SCCO Options History — March 2017

In March 2017, SCCO traded between $34.70 and $37.68. ATM implied volatility averaged 26.9%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 0.2% (HV 20d: 27.1%). Max pain ranged from $34.64 to $36.62. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.91.

Notable Days

  • 2017-03-27: Highest Volume — 3,516 contracts
  • 2017-03-15: Largest IV drop — 18.5% change
  • 2017-03-14: Highest IV Rank — 50.0%
  • 2017-03-14: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.84$34.70$37.68$37.68$35.56
Max Pain$35.80$34.64$36.62$34.64$35.63
ATM IV26.9%25.0%32.4%26.7%25.0%
Expected Move7.6%7.2%8.0%7.7%7.2%
HV 20d27.1%19.6%30.8%29.3%19.6%
HV 60d27.1%25.8%28.1%27.0%25.8%
IV Rank22.3%12.9%50.0%21.0%12.9%
IV Percentile25.8%7.1%76.6%24.2%7.1%
Term Structure1.4%-0.4%3.0%0.7%1.0%
VWIV25.6%23.0%29.4%28.0%24.2%
Skew 25d3.4%1.3%5.1%4.3%2.5%
Skew 10d6.0%2.1%11.0%8.5%3.0%
Call IV 25d25.3%23.2%27.9%25.3%23.5%
Put IV 25d28.7%26.0%31.2%29.6%26.0%
Bid-Ask Spread %43.4923.8473.6829.3253.02
Gamma HHI0.120.100.160.160.10
Net GEX375.7K296.0K538.5K538.5K334.3K
Net DEX-13.0M-20.6M-9.8M-20.6M-10.1M
Net VEX-97.7K-117.1K-89.2K-98.4K-115.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.471.720.771.72
Total Volume2,742.9132,2543,5162,5343,381
Total OI16,020.60912,84217,46216,64316,117

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$37.68$34.6426.7%7.7%29.3%21.0%28.0%4.3%0.7%538.5K-20.6M-98.4K0.7729.321,4341,10010,3116,332
2017-03-02$36.55$34.6426.2%7.5%30.8%18.7%29.4%1.3%1.3%458.6K-17.4M-96.9K0.7554.321,4151,05910,4006,392
2017-03-03$36.77$34.6426.7%7.6%30.5%20.7%26.9%5.1%-0.4%469.0K-17.1M-98.6K0.7073.681,42098710,4276,457
2017-03-06$36.47$36.6228.2%7.8%29.9%28.3%27.2%3.9%1.4%444.1K-16.1M-96.5K0.7849.481,26399110,4716,459
2017-03-07$36.11$36.6228.0%7.9%29.6%27.1%25.6%2.5%1.5%397.3K-15.0M-96.2K0.7650.321,29198610,4846,477
2017-03-08$35.76$36.6228.1%7.8%29.7%27.8%25.9%5.0%1.4%369.6K-13.5M-93.4K0.7649.581,30799310,5346,479
2017-03-09$34.87$36.6228.5%8.0%29.6%30.3%26.3%4.6%0.0%317.8K-10.7M-92.0K0.8350.861,2421,03510,5686,538
2017-03-10$35.06$36.6228.1%7.9%27.5%28.6%26.0%3.0%1.5%327.5K-11.1M-91.5K0.6747.611,5821,05910,5796,603
2017-03-13$35.24$36.6231.0%7.8%26.7%43.1%24.6%3.8%1.6%339.2K-11.6M-91.3K0.6250.291,50994010,7876,595
2017-03-14$34.70$36.6232.4%8.0%25.7%50.0%26.0%2.7%1.0%304.6K-9.8M-89.2K0.6539.671,48395910,7836,589
2017-03-15$35.71$35.6326.4%7.6%28.4%20.1%27.1%4.3%3.0%400.5K-13.2M-90.3K0.6663.021,5791,03710,8406,519
2017-03-16$35.62$35.6326.6%7.6%28.3%20.8%25.7%2.1%1.7%432.1K-13.6M-90.5K0.7329.951,6811,22810,9516,511
2017-03-17$35.77$35.6325.7%7.4%28.3%16.7%23.0%3.7%2.0%296.0K-14.5M-89.4K0.5832.351,8081,04410,8486,571
2017-03-20$36.04$35.6325.4%7.3%28.0%15.2%24.1%3.0%2.5%345.4K-12.5M-90.5K0.5223.841,7299068,4684,374
2017-03-21$35.58$35.6326.0%7.4%27.2%17.8%24.1%1.3%1.8%365.4K-12.1M-91.4K0.6430.271,4609368,7554,403
2017-03-22$36.09$35.6325.6%7.3%27.5%15.7%24.8%4.0%2.5%395.2K-12.9M-91.0K0.8541.231,4751,2578,7984,473
2017-03-23$36.00$35.6325.8%7.4%26.9%16.9%23.9%2.7%2.5%373.4K-12.3M-95.0K0.9439.581,4531,3728,8194,823
2017-03-24$36.07$35.6325.8%7.4%26.0%16.9%24.4%3.9%0.8%355.4K-11.7M-100.1K0.4735.112,0049428,8245,247
2017-03-27$35.42$35.6326.2%7.5%25.9%18.8%26.4%4.1%1.0%353.1K-10.7M-102.1K1.4945.931,4132,1039,4575,309
2017-03-28$35.70$35.6325.4%7.3%26.1%14.7%24.5%2.7%2.0%326.1K-10.4M-117.1K1.6726.591,2622,1079,4856,499
2017-03-29$35.78$35.6325.5%7.3%22.2%15.6%25.1%4.0%1.4%340.4K-10.5M-115.4K1.6234.571,3192,1369,5266,499
2017-03-30$35.85$35.6325.6%7.3%19.6%15.9%24.5%3.2%1.2%357.2K-11.0M-115.5K1.7049.621,2602,1409,5826,511
2017-03-31$35.56$35.6325.0%7.2%19.6%12.9%24.2%2.5%1.0%334.3K-10.1M-115.4K1.7253.021,2412,1409,5856,532