SCCO Options History — July 2017

In July 2017, SCCO traded between $34.35 and $39.37. ATM implied volatility averaged 24.2%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 4.0% (HV 20d: 20.3%). Max pain ranged from $32.66 to $32.66. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 2.55.

Notable Days

  • 2017-07-07: Highest Volume — 5,306 contracts
  • 2017-07-28: Largest IV drop — 5.7% change
  • 2017-07-11: Highest IV Rank — 21.8%
  • 2017-07-07: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.94$34.35$39.37$34.73$38.94
Max Pain$32.66$32.66$32.66$32.66$32.66
ATM IV24.2%22.7%25.7%24.1%23.7%
Expected Move7.0%6.5%7.4%6.9%6.8%
HV 20d20.3%16.4%23.8%23.1%18.7%
HV 60d22.2%20.8%23.0%22.2%20.8%
IV Rank13.9%5.7%21.8%13.1%10.9%
IV Percentile15.3%0.8%34.1%12.7%7.5%
Term Structure-0.3%-1.2%0.9%0.9%-1.1%
VWIV25.3%19.1%29.9%27.1%23.5%
Skew 25d3.4%2.3%4.1%4.1%3.3%
Skew 10d8.1%5.6%14.8%12.7%5.6%
Call IV 25d22.9%21.0%24.2%21.8%22.4%
Put IV 25d26.3%24.8%27.8%25.9%25.7%
Bid-Ask Spread %19.5014.3825.5824.4915.15
Gamma HHI0.190.140.250.180.14
Net GEX650.5K460.3K891.2K884.1K581.4K
Net DEX-22.1M-29.9M-9.6M-13.8M-27.8M
Net VEX-124.7K-136.3K-112.1K-136.3K-112.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.550.815.240.992.88
Total Volume3,866.152,7055,3064,4123,100
Total OI21,494.8519,65023,28221,79620,726

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$34.73$32.6624.1%6.9%23.1%13.1%27.1%4.1%0.9%884.1K-13.8M-136.3K0.9924.492,2192,19313,8727,924
2017-07-05$34.89$32.6624.8%7.1%23.0%17.0%19.1%3.5%0.5%891.2K-15.0M-134.8K0.8125.582,6922,19313,9497,924
2017-07-06$34.35$32.6624.9%7.2%23.7%17.6%26.3%3.9%-0.2%794.0K-9.6M-131.6K0.8522.212,6012,21813,2327,923
2017-07-07$34.69$32.6625.5%7.4%22.6%20.9%26.6%3.7%-0.6%756.7K-10.1M-130.6K0.9922.152,6652,64112,7437,948
2017-07-10$35.51$32.6624.5%7.4%23.8%15.4%27.6%3.5%-1.2%758.2K-14.8M-130.9K1.2221.231,7792,17012,8748,271
2017-07-11$35.57$32.6625.7%7.2%23.5%21.8%26.3%3.1%-0.2%795.0K-16.0M-129.7K4.2020.595952,50213,0448,268
2017-07-12$36.05$32.6625.1%7.2%23.8%18.7%25.9%3.5%-0.7%753.6K-17.7M-132.5K5.2418.894782,50613,0828,620
2017-07-13$36.21$32.6624.2%6.9%22.2%14.0%24.4%3.7%-0.4%739.7K-19.2M-129.2K5.0318.245022,52713,1018,628
2017-07-14$36.72$32.6623.7%6.8%19.2%11.2%24.7%2.8%-0.3%680.1K-22.1M-127.7K4.7417.255232,48113,1368,641
2017-07-17$37.55$32.6624.2%6.9%20.3%13.6%28.5%2.6%-0.3%489.1K-26.4M-121.6K1.1423.392,3292,66613,1678,654
2017-07-18$37.46$32.6624.3%7.0%20.4%14.1%29.1%3.2%-0.5%547.6K-29.5M-126.4K1.1715.532,2752,67114,3618,908
2017-07-19$37.54$32.6624.1%6.9%16.6%13.2%28.5%3.7%-0.4%612.1K-29.9M-125.0K1.1115.242,4652,73014,3668,895
2017-07-20$37.34$32.6624.1%6.9%17.0%13.1%29.9%4.0%-0.6%611.7K-28.9M-124.1K1.2220.762,1902,66314,3388,907
2017-07-21$37.39$32.6623.0%6.6%16.8%7.5%24.1%3.0%0.4%460.3K-28.8M-123.1K4.3818.996092,66914,3648,918
2017-07-24$37.74$32.6623.9%6.9%16.4%12.2%24.8%3.6%-0.4%478.1K-21.4M-119.5K4.4117.435002,20511,6438,007
2017-07-25$38.97$32.6624.2%6.9%19.1%13.7%24.3%2.3%-1.0%479.8K-26.8M-112.8K3.3116.896882,27911,7108,013
2017-07-26$39.37$32.6623.8%6.8%17.2%11.6%21.5%3.3%-0.1%544.1K-28.7M-112.3K2.0722.641,1102,30212,2438,110
2017-07-27$38.82$32.6624.1%6.9%18.8%13.1%20.9%3.1%-0.1%578.1K-27.1M-117.8K2.5718.948952,30512,5778,085
2017-07-28$39.04$32.6622.7%6.5%18.8%5.7%22.7%3.8%0.1%575.4K-28.0M-115.7K2.7414.388532,33412,5928,133
2017-07-31$38.94$32.6623.7%6.8%18.7%10.9%23.5%3.3%-1.1%581.4K-27.8M-112.1K2.8815.157982,30212,5998,127