SCCO Options History — March 2018

In March 2018, SCCO traded between $51.94 and $55.33. ATM implied volatility averaged 27.4%, placing in the 40.2% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 1.0% (HV 20d: 26.4%). Max pain ranged from $46.52 to $47.51. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2018-03-06: Highest Volume — 2,924 contracts
  • 2018-03-29: Largest IV drop — 19.8% change
  • 2018-03-28: Highest IV Rank — 68.4%
  • 2018-03-28: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.61$51.94$55.33$52.60$53.70
Max Pain$47.41$46.52$47.51$46.52$47.51
ATM IV27.4%24.6%32.2%28.0%25.9%
Expected Move7.8%7.1%9.2%8.0%7.4%
HV 20d26.4%19.7%36.5%36.4%23.8%
HV 60d26.8%26.0%27.6%26.8%27.6%
IV Rank40.2%23.7%68.4%43.3%31.0%
IV Percentile79.4%50.0%99.2%86.5%69.0%
Term Structure1.8%0.2%2.8%0.5%2.7%
VWIV29.1%24.1%34.0%34.0%26.1%
Skew 25d3.5%2.0%8.6%7.2%2.9%
Skew 10d7.4%4.1%18.0%14.6%5.1%
Call IV 25d26.7%23.0%29.1%27.0%25.9%
Put IV 25d30.2%26.9%34.2%34.2%28.8%
Bid-Ask Spread %21.7012.5129.0213.0015.40
Gamma HHI0.370.270.560.270.33
Net GEX945.6K704.2K1.5M889.8K810.3K
Net DEX-33.6M-44.7M-19.1M-37.1M-24.5M
Net VEX-92.6K-108.5K-83.3K-106.0K-84.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.210.850.390.29
Total Volume1,683.2387532,9241,9321,490
Total OI18,438.90514,85321,41620,33115,282

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$52.60$46.5228.0%8.0%36.4%43.3%34.0%7.2%0.5%889.8K-37.1M-106.0K0.3913.001,38654611,9488,383
2018-03-02$52.37$46.5229.0%8.3%36.5%49.4%33.6%5.4%0.5%827.3K-35.2M-108.5K0.5012.511,11256011,7918,372
2018-03-05$52.68$47.5130.0%8.2%33.4%55.4%32.0%2.3%0.9%892.8K-37.2M-98.6K0.4026.901,12844711,8008,467
2018-03-06$54.14$47.5129.1%8.3%33.7%50.3%32.5%3.1%1.4%912.7K-43.0M-94.3K0.2528.472,33658811,8658,486
2018-03-07$54.27$47.5129.0%8.1%33.2%49.2%34.0%3.4%2.1%1.1M-44.7M-100.6K0.2627.522,26659112,6208,635
2018-03-08$53.40$47.5127.2%7.9%33.4%39.0%31.0%2.5%2.0%1.1M-40.1M-98.2K0.2328.452,21151212,3738,659
2018-03-09$54.00$47.5125.7%7.6%29.1%30.2%30.5%3.1%2.3%1.1M-42.5M-94.6K0.2525.001,89546712,3618,712
2018-03-12$53.79$47.5129.8%7.6%29.0%54.0%29.8%3.0%1.6%1.2M-42.0M-94.4K0.2122.812,33748712,4978,860
2018-03-13$53.70$47.5128.9%7.5%29.1%48.9%30.1%2.8%1.6%1.2M-40.7M-90.8K0.2629.021,83248512,3058,917
2018-03-14$54.12$47.5125.8%7.4%27.9%30.4%27.0%2.7%2.2%1.4M-42.9M-90.0K0.3224.351,86559712,3728,948
2018-03-15$53.96$47.5125.6%7.3%21.0%29.2%25.0%2.0%2.4%1.5M-41.1M-88.9K0.8525.5167557512,3519,064
2018-03-16$54.11$47.5124.6%7.1%20.7%23.7%24.1%2.4%2.7%750.0K-40.1M-85.5K0.4925.261,05752212,3459,071
2018-03-19$53.94$47.5125.1%7.2%20.7%26.8%27.1%3.8%2.8%782.5K-25.5M-89.1K0.3419.758172788,7656,098
2018-03-20$54.57$47.5124.9%7.1%20.8%25.5%25.5%2.5%2.4%805.8K-27.4M-84.2K0.5818.285363108,7366,117
2018-03-21$55.33$47.5125.9%7.4%20.1%31.4%26.1%2.3%2.2%824.8K-29.8M-83.3K0.5318.456963678,8266,136
2018-03-22$53.81$47.5127.2%7.8%22.9%38.7%27.8%3.7%1.8%763.7K-24.8M-92.4K0.5621.406363548,9046,225
2018-03-23$52.97$47.5128.1%8.1%22.1%44.0%28.6%2.7%0.7%731.1K-22.4M-92.7K0.5921.325503268,9606,267
2018-03-26$53.46$47.5126.9%7.7%19.7%36.9%27.8%4.2%2.2%776.5K-23.7M-88.4K0.6320.894632908,9366,257
2018-03-27$52.87$47.5127.3%7.8%20.1%39.4%28.7%8.6%2.1%743.1K-21.6M-88.8K0.6317.425283328,9196,248
2018-03-28$51.94$47.5132.2%9.2%20.6%68.4%30.5%3.2%0.2%704.2K-19.1M-89.7K0.5213.945903089,0306,309
2018-03-29$53.70$47.5125.9%7.4%23.8%31.0%26.1%2.9%2.7%810.3K-24.5M-84.7K0.2915.401,1563348,9686,314