SCCO Options History — December 2017

In December 2017, SCCO traded between $41.52 and $47.13. ATM implied volatility averaged 24.0%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 3.9% (HV 20d: 20.1%). Max pain ranged from $36.62 to $39.59. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.07.

Notable Days

  • 2017-12-11: Highest Volume — 4,872 contracts
  • 2017-12-13: Largest IV drop — 18.6% change
  • 2017-12-12: Highest IV Rank — 49.1%
  • 2017-12-04: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.85$41.52$47.13$42.33$46.98
Max Pain$36.82$36.62$39.59$39.59$37.61
ATM IV24.0%21.0%29.0%25.2%21.8%
Expected Move6.6%6.0%7.4%7.2%6.2%
HV 20d20.1%18.3%22.6%22.3%18.8%
HV 60d20.3%19.8%21.4%21.4%20.0%
IV Rank21.6%3.6%49.1%26.9%9.8%
IV Percentile32.4%0.4%96.0%51.2%3.6%
Term Structure2.7%-0.2%4.0%-0.2%3.4%
VWIV23.4%20.8%28.2%26.6%21.8%
Skew 25d2.3%1.1%3.6%3.6%2.0%
Skew 10d5.6%2.7%11.4%5.6%7.1%
Call IV 25d22.3%20.1%24.4%24.2%20.9%
Put IV 25d24.5%22.0%27.8%27.8%23.0%
Bid-Ask Spread %13.2010.5915.5615.5611.52
Gamma HHI0.160.120.340.200.12
Net GEX584.9K-20.6K1.2M896.3K863.8K
Net DEX-22.4M-37.1M-12.1M-18.3M-37.1M
Net VEX-105.3K-117.8K-95.4K-117.8K-101.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.302.482.480.78
Total Volume3,251.81,3644,8724,7931,557
Total OI25,753.921,33428,51926,20325,674

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$42.33$39.5925.2%7.2%22.3%26.9%26.6%3.6%-0.2%896.3K-18.3M-117.8K2.4815.561,3773,41612,39813,805
2017-12-04$42.76$36.6227.5%7.4%22.6%39.9%26.2%3.0%1.8%849.5K-20.6M-117.0K1.8014.021,4002,51912,37214,685
2017-12-05$42.03$36.6228.0%7.3%19.1%42.8%28.2%3.6%2.0%723.9K-15.3M-115.6K1.8314.251,4012,55912,38214,698
2017-12-06$41.79$36.6227.2%7.2%18.9%38.5%25.1%2.2%2.3%670.1K-14.0M-113.9K1.7814.211,4232,53512,38614,690
2017-12-07$41.83$36.6226.1%7.2%18.6%32.2%24.2%2.0%1.9%701.7K-14.6M-113.6K1.6615.201,5362,55612,60914,693
2017-12-08$41.52$36.6225.2%6.9%18.6%26.7%24.7%1.1%2.8%536.7K-12.1M-110.1K1.5014.801,7272,59412,46214,634
2017-12-11$41.90$36.6228.1%7.0%19.0%43.5%23.8%2.2%2.0%593.2K-15.1M-104.3K1.5813.021,8882,98412,64514,658
2017-12-12$41.89$36.6229.0%6.9%19.0%49.1%24.4%2.4%2.6%402.9K-15.0M-105.3K1.3612.552,0312,76012,79814,874
2017-12-13$42.78$36.6223.6%6.8%18.7%17.6%23.5%2.5%2.3%1.2M-20.5M-102.2K0.9811.202,1402,10012,98514,981
2017-12-14$42.45$36.6222.7%6.5%18.3%17.9%22.5%1.7%3.0%558.3K-19.1M-103.0K1.0012.642,1312,13813,31515,072
2017-12-15$42.87$36.6222.3%6.4%18.6%14.3%22.6%2.3%2.7%-20.6K-21.1M-101.3K0.9813.962,1062,07013,35115,168
2017-12-18$44.16$36.6221.5%6.2%21.0%8.1%21.9%2.8%3.0%73.4K-17.5M-95.4K0.3412.501,6135568,46012,874
2017-12-19$44.59$36.6221.6%6.2%21.2%8.9%22.0%2.6%3.2%210.4K-20.9M-99.2K0.4811.431,3376469,19412,926
2017-12-20$45.67$36.6221.4%6.1%22.2%7.1%21.5%1.3%3.1%323.9K-27.0M-95.6K0.3011.131,8405609,71613,011
2017-12-21$45.96$36.6222.5%6.4%22.2%16.0%22.0%1.9%2.1%423.7K-28.6M-102.3K0.3115.441,71352810,36713,050
2017-12-22$45.72$36.6221.0%6.0%22.4%3.6%20.8%2.1%4.0%601.4K-29.1M-105.0K0.6213.1284052411,05313,072
2017-12-26$46.09$36.6221.9%6.3%20.5%11.2%22.2%2.1%3.8%619.6K-30.8M-101.1K0.4714.121,47369611,08413,087
2017-12-27$46.61$36.6221.4%6.1%20.5%7.2%22.0%2.1%3.8%709.4K-33.9M-101.2K0.4312.771,53466411,51113,217
2017-12-28$47.13$36.6221.9%6.3%19.5%11.3%22.1%2.1%3.7%780.9K-36.9M-100.0K0.7010.5991764711,88813,233
2017-12-29$46.98$37.6121.8%6.2%18.8%9.8%21.8%2.0%3.4%863.8K-37.1M-101.3K0.7811.5287568212,28613,388