SCCO Options History — February 2018

In February 2018, SCCO traded between $45.17 and $53.17. ATM implied volatility averaged 29.4%, placing in the 55.6% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 3.2% (HV 20d: 32.6%). Max pain ranged from $43.55 to $46.52. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.88.

Notable Days

2018-02-14: Highest Volume — 4,120 contracts
2018-02-07: Largest IV drop — 26.3% change
2018-02-05: Highest IV Rank — 100.0%
2018-02-09: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.07	$45.17	$53.17	$48.59	$52.26
Max Pain	$44.28	$43.55	$46.52	$43.55	$46.52
ATM IV	29.4%	26.6%	37.6%	28.5%	29.2%
Expected Move	8.2%	7.4%	8.7%	7.4%	8.4%
HV 20d	32.6%	21.2%	39.0%	21.2%	36.5%
HV 60d	24.7%	21.4%	27.1%	21.4%	26.9%
IV Rank	55.6%	35.5%	100.0%	67.3%	50.6%
IV Percentile	93.5%	77.0%	100.0%	96.4%	95.2%
Term Structure	-0.6%	-2.2%	0.4%	-0.4%	-0.9%
VWIV	29.1%	26.7%	31.4%	26.7%	27.7%
Skew 25d	3.7%	0.9%	8.3%	3.0%	3.6%
Skew 10d	11.2%	3.1%	16.5%	6.5%	13.1%
Call IV 25d	26.8%	21.8%	29.8%	24.8%	28.3%
Put IV 25d	30.5%	27.8%	33.3%	27.8%	32.0%
Bid-Ask Spread %	15.83	11.11	31.64	13.99	11.17
Gamma HHI	0.17	0.12	0.28	0.14	0.25
Net GEX	669.9K	407.3K	984.7K	669.0K	966.1K
Net DEX	-21.2M	-40.6M	-2.6M	-17.6M	-37.9M
Net VEX	-94.0K	-107.4K	-82.0K	-84.6K	-106.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.23	1.43	0.78	0.23
Total Volume	2,178.947	925	4,120	925	3,223
Total OI	18,860.474	17,237	22,783	17,237	20,538

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2018-02-01	$48.59	$43.55	28.5%	7.4%	21.2%	67.3%	26.7%	3.0%	-0.4%	669.0K	-17.6M	-84.6K	0.78	13.99	520	405	10,393	6,844
2018-02-02	$46.89	$43.55	30.0%	7.7%	24.7%	79.4%	27.2%	3.3%	-0.6%	537.0K	-11.1M	-87.0K	1.07	13.58	635	676	10,419	6,862
2018-02-05	$46.47	$43.55	33.1%	8.5%	24.6%	100.0%	29.3%	2.0%	0.4%	429.9K	-7.4M	-87.6K	0.89	31.64	589	524	10,440	7,098
2018-02-06	$47.58	$43.55	37.6%	8.6%	26.1%	100.0%	30.3%	6.9%	-2.2%	488.0K	-12.7M	-84.4K	0.41	18.80	1,248	517	10,451	7,175
2018-02-07	$46.89	$43.55	27.7%	7.9%	26.5%	41.9%	29.5%	3.4%	-0.5%	600.6K	-11.2M	-85.5K	0.51	12.62	879	453	11,017	7,213
2018-02-08	$45.17	$43.55	29.8%	8.5%	29.0%	54.0%	31.0%	3.7%	-0.8%	407.3K	-2.6M	-86.7K	1.32	24.60	783	1,035	11,061	7,242
2018-02-09	$46.19	$43.55	30.4%	8.7%	30.0%	57.4%	31.4%	4.3%	-1.4%	515.9K	-6.5M	-88.6K	1.24	24.14	978	1,209	11,148	7,382
2018-02-12	$46.41	$43.55	27.7%	7.9%	30.1%	41.6%	29.1%	4.2%	-1.3%	592.8K	-8.3M	-82.0K	1.00	15.15	1,346	1,346	10,948	7,687
2018-02-13	$47.80	$43.55	26.6%	7.6%	32.1%	35.5%	26.8%	6.8%	-0.9%	711.4K	-15.0M	-92.0K	1.34	13.20	785	1,056	11,459	8,467
2018-02-14	$50.54	$43.55	28.5%	8.2%	37.7%	46.6%	28.4%	2.4%	-0.7%	531.6K	-28.9M	-83.7K	0.40	19.50	2,951	1,169	11,575	8,511
2018-02-15	$50.24	$43.55	29.6%	8.5%	37.7%	53.2%	30.8%	2.3%	-0.2%	725.0K	-30.9M	-104.7K	0.49	13.09	2,469	1,221	13,262	8,549
2018-02-16	$50.03	$44.54	28.1%	8.1%	37.4%	44.1%	28.7%	1.4%	0.4%	751.7K	-33.6M	-107.4K	1.03	13.94	1,010	1,040	14,134	8,649
2018-02-20	$50.00	$44.54	29.2%	8.4%	37.4%	50.8%	29.7%	1.7%	-0.9%	773.6K	-23.8M	-103.8K	1.08	11.84	872	946	9,852	7,516
2018-02-21	$49.42	$44.54	29.0%	8.3%	36.8%	49.1%	28.6%	0.9%	-0.9%	762.1K	-21.7M	-105.5K	1.40	14.43	721	1,011	9,969	7,551
2018-02-22	$50.26	$44.54	29.7%	8.5%	36.7%	53.4%	29.6%	2.2%	-1.1%	762.3K	-24.4M	-101.9K	1.43	11.11	699	997	9,969	7,644
2018-02-23	$51.62	$44.54	28.3%	8.1%	37.9%	45.6%	28.3%	3.3%	0.2%	765.3K	-29.8M	-94.7K	1.15	13.67	1,375	1,581	10,009	7,692
2018-02-26	$53.17	$46.52	27.8%	8.0%	39.0%	42.1%	30.9%	8.3%	0.3%	754.1K	-38.3M	-95.5K	0.43	11.38	2,494	1,072	10,951	8,214
2018-02-27	$52.87	$46.52	28.1%	8.1%	38.5%	44.1%	29.2%	6.6%	0.1%	984.7K	-40.6M	-103.2K	0.50	12.89	1,047	518	12,215	8,243
2018-02-28	$52.26	$46.52	29.2%	8.4%	36.5%	50.6%	27.7%	3.6%	-0.9%	966.1K	-37.9M	-106.2K	0.23	11.17	2,626	597	12,216	8,322