SCCO Options History — April 2018

In April 2018, SCCO traded between $52.35 and $56.89. ATM implied volatility averaged 29.5%, placing in the 52.1% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 3.2% (HV 20d: 26.2%). Max pain ranged from $47.51 to $54.43. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2018-04-30: Highest Volume — 4,613 contracts
  • 2018-04-26: Largest IV drop — 9.0% change
  • 2018-04-24: Highest IV Rank — 61.4%
  • 2018-04-24: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.60$52.35$56.89$53.65$52.35
Max Pain$53.44$47.51$54.43$47.51$54.43
ATM IV29.5%25.7%31.0%30.9%27.1%
Expected Move8.5%7.4%8.9%8.9%7.8%
HV 20d26.2%22.4%29.3%23.7%26.1%
HV 60d28.8%27.6%29.9%27.6%29.0%
IV Rank52.1%30.2%61.4%60.7%38.4%
IV Percentile91.8%63.5%98.8%98.8%73.8%
Term Structure-1.4%-2.9%1.0%-1.0%-1.3%
VWIV30.1%28.5%31.3%31.1%28.8%
Skew 25d4.0%0.8%11.6%4.1%3.0%
Skew 10d7.0%-9.4%18.5%4.6%5.6%
Call IV 25d27.9%21.2%30.5%30.5%26.4%
Put IV 25d31.9%29.4%34.6%34.6%29.4%
Bid-Ask Spread %17.288.6032.8632.868.60
Gamma HHI0.350.300.390.310.34
Net GEX1.1M786.8K1.4M872.6K786.8K
Net DEX-27.9M-39.7M-14.5M-24.7M-14.5M
Net VEX-79.8K-90.2K-69.5K-85.5K-71.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.194.980.194.98
Total Volume1,312.196444,6132,1124,613
Total OI17,239.38115,52518,89616,03916,051

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-04-02$53.65$47.5130.9%8.9%23.7%60.7%31.1%4.1%-1.0%872.6K-24.7M-85.5K0.1932.861,7803329,6826,357
2018-04-03$54.29$47.5129.5%8.5%23.9%52.6%29.4%11.6%0.2%1.1M-27.7M-90.2K0.5713.4160734910,6936,360
2018-04-04$55.03$47.5128.4%8.1%22.4%46.0%29.1%4.3%1.0%1.2M-30.9M-85.7K0.4826.7654326310,8056,442
2018-04-05$55.58$54.4328.8%8.4%22.7%48.1%29.5%3.9%-1.3%1.2M-33.2M-85.1K0.7518.4348436310,8576,446
2018-04-06$54.18$54.4329.9%8.6%23.9%54.8%31.3%4.0%-1.4%1.1M-27.5M-88.4K0.7721.0839030110,9496,503
2018-04-09$53.93$54.4329.5%8.5%23.6%52.5%30.1%4.0%-0.6%1.1M-26.7M-82.7K0.5011.9547823710,9506,523
2018-04-10$55.68$54.4330.6%8.9%26.1%58.6%30.8%4.0%-1.6%1.2M-33.3M-85.6K0.2522.911,43535911,0316,500
2018-04-11$55.31$54.4330.3%8.7%26.3%56.9%30.1%3.3%-1.6%1.3M-32.6M-85.1K0.9123.0233730711,4016,625
2018-04-12$55.61$54.4329.8%8.5%26.2%54.0%30.0%4.5%-0.9%1.3M-34.2M-82.1K0.8317.3739232511,4286,627
2018-04-13$54.36$54.4329.7%8.5%27.5%53.2%30.2%3.8%-1.3%1.2M-28.6M-82.3K0.8516.2443837111,4756,647
2018-04-16$55.21$54.4329.2%8.4%28.0%50.7%30.5%3.7%-1.5%1.3M-31.7M-78.9K0.9516.6741539311,4396,701
2018-04-17$55.99$54.4329.2%8.4%28.4%50.4%29.0%4.2%-1.7%1.3M-35.6M-75.6K0.5610.1264435811,4696,788
2018-04-18$56.89$54.4330.1%8.6%28.6%56.1%28.5%3.8%-1.9%1.4M-39.7M-76.6K0.4421.1385637811,6746,828
2018-04-19$56.37$54.4331.0%8.9%28.5%60.9%30.0%4.3%-2.6%1.3M-38.4M-78.1K0.6723.1144629711,9876,868
2018-04-20$55.57$54.4330.3%8.7%27.1%56.8%30.4%2.9%-2.4%1.1M-36.0M-79.1K0.9413.0342339712,0236,873
2018-04-23$54.81$54.4330.2%8.7%26.9%56.6%30.6%3.8%-2.4%1.0M-22.7M-75.2K0.519.826693439,2816,244
2018-04-24$53.99$54.4331.0%8.9%27.4%61.4%31.2%4.3%-2.7%962.0K-20.6M-75.6K0.3912.557903089,4686,252
2018-04-25$52.37$54.4330.0%8.6%29.3%55.5%30.6%0.8%-2.9%796.4K-15.8M-70.6K0.3113.091,9616039,7056,270
2018-04-26$52.81$54.4327.3%7.8%28.7%39.6%30.0%2.4%-1.0%826.1K-16.1M-72.6K0.5320.971,1626139,4446,530
2018-04-27$52.67$54.4325.7%7.4%26.0%30.2%30.0%3.4%-0.8%809.8K-15.3M-69.5K0.409.851,2845129,2136,618
2018-04-30$52.35$54.4327.1%7.8%26.1%38.4%28.8%3.0%-1.3%786.8K-14.5M-71.5K4.988.607713,8429,3116,740