SCCO Options History — June 2017

In June 2017, SCCO traded between $33.37 and $35.90. ATM implied volatility averaged 24.2%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.9% (HV 20d: 21.3%). Max pain ranged from $32.66 to $34.64. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.13.

Notable Days

  • 2017-06-14: Highest Volume — 5,907 contracts
  • 2017-06-14: Largest IV drop — 16.3% change
  • 2017-06-13: Highest IV Rank — 36.4%
  • 2017-06-16: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.53$33.37$35.90$34.31$34.32
Max Pain$33.78$32.66$34.64$33.65$32.66
ATM IV24.2%21.6%28.4%23.8%22.9%
Expected Move6.8%6.5%7.1%6.8%6.6%
HV 20d21.3%19.2%23.1%22.4%22.8%
HV 60d21.1%19.8%22.1%21.0%22.1%
IV Rank12.8%0.0%36.4%7.9%6.9%
IV Percentile13.3%0.0%71.8%6.0%1.6%
Term Structure1.1%0.3%2.7%0.3%2.3%
VWIV24.1%21.7%26.8%23.8%26.8%
Skew 25d3.3%2.6%4.7%3.4%3.7%
Skew 10d7.2%5.1%12.8%5.5%5.1%
Call IV 25d22.4%21.4%23.2%22.5%21.5%
Put IV 25d25.7%24.5%27.1%26.0%25.2%
Bid-Ask Spread %17.7510.8921.5210.8917.54
Gamma HHI0.250.180.320.290.18
Net GEX591.8K240.9K901.0K408.9K879.5K
Net DEX-8.4M-14.9M-886.3K-5.6M-11.6M
Net VEX-124.7K-140.6K-113.4K-114.8K-137.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.483.360.811.03
Total Volume4,2802,7705,9074,4854,320
Total OI19,548.09117,11921,76818,06621,768

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$34.31$33.6523.8%6.8%22.4%7.9%23.8%3.4%0.3%408.9K-5.6M-114.8K0.8110.892,4792,00610,5797,487
2017-06-02$34.17$33.6522.9%6.6%20.4%2.8%24.1%4.7%0.6%393.6K-5.1M-114.3K0.7711.522,6182,01210,5807,492
2017-06-05$34.41$33.6524.0%6.7%19.7%9.0%24.6%3.9%1.1%441.8K-6.1M-113.4K0.8020.142,5382,02710,5597,536
2017-06-06$34.59$33.6524.3%6.7%19.7%10.3%24.8%2.8%1.0%481.9K-6.7M-113.5K0.7920.512,5722,03210,5887,576
2017-06-07$34.75$33.6524.9%6.7%19.7%14.1%24.3%4.0%0.7%537.3K-7.6M-113.7K0.8220.852,5522,09910,6847,587
2017-06-08$35.50$33.6521.6%6.5%20.6%0.0%23.5%3.2%0.4%663.7K-11.5M-114.4K3.3619.666432,15710,7117,644
2017-06-09$35.90$33.6524.4%6.7%19.3%15.1%23.4%3.0%0.5%683.8K-13.7M-113.9K1.3519.791,6972,29410,7637,713
2017-06-12$35.48$34.6428.0%6.8%19.2%34.1%24.1%2.9%0.4%849.6K-13.4M-119.1K1.3415.081,7282,31311,9177,984
2017-06-13$35.76$34.6428.4%6.6%19.3%36.4%23.7%3.5%0.7%901.0K-14.9M-118.1K1.2514.871,9702,46011,9427,984
2017-06-14$34.96$34.6423.8%6.8%21.2%11.6%23.2%2.6%1.3%887.6K-10.7M-119.0K1.2319.182,6443,26312,0898,009
2017-06-15$33.94$34.6424.6%7.1%22.0%16.1%23.0%3.1%0.5%363.3K-3.5M-125.6K1.5513.411,9983,10112,6968,787
2017-06-16$34.08$34.6424.7%7.1%22.0%16.5%22.7%3.8%0.6%240.9K-4.5M-124.6K1.1316.091,8952,14912,6838,753
2017-06-19$34.31$34.6422.9%6.6%20.3%6.7%21.7%2.6%0.8%275.2K-4.2M-125.5K1.4919.771,1111,6599,8027,317
2017-06-20$33.37$34.6424.0%6.9%21.5%12.5%22.8%3.0%0.9%260.7K-886.3K-121.2K1.3815.771,2201,68710,2697,354
2017-06-21$33.66$34.6424.1%6.9%21.8%13.2%22.3%3.1%1.7%342.9K-2.3M-126.4K0.9319.161,8521,71410,7537,454
2017-06-22$34.10$34.6424.5%7.0%22.3%15.6%25.6%3.9%1.7%506.9K-6.7M-135.1K0.4818.563,4101,63311,9157,521
2017-06-23$34.62$32.6623.6%6.8%22.9%10.5%25.5%2.7%1.6%712.3K-11.5M-140.6K0.6221.522,6581,64212,9977,542
2017-06-26$34.64$32.6623.6%6.8%22.9%10.4%25.1%2.6%1.6%822.8K-13.3M-139.9K0.6517.022,6801,73013,5947,552
2017-06-27$34.07$32.6624.5%7.0%23.1%15.5%24.5%2.7%1.4%749.2K-9.0M-136.9K1.0819.812,1212,29113,3127,654
2017-06-28$34.27$32.6622.9%6.6%23.0%6.9%25.0%3.5%2.7%755.5K-9.9M-137.2K0.8919.002,5782,29113,3267,874
2017-06-29$34.44$32.6623.3%6.7%22.8%8.9%26.1%3.9%1.4%861.2K-12.4M-139.1K1.0220.362,1342,18213,8327,879
2017-06-30$34.32$32.6622.9%6.6%22.8%6.9%26.8%3.7%2.3%879.5K-11.6M-137.8K1.0317.542,1262,19413,8777,891