SCCO Options History — November 2017

In November 2017, SCCO traded between $41.59 and $43.99. ATM implied volatility averaged 25.4%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 5.0% (HV 20d: 20.4%). Max pain ranged from $38.60 to $41.57. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 3.34.

Notable Days

  • 2017-11-08: Highest Volume — 14,071 contracts
  • 2017-11-08: Largest IV spike — 10.9% change
  • 2017-11-09: Highest IV Rank — 40.8%
  • 2017-11-09: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.87$41.59$43.99$42.50$41.59
Max Pain$39.02$38.60$41.57$41.57$39.59
ATM IV25.4%23.2%27.6%24.2%25.7%
Expected Move7.3%6.7%7.9%6.9%7.4%
HV 20d20.4%18.2%21.8%19.2%21.3%
HV 60d22.2%20.9%23.6%22.9%21.1%
IV Rank28.2%15.4%40.8%20.8%29.6%
IV Percentile49.8%13.5%78.6%30.2%58.3%
Term Structure-0.1%-1.1%1.1%0.4%-0.8%
VWIV26.2%23.5%30.8%24.8%25.8%
Skew 25d3.3%2.0%4.5%4.0%2.9%
Skew 10d7.6%3.3%11.5%6.2%3.3%
Call IV 25d24.4%22.4%26.8%22.4%25.0%
Put IV 25d27.6%25.9%29.5%26.4%27.9%
Bid-Ask Spread %15.189.2820.8018.0317.22
Gamma HHI0.180.110.290.110.16
Net GEX851.0K371.1K1.4M588.0K760.2K
Net DEX-24.2M-35.5M-14.1M-29.0M-14.1M
Net VEX-127.7K-145.9K-116.2K-126.2K-117.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.340.9311.4111.021.83
Total Volume6,858.7623,55014,0717,5393,973
Total OI26,338.47623,72929,05025,38326,164

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$42.50$41.5724.2%6.9%19.2%20.8%24.8%4.0%0.4%588.0K-29.0M-126.2K11.0218.036276,91212,90512,478
2017-11-02$42.48$38.6023.5%7.1%18.3%16.8%25.6%3.0%0.3%559.6K-28.2M-128.6K11.4114.145906,73412,98312,853
2017-11-03$42.44$38.6023.5%7.0%18.2%16.9%24.8%3.5%0.4%537.4K-27.3M-129.4K9.9915.416786,77213,00113,111
2017-11-06$43.99$38.6024.8%6.9%20.6%24.2%28.0%3.1%0.1%463.9K-35.5M-118.0K2.0914.773,2636,83113,00713,161
2017-11-07$43.59$38.6024.1%7.1%20.7%20.1%26.0%3.9%-0.3%394.0K-25.6M-117.8K3.9015.141,7216,71510,98413,179
2017-11-08$43.95$38.6026.7%7.6%20.8%35.4%26.9%2.0%-1.0%371.1K-23.8M-116.2K0.9315.787,2986,77310,24613,483
2017-11-09$43.64$38.6027.6%7.9%20.4%40.8%27.5%3.3%-0.3%937.8K-27.8M-136.7K1.5915.204,2946,82113,05513,589
2017-11-10$43.45$38.6027.1%7.8%19.8%38.0%27.7%2.6%-0.2%1.3M-31.0M-145.9K3.1714.472,1606,83814,85313,683
2017-11-13$43.49$38.6027.4%7.9%19.3%39.6%28.2%3.0%-0.9%1.4M-32.3M-144.7K3.5214.261,9326,80215,31613,734
2017-11-14$42.44$38.6027.3%7.8%21.1%38.7%27.2%3.1%-0.4%1.4M-23.7M-145.6K2.6315.962,5616,73715,31213,728
2017-11-15$41.93$38.6027.0%7.7%21.5%37.0%25.7%3.2%-0.3%1.1M-18.6M-140.5K1.2017.303,8904,67214,68313,713
2017-11-16$42.04$38.6025.4%7.3%21.5%27.8%25.0%2.9%1.1%979.7K-17.0M-131.2K1.9820.802,1464,24813,34313,725
2017-11-17$42.45$38.6025.3%7.2%21.8%27.2%25.7%3.4%0.5%806.3K-19.4M-130.1K1.1416.811,9772,25013,15013,547
2017-11-20$42.67$38.6025.2%7.2%21.8%27.0%26.7%4.5%0.2%863.7K-21.5M-125.6K1.4213.751,4652,08512,07512,937
2017-11-21$43.26$38.6024.1%6.9%20.8%20.5%24.6%3.6%0.7%929.2K-25.0M-122.0K1.979.281,4142,78312,18512,936
2017-11-22$43.37$39.5923.2%6.7%20.1%15.4%23.5%2.9%1.0%870.8K-24.6M-125.0K1.9714.171,3632,67912,17213,643
2017-11-24$43.68$39.5924.5%7.0%19.9%22.9%23.7%3.2%0.3%912.0K-26.6M-121.2K2.0012.301,3362,67512,30713,666
2017-11-27$42.72$39.5925.7%7.4%20.5%29.8%26.1%3.4%-0.9%899.8K-21.0M-120.8K2.0213.491,3382,70712,34413,669
2017-11-28$42.62$39.5925.3%7.2%20.4%27.2%25.6%3.0%-0.4%922.1K-20.3M-119.2K2.2113.801,2392,74012,36413,691
2017-11-29$42.05$39.5926.7%7.7%20.9%35.7%30.8%3.9%-1.1%809.5K-16.6M-120.4K2.2116.751,2432,75212,38813,745
2017-11-30$41.59$39.5925.7%7.4%21.3%29.6%25.8%2.9%-0.8%760.2K-14.1M-117.5K1.8317.221,4042,56912,36313,801