SCCO Options History — August 2017

In August 2017, SCCO traded between $37.98 and $41.28. ATM implied volatility averaged 22.8%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.7% (HV 20d: 21.1%). Max pain ranged from $32.66 to $35.63. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.46.

Notable Days

  • 2017-08-16: Highest Volume — 8,338 contracts
  • 2017-08-29: Largest IV spike — 7.6% change
  • 2017-08-29: Highest IV Rank — 19.3%
  • 2017-08-29: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.37$37.98$41.28$39.09$40.25
Max Pain$34.73$32.66$35.63$32.66$35.63
ATM IV22.8%20.6%24.4%22.8%22.4%
Expected Move6.5%6.1%7.0%6.5%6.4%
HV 20d21.1%17.2%26.3%18.6%26.3%
HV 60d21.0%19.7%22.8%20.5%22.8%
IV Rank10.5%0.0%19.3%6.4%9.1%
IV Percentile7.2%0.0%27.8%1.6%3.6%
Term Structure1.2%-0.6%2.1%-0.4%1.5%
VWIV23.6%21.7%26.9%22.8%23.6%
Skew 25d3.5%2.8%4.4%2.8%4.4%
Skew 10d7.3%3.8%11.5%5.6%6.2%
Call IV 25d21.4%20.2%23.0%21.5%20.7%
Put IV 25d25.0%23.7%27.1%24.3%25.1%
Bid-Ask Spread %14.2611.5919.7812.0114.11
Gamma HHI0.150.130.170.140.16
Net GEX789.9K543.5K1.1M568.8K1.1M
Net DEX-30.7M-38.1M-25.0M-28.5M-34.0M
Net VEX-118.3K-126.9K-105.9K-110.5K-121.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.460.443.092.862.79
Total Volume4,753.133,0008,3383,0973,122
Total OI22,289.95720,68624,61020,70323,593

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$39.09$32.6622.8%6.5%18.6%6.4%22.8%2.8%-0.4%568.8K-28.5M-110.5K2.8612.018032,29412,5518,152
2017-08-02$39.04$32.6622.6%6.5%18.8%5.1%22.2%3.5%-0.6%568.2K-28.2M-109.7K2.5913.418872,29612,5898,167
2017-08-03$39.04$34.6421.7%6.2%17.2%0.5%22.1%3.1%1.2%553.9K-28.3M-108.6K3.0915.387342,26612,6008,192
2017-08-04$38.33$34.6420.6%6.1%19.3%0.0%22.2%3.6%1.1%565.3K-25.0M-112.1K0.8313.982,7772,30112,6038,214
2017-08-07$38.41$34.6422.0%6.2%18.0%7.2%22.2%3.0%0.8%557.4K-25.6M-108.3K0.8113.732,8092,28612,4828,204
2017-08-08$38.80$34.6423.0%6.2%18.1%12.2%21.7%3.2%1.2%543.5K-27.3M-105.9K0.5814.333,9322,28512,4998,228
2017-08-09$38.83$34.6422.8%6.5%17.9%11.0%22.2%3.1%1.9%627.8K-28.9M-114.9K0.6313.763,7032,32813,3698,238
2017-08-10$38.21$34.6424.0%6.9%19.2%17.1%24.3%4.1%1.0%676.9K-26.6M-124.3K0.7615.063,3322,53314,0228,287
2017-08-11$37.98$34.6423.8%6.8%18.9%16.3%24.3%3.8%1.4%663.1K-25.7M-126.9K0.8014.053,2032,56614,2838,511
2017-08-14$38.65$34.6422.2%6.4%18.3%8.2%22.4%3.1%1.7%715.1K-29.2M-122.2K0.8612.763,0102,57614,3158,581
2017-08-15$38.27$34.6422.5%6.5%18.7%9.7%22.7%3.1%1.6%688.5K-27.2M-122.6K0.8714.062,9732,57614,3038,653
2017-08-16$39.59$34.6422.9%6.6%22.0%11.8%24.3%3.6%0.3%703.5K-34.0M-116.3K0.4415.075,7982,54014,3098,653
2017-08-17$38.74$34.6424.4%7.0%23.5%19.2%26.9%4.1%0.7%981.0K-33.0M-125.2K0.5016.045,1192,56615,9358,675
2017-08-18$38.82$34.6423.6%6.8%23.5%15.1%26.1%3.0%1.3%922.8K-32.4M-124.0K0.4811.795,2452,53115,6628,710
2017-08-21$39.64$34.6423.6%6.8%24.4%15.3%23.7%4.0%0.7%738.9K-27.8M-118.1K1.3815.701,7842,46312,7898,097
2017-08-22$40.41$34.6422.3%6.4%22.6%8.8%23.5%3.7%1.4%946.6K-33.6M-121.5K1.5813.631,3542,13613,8878,159
2017-08-23$40.35$34.6422.2%6.4%22.5%8.0%24.4%3.0%1.8%983.8K-33.9M-123.6K1.8111.591,2062,17914,2428,204
2017-08-24$40.70$35.6321.7%6.2%21.8%5.5%24.6%4.2%2.1%961.3K-35.0M-121.5K2.4714.388782,16914,1608,273
2017-08-25$40.36$35.6322.3%6.4%22.1%8.4%24.2%3.6%1.9%956.2K-33.7M-123.5K2.1913.719972,18214,3088,289
2017-08-28$41.28$35.6322.7%6.5%23.2%10.6%23.7%3.8%1.8%989.9K-38.1M-116.0K1.3414.121,7312,31214,3738,300
2017-08-29$41.01$35.6324.4%7.0%23.5%19.3%25.3%4.0%1.3%1.1M-38.1M-120.4K1.4115.481,4702,06915,0608,434
2017-08-30$39.83$35.6324.1%6.9%26.0%17.7%23.5%3.8%1.5%1.1M-31.8M-124.1K2.6419.788242,17715,0738,441
2017-08-31$40.25$35.6322.4%6.4%26.3%9.1%23.6%4.4%1.5%1.1M-34.0M-121.6K2.7914.118242,29815,0848,509