SCCO Options History — January 2018

In January 2018, SCCO traded between $47.64 and $50.05. ATM implied volatility averaged 25.5%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 7.2% (HV 20d: 18.2%). Max pain ranged from $36.62 to $44.54. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2018-01-23: Highest Volume — 3,560 contracts
  • 2018-01-10: Largest IV spike — 21.4% change
  • 2018-01-30: Highest IV Rank — 85.4%
  • 2018-01-30: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.97$47.64$50.05$48.32$48.16
Max Pain$42.98$36.62$44.54$36.62$44.54
ATM IV25.5%20.8%30.7%21.9%28.7%
Expected Move7.5%6.1%8.8%6.3%8.2%
HV 20d18.2%15.4%23.0%19.9%21.0%
HV 60d20.0%19.6%21.4%20.4%21.4%
IV Rank41.3%1.5%85.4%11.0%69.0%
IV Percentile57.9%0.4%99.2%4.0%96.8%
Term Structure-1.0%-3.8%3.7%3.0%-3.0%
VWIV27.0%22.9%30.1%23.9%29.9%
Skew 25d4.1%1.7%9.8%3.9%5.8%
Skew 10d8.4%3.2%16.3%9.1%13.7%
Call IV 25d23.8%19.2%28.4%20.4%26.4%
Put IV 25d27.9%22.7%32.2%24.2%32.2%
Bid-Ask Spread %17.989.3327.179.5319.07
Gamma HHI0.200.130.460.130.14
Net GEX889.1K500.4K1.7M820.2K589.0K
Net DEX-36.4M-53.9M-13.8M-42.8M-15.5M
Net VEX-84.4K-92.4K-77.8K-92.4K-85.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.211.410.450.85
Total Volume1,707.2868893,5602,157889
Total OI22,749.09513,75427,99425,69117,085

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$48.32$36.6221.9%6.3%19.9%11.0%23.9%3.9%3.0%820.2K-42.8M-92.4K0.459.531,48667112,26213,429
2018-01-03$48.46$36.6221.4%6.1%19.9%6.6%22.9%2.9%3.7%836.1K-44.0M-92.3K0.919.3369763812,43413,490
2018-01-04$48.25$43.5521.4%7.2%18.4%6.5%26.4%2.2%-0.7%835.7K-43.2M-90.9K1.1019.7579187112,35013,556
2018-01-05$48.62$43.5520.8%7.1%17.8%1.5%25.6%2.5%-0.5%726.2K-44.2M-90.2K1.1814.9462574112,32513,820
2018-01-08$48.92$43.5522.6%7.3%17.6%16.8%26.3%2.7%-0.6%687.6K-45.2M-83.9K1.0717.2466270812,32613,895
2018-01-09$48.57$43.5521.5%7.3%17.6%8.0%26.4%2.3%-1.1%722.1K-44.1M-84.1K0.8820.8688477412,33313,911
2018-01-10$48.96$43.5526.1%7.5%17.6%46.9%26.4%2.8%-1.2%697.5K-45.8M-83.2K0.3020.422,60077212,39813,928
2018-01-11$49.57$43.5525.8%7.4%17.4%44.2%26.0%2.9%-0.7%1.5M-52.0M-81.8K0.5720.651,22270113,91213,878
2018-01-12$49.42$43.5525.2%7.2%17.2%38.8%26.6%2.1%-0.5%1.6M-51.7M-85.6K0.6720.5296064414,08313,864
2018-01-16$48.83$43.5526.5%7.6%17.8%50.1%27.0%3.1%-1.1%1.7M-48.1M-82.5K0.7427.171,15085014,00613,884
2018-01-17$49.35$43.5526.1%7.5%17.8%46.5%26.6%3.8%-0.9%1.6M-50.4M-80.9K0.6422.581,34286013,73214,107
2018-01-18$49.03$43.5526.4%7.6%16.2%48.8%25.7%7.3%-1.2%1.5M-48.1M-82.4K0.6420.701,06968613,87014,124
2018-01-19$49.77$43.5526.1%7.5%16.5%46.2%27.1%3.0%-1.2%500.4K-53.9M-77.8K0.6121.531,36883213,75314,153
2018-01-22$49.57$43.5526.5%7.6%15.4%49.5%27.4%2.5%-1.2%534.8K-20.4M-79.9K0.7415.766885097,3976,357
2018-01-23$48.56$43.5526.8%7.7%17.7%52.1%27.2%1.7%-1.9%547.7K-17.8M-82.9K0.2118.812,9546067,4876,394
2018-01-24$49.50$43.5526.8%7.7%18.3%52.7%28.6%4.0%-1.6%711.3K-20.7M-82.9K0.8615.136665759,7736,547
2018-01-25$49.54$43.5527.2%7.8%18.3%55.5%28.4%9.8%-1.8%696.2K-21.0M-81.2K0.8816.927596719,8466,586
2018-01-26$50.05$43.5527.5%7.9%18.2%58.5%29.0%9.4%-2.4%706.6K-22.7M-79.9K1.4115.4746465310,0036,678
2018-01-29$49.26$43.5529.3%8.4%19.2%73.8%29.6%8.8%-2.6%680.4K-19.9M-84.7K0.8715.9149643010,0816,713
2018-01-30$47.64$44.5430.7%8.8%23.0%85.4%30.1%3.5%-3.8%560.7K-13.8M-87.8K0.9315.2246242710,2026,759
2018-01-31$48.16$44.5428.7%8.2%21.0%69.0%29.9%5.8%-3.0%589.0K-15.5M-85.9K0.8519.0748140810,2566,829