SCCO Options History — May 2017

In May 2017, SCCO traded between $32.80 and $35.02. ATM implied volatility averaged 24.7%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 0.7% (HV 20d: 24.0%). Max pain ranged from $33.65 to $34.64. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 2.24.

Notable Days

  • 2017-05-22: Highest Volume — 5,160 contracts
  • 2017-05-05: Largest IV drop — 11.3% change
  • 2017-05-04: Highest IV Rank — 31.2%
  • 2017-05-04: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.15$32.80$35.02$34.96$34.62
Max Pain$33.78$33.65$34.64$34.64$33.65
ATM IV24.7%22.8%28.0%26.3%23.9%
Expected Move7.1%6.5%7.8%7.5%6.9%
HV 20d24.0%17.6%26.5%17.6%26.1%
HV 60d22.7%20.8%24.0%22.9%21.0%
IV Rank12.6%1.9%31.2%21.8%8.4%
IV Percentile12.0%0.4%53.6%26.2%6.7%
Term Structure0.2%-1.4%1.3%-1.1%-0.3%
VWIV24.6%21.6%27.9%25.9%24.6%
Skew 25d3.9%2.7%5.1%2.9%4.4%
Skew 10d8.9%4.7%15.0%6.8%10.7%
Call IV 25d23.2%20.1%25.5%25.0%23.0%
Put IV 25d27.1%24.4%29.6%27.9%27.4%
Bid-Ask Spread %16.357.8545.1730.3711.83
Gamma HHI0.190.110.300.110.30
Net GEX178.8K-39.5K493.1K250.3K448.9K
Net DEX-3.1M-8.9M2.8M-5.1M-7.3M
Net VEX-108.8K-120.8K-97.8K-108.0K-117.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.240.634.783.710.81
Total Volume3,657.7272,4455,1602,6134,524
Total OI16,982.09116,00718,47116,00718,011

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$34.96$34.6426.3%7.5%17.6%21.8%25.9%2.9%-1.1%250.3K-5.1M-108.0K3.7130.375552,0588,6167,391
2017-05-02$34.92$34.6426.7%7.6%17.6%23.7%24.4%5.1%-1.3%245.9K-5.1M-107.9K3.7020.735532,0458,6237,392
2017-05-03$33.63$34.6427.2%7.8%21.8%26.6%27.9%4.1%-1.4%133.4K-887.3K-102.6K3.7845.176302,3838,6177,405
2017-05-04$32.80$33.6528.0%7.8%23.1%31.2%25.7%3.4%-0.7%23.7K2.8M-97.8K4.2024.435212,1888,4857,680
2017-05-05$33.36$33.6524.8%7.2%24.0%13.5%24.8%4.6%0.6%-18.0K1.4M-99.8K4.7822.264602,1988,4647,872
2017-05-08$33.35$33.6525.7%7.3%24.0%18.2%26.1%4.4%0.7%-14.0K1.7M-99.1K4.2015.924731,9848,4667,874
2017-05-09$33.43$33.6525.9%7.3%24.1%19.6%25.2%3.5%0.1%-27.1K1.4M-98.8K3.5412.905742,0328,4457,885
2017-05-10$33.85$33.6524.8%7.1%24.5%13.1%24.6%4.0%0.7%-7.1K-29.5K-100.5K3.5714.285381,9218,4837,936
2017-05-11$34.67$33.6524.5%7.0%23.4%11.7%24.3%4.0%0.4%65.9K-2.8M-101.4K3.7714.355121,9338,4937,925
2017-05-12$34.23$33.6523.7%6.8%23.8%7.3%23.9%3.8%1.0%31.5K-1.5M-100.4K2.8914.446601,9068,5247,933
2017-05-15$34.33$33.6523.8%6.8%23.7%7.8%24.3%2.7%1.3%38.1K-1.9M-100.3K3.1014.726341,9648,4977,934
2017-05-16$34.27$33.6523.5%6.7%23.7%6.1%25.0%3.0%0.4%-39.5K-1.4M-99.5K0.7613.612,6392,0128,5147,971
2017-05-17$33.43$33.6525.4%7.3%25.2%16.6%25.1%2.9%0.6%30.6K-79.6K-107.0K0.7515.912,6731,9999,5317,935
2017-05-18$33.36$33.6525.1%7.2%24.0%14.9%25.2%5.1%0.6%122.0K-452.9K-115.9K0.7813.192,6522,06710,5487,923
2017-05-19$34.20$33.6523.7%6.8%25.8%7.1%24.0%3.4%0.7%247.1K-4.3M-119.0K0.7514.752,7212,03710,5347,929
2017-05-22$34.80$33.6523.8%6.8%26.5%7.6%23.2%3.6%0.5%307.1K-7.3M-119.8K0.6310.573,1751,9859,6377,316
2017-05-23$34.63$33.6523.4%6.7%26.4%5.3%24.1%3.4%0.8%397.1K-7.6M-120.8K0.717.852,7831,97910,2377,338
2017-05-24$34.41$33.6523.1%6.6%26.3%3.9%23.9%2.8%0.8%379.2K-6.4M-120.0K0.7213.172,7231,95810,3427,384
2017-05-25$34.54$33.6522.9%6.6%25.4%3.0%23.1%4.4%0.4%405.9K-6.8M-119.4K0.738.812,6961,95610,3937,389
2017-05-26$34.56$33.6522.8%6.5%25.4%1.9%21.6%4.3%0.5%419.2K-6.9M-118.5K0.7210.792,6801,93210,3947,404
2017-05-30$35.02$33.6523.8%6.8%25.8%7.8%23.7%4.8%-0.1%493.1K-8.9M-118.9K0.749.632,6221,93510,5327,404
2017-05-31$34.62$33.6523.9%6.9%26.1%8.4%24.6%4.4%-0.3%448.9K-7.3M-117.3K0.8111.832,5002,02410,5757,436