SCCO Options History — April 2017

In April 2017, SCCO traded between $34.49 and $36.10. ATM implied volatility averaged 26.2%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 9.0% (HV 20d: 17.2%). Max pain ranged from $34.64 to $35.63. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.02.

Notable Days

  • 2017-04-26: Highest Volume — 4,106 contracts
  • 2017-04-12: Largest IV spike — 14.2% change
  • 2017-04-17: Highest IV Rank — 37.9%
  • 2017-04-17: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.30$34.49$36.10$35.65$35.06
Max Pain$35.37$34.64$35.63$35.63$34.64
ATM IV26.2%23.1%29.2%25.4%25.6%
Expected Move7.7%7.0%8.4%7.3%7.3%
HV 20d17.2%15.4%19.5%19.5%17.8%
HV 60d24.2%22.9%25.8%25.8%23.1%
IV Rank20.7%3.6%37.9%15.0%17.7%
IV Percentile25.8%0.8%60.7%10.3%15.5%
Term Structure-0.1%-1.4%2.2%1.1%-0.2%
VWIV26.5%23.2%28.5%25.1%25.6%
Skew 25d3.8%0.9%5.3%3.5%4.1%
Skew 10d8.6%4.1%13.9%10.0%6.7%
Call IV 25d24.9%23.0%27.4%24.0%23.0%
Put IV 25d28.7%25.1%31.9%27.5%27.2%
Bid-Ask Spread %32.9522.3555.6927.2025.66
Gamma HHI0.120.100.130.110.11
Net GEX250.5K112.4K356.9K330.7K267.3K
Net DEX-8.2M-11.1M-4.9M-10.0M-5.8M
Net VEX-107.0K-113.1K-98.2K-113.1K-109.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.402.141.811.04
Total Volume3,240.9472,2124,1063,5174,029
Total OI16,231.26314,36616,89216,13715,915

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-04-03$35.65$35.6325.4%7.3%19.5%15.0%25.1%3.5%1.1%330.7K-10.0M-113.1K1.8127.201,2532,2649,6056,532
2017-04-04$35.70$35.6325.3%7.3%19.2%14.6%24.9%3.4%1.2%330.4K-10.0M-112.4K1.7533.061,3392,3439,5916,667
2017-04-05$35.74$35.6324.3%7.0%18.9%9.3%23.2%0.9%2.2%356.9K-11.1M-111.5K2.1054.281,2622,6569,6026,676
2017-04-06$35.97$35.6323.9%7.4%16.5%7.5%27.5%4.5%0.7%315.4K-11.0M-113.1K2.1431.341,2662,7119,6137,075
2017-04-07$35.86$35.6323.1%7.6%16.5%3.6%27.5%4.5%0.0%310.5K-10.6M-112.6K1.8933.761,2342,3369,6327,075
2017-04-10$35.84$35.6325.2%7.9%16.4%14.0%26.9%4.6%-0.3%292.4K-10.2M-111.1K0.8036.601,2319819,6257,110
2017-04-11$36.10$35.6324.9%7.9%15.4%13.8%26.9%5.3%-1.4%323.9K-10.9M-111.6K0.7230.381,2879289,6197,143
2017-04-12$34.90$35.6328.4%8.1%17.0%33.5%28.1%2.6%-0.6%191.6K-7.4M-109.7K0.6630.831,3569019,6597,157
2017-04-13$34.69$35.6327.3%7.8%17.1%27.3%27.2%4.4%0.4%142.4K-6.6M-107.8K0.7732.391,2769889,6547,174
2017-04-17$34.83$35.6329.2%8.4%17.0%37.9%28.3%4.5%-0.8%155.3K-7.1M-105.4K0.7855.691,2881,0049,6907,183
2017-04-18$34.69$35.6328.2%8.1%16.7%32.6%27.6%4.2%-0.6%133.0K-6.0M-104.6K0.4832.392,1301,0239,6917,201
2017-04-19$34.49$35.6328.7%8.2%16.3%35.0%28.5%3.9%-1.0%116.6K-4.9M-100.9K0.4727.022,1351,0119,3917,189
2017-04-20$35.14$35.6326.8%7.7%17.0%24.7%26.4%3.8%0.7%112.4K-6.7M-101.5K0.5139.942,1421,0839,3847,188
2017-04-21$34.91$35.6327.5%7.9%17.1%28.6%27.6%4.2%-0.5%201.4K-6.1M-100.4K0.6828.002,1891,4779,3857,172
2017-04-24$35.18$34.6425.9%7.4%17.3%19.4%25.3%4.4%-0.7%249.4K-7.5M-98.2K0.4023.072,3389288,1266,240
2017-04-25$35.38$34.6426.0%7.4%16.3%19.8%26.3%3.4%-0.7%318.6K-8.2M-99.9K0.4722.352,0749848,4676,245
2017-04-26$35.66$34.6425.6%7.3%16.3%18.0%25.1%3.3%-0.7%344.0K-9.0M-100.9K0.9630.492,0982,0088,5306,283
2017-04-27$34.95$34.6426.3%7.5%17.7%21.6%25.4%3.2%-0.7%267.0K-5.8M-109.6K0.9931.522,0202,0058,6177,288
2017-04-28$35.06$34.6425.6%7.3%17.8%17.7%25.6%4.1%-0.2%267.3K-5.8M-109.6K1.0425.661,9712,0588,6087,307