6%0.4%402.4K-18.2M-88.5K1.2732.491,3891,7629,2375,465
2017-02-23$36.51$34.6426.9%7.7%25.5%21.1%28.2%4.4%0.2%369.8K-16.5M-98.3K1.3729.161,3911,9119,9156,123
2017-02-24$35.82$34.6428.1%8.0%25.6%27.6%28.5%0.8%-0.6%338.6K-14.1M-98.3K1.2229.351,5011,8379,9656,166
2017-02-27$36.48$34.6427.4%7.9%26.2%24.3%27.6%3.4%0.2%412.9K-16.0M-98.4K0.7130.531,7101,20910,0886,188
2017-02-28$36.33$34.6428.1%8.1%26.0%27.7%28.6%2.1%0.1%432.7K-15.9M-98.5K0.8728.591,4271,23910,2646,215