SCCO Options History — September 2017

In September 2017, SCCO traded between $38.29 and $40.86. ATM implied volatility averaged 24.4%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 1.5% (HV 20d: 25.9%). Max pain ranged from $35.63 to $39.59. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.99.

Notable Days

  • 2017-09-08: Highest Volume — 3,426 contracts
  • 2017-09-11: Largest IV spike — 9.1% change
  • 2017-09-11: Highest IV Rank — 31.4%
  • 2017-09-08: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.44$38.29$40.86$40.86$39.35
Max Pain$39.39$35.63$39.59$35.63$39.59
ATM IV24.4%22.6%26.8%22.6%23.5%
Expected Move7.0%6.5%7.3%6.5%6.7%
HV 20d25.9%22.9%29.1%25.6%22.9%
HV 60d22.6%22.1%23.4%22.6%22.6%
IV Rank20.7%10.4%31.4%10.4%16.7%
IV Percentile27.6%5.2%61.5%5.2%12.7%
Term Structure1.4%0.7%2.1%1.9%1.1%
VWIV24.8%22.3%26.8%22.5%23.7%
Skew 25d3.6%2.7%4.5%4.3%3.4%
Skew 10d7.9%5.1%11.9%11.9%11.9%
Call IV 25d23.1%20.2%24.7%20.2%21.4%
Put IV 25d26.7%24.6%28.5%24.6%24.7%
Bid-Ask Spread %19.1911.2323.2511.2319.84
Gamma HHI0.180.150.200.170.20
Net GEX890.8K715.8K1.1M1.1M931.6K
Net DEX-26.5M-37.3M-18.1M-37.3M-23.3M
Net VEX-114.6K-121.4K-106.6K-117.5K-106.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.991.963.632.942.57
Total Volume2,936.052,7063,4262,9022,966
Total OI22,340.4519,85524,55123,85220,685

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$40.86$35.6322.6%6.5%25.6%10.4%22.5%4.3%1.9%1.1M-37.3M-117.5K2.9411.237372,16515,2108,642
2017-09-05$40.29$39.5924.6%7.1%26.3%20.3%26.8%4.4%1.1%1.1M-34.0M-119.2K2.8923.258012,31215,2428,697
2017-09-06$40.82$39.5924.5%7.1%26.4%19.7%26.2%4.2%1.5%1.1M-36.9M-116.2K3.1520.277482,35615,3258,865
2017-09-07$40.59$39.5923.7%7.0%26.5%16.0%25.0%4.3%1.5%1.1M-35.9M-117.7K2.0022.511,1182,23215,4028,965
2017-09-08$39.19$39.5924.5%7.3%29.0%20.0%25.7%3.7%1.2%945.3K-27.9M-121.4K1.9620.861,1572,26915,2988,973
2017-09-11$39.68$39.5926.8%7.3%29.1%31.4%24.4%4.5%1.4%975.0K-30.5M-117.6K2.7822.168122,25915,3439,000
2017-09-12$39.58$39.5925.9%7.3%28.6%26.8%24.9%4.0%0.8%952.9K-30.3M-116.9K3.4018.326652,26115,4399,006
2017-09-13$38.93$39.5924.9%7.1%29.0%21.9%24.9%3.4%1.4%891.2K-26.2M-118.1K3.3717.866732,26815,4479,012
2017-09-14$38.81$39.5925.1%7.2%26.3%26.6%24.7%4.4%1.0%830.8K-25.4M-116.7K3.1118.747212,24315,4409,012
2017-09-15$38.94$39.5924.8%7.1%25.2%24.7%24.8%2.8%1.4%720.7K-26.3M-116.5K2.9717.877652,26915,5349,017
2017-09-18$39.51$39.5924.1%6.9%25.7%20.3%23.7%4.1%1.8%790.0K-23.1M-112.7K2.7721.607442,06212,3587,497
2017-09-19$40.15$39.5923.5%6.7%25.2%16.7%22.3%4.1%1.2%896.8K-26.6M-111.6K3.1119.686612,05312,5987,553
2017-09-20$39.34$39.5924.0%6.9%25.3%20.0%26.2%2.7%1.9%834.7K-22.9M-114.6K3.6318.175852,12112,7207,556
2017-09-21$39.23$39.5924.3%7.0%25.3%21.9%26.1%3.3%1.3%817.0K-22.4M-113.8K3.5119.966072,13112,7297,625
2017-09-22$38.70$39.5924.6%7.1%25.3%23.3%25.1%3.5%2.0%745.8K-19.9M-113.4K2.9417.387212,12312,7687,644
2017-09-25$38.63$39.5925.1%7.2%25.3%26.3%25.2%2.9%1.3%766.8K-19.8M-112.4K3.0218.266972,10912,8587,647
2017-09-26$38.29$39.5924.0%6.9%23.6%20.0%24.8%2.9%1.5%715.8K-18.1M-110.7K3.2721.366452,11012,8637,681
2017-09-27$38.52$39.5923.7%6.8%23.8%17.9%24.8%2.8%0.7%752.3K-19.0M-110.3K3.5219.946022,11712,8777,682
2017-09-28$39.37$39.5922.9%6.6%23.2%13.5%24.7%2.9%2.1%909.1K-23.5M-107.5K2.9614.617152,12112,9127,687
2017-09-29$39.35$39.5923.5%6.7%22.9%16.7%23.7%3.4%1.1%931.6K-23.3M-106.6K2.5719.848302,13612,9877,698