SCCO Options History — October 2017

In October 2017, SCCO traded between $39.33 and $43.90. ATM implied volatility averaged 24.1%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 3.4% (HV 20d: 20.7%). Max pain ranged from $38.60 to $41.57. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 4.37.

Notable Days

  • 2017-10-25: Highest Volume — 7,421 contracts
  • 2017-10-09: Largest IV spike — 11.6% change
  • 2017-10-30: Highest IV Rank — 27.3%
  • 2017-10-09: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.05$39.33$43.90$39.33$42.48
Max Pain$39.86$38.60$41.57$39.59$41.57
ATM IV24.1%22.5%25.3%24.2%24.8%
Expected Move7.0%6.6%7.3%7.0%7.1%
HV 20d20.7%18.1%24.2%22.1%19.2%
HV 60d22.8%22.2%23.3%22.6%23.0%
IV Rank20.6%10.9%27.3%21.2%24.4%
IV Percentile28.1%4.0%48.0%28.6%41.7%
Term Structure0.3%-0.6%1.5%1.2%0.6%
VWIV24.8%23.1%26.2%25.2%24.8%
Skew 25d3.5%2.4%4.6%3.5%3.0%
Skew 10d7.5%4.1%13.0%12.1%5.2%
Call IV 25d23.0%21.3%24.3%22.9%24.0%
Put IV 25d26.5%24.8%27.8%26.4%26.9%
Bid-Ask Spread %20.2513.8529.8519.3916.64
Gamma HHI0.190.120.270.200.12
Net GEX965.5K531.9K1.4M956.9K542.1K
Net DEX-34.9M-44.4M-23.2M-23.2M-28.7M
Net VEX-95.5K-134.2K-70.7K-106.0K-127.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.371.819.433.118.99
Total Volume4,193.2272,6447,4212,7977,266
Total OI22,171.72719,99725,26120,87325,261

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$39.33$39.5924.2%7.0%22.1%21.2%25.2%3.5%1.2%956.9K-23.2M-106.0K3.1119.396802,11713,1507,723
2017-10-03$40.40$39.5923.6%6.8%23.8%17.6%24.1%4.6%1.0%1.1M-28.9M-101.2K2.6420.978122,14113,1837,744
2017-10-04$40.66$39.5923.2%6.7%23.4%15.4%23.1%3.5%1.5%1.2M-30.9M-100.0K3.3517.116462,16413,3657,758
2017-10-05$41.39$38.6022.7%7.2%24.2%12.4%25.2%3.7%-0.5%1.3M-34.8M-95.5K2.7418.877822,14413,3807,725
2017-10-06$41.18$38.6022.5%6.9%20.3%10.9%25.0%3.5%0.0%1.3M-34.2M-95.4K1.8216.681,1732,13713,5117,725
2017-10-09$40.50$38.6025.1%7.3%21.0%26.1%25.3%4.0%-0.3%1.2M-30.0M-95.6K3.5520.226092,16113,3677,763
2017-10-10$41.13$38.6023.1%7.2%21.6%14.8%25.5%3.6%-0.6%1.3M-33.3M-91.8K3.2518.816642,15513,3437,812
2017-10-11$41.31$38.6024.3%7.0%20.5%21.3%25.2%4.0%0.3%1.4M-34.8M-90.2K3.6615.075922,16913,5047,910
2017-10-12$42.02$39.5924.4%7.0%20.9%22.4%25.0%3.8%0.3%1.4M-38.5M-85.9K3.9029.855402,10413,5557,964
2017-10-13$42.68$39.5924.4%7.0%21.3%22.2%25.0%3.4%-0.1%1.2M-41.8M-81.1K1.8127.371,1442,07513,5968,012
2017-10-16$43.25$39.5924.1%6.9%21.3%20.6%25.0%3.1%0.5%939.0K-44.4M-70.7K2.0920.861,0112,11513,3088,109
2017-10-17$43.04$39.5925.1%7.2%21.0%26.3%24.9%3.7%0.4%1.0M-43.5M-73.6K2.6524.068052,13613,5978,216
2017-10-18$42.97$39.5924.6%7.0%19.2%23.2%24.3%4.2%0.3%1.0M-42.8M-74.8K1.8425.671,1872,18213,6168,235
2017-10-19$42.82$39.5924.6%7.1%19.2%23.5%24.3%3.6%0.5%849.6K-43.0M-75.7K2.3319.049202,14713,8728,327
2017-10-20$42.67$39.5924.6%7.0%18.3%23.2%24.7%2.4%0.0%756.2K-42.7M-73.9K2.8624.079092,60013,9118,332
2017-10-23$42.94$39.5924.5%7.0%18.1%22.8%25.2%3.9%-0.1%765.3K-35.8M-73.5K5.9623.797594,52311,9628,035
2017-10-24$43.90$40.5823.6%6.8%18.3%17.8%24.5%2.9%0.5%611.9K-37.6M-93.1K4.6519.489874,59012,20710,157
2017-10-25$43.24$41.5723.2%6.6%19.9%14.9%24.1%2.9%1.1%663.4K-35.5M-100.4K8.5619.917766,64512,67410,315
2017-10-26$42.79$41.5723.6%6.8%19.7%17.6%24.3%3.4%0.3%536.9K-30.3M-130.3K8.9716.457216,47112,76712,395
2017-10-27$42.05$41.5725.1%7.2%21.1%26.4%24.1%3.6%0.1%531.9K-26.2M-134.2K8.0817.268006,46312,77312,438
2017-10-30$42.37$41.5725.3%7.2%21.1%27.3%26.2%3.1%-0.3%544.8K-27.7M-131.3K9.4313.856936,53612,75712,424
2017-10-31$42.48$41.5724.8%7.1%19.2%24.4%24.8%3.0%0.6%542.1K-28.7M-127.9K8.9916.647276,53912,78512,476