SCCO Options History — May 2018

In May 2018, SCCO traded between $47.80 and $52.46. ATM implied volatility averaged 26.1%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 2.7% (HV 20d: 23.4%). Max pain ranged from $44.54 to $54.43. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 2.90.

Notable Days

  • 2018-05-31: Highest Volume — 6,146 contracts
  • 2018-05-29: Largest IV spike — 17.2% change
  • 2018-05-01: Highest IV Rank — 55.7%
  • 2018-05-01: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.73$47.80$52.46$51.01$48.44
Max Pain$48.50$44.54$54.43$54.43$48.50
ATM IV26.1%23.9%30.1%30.1%26.1%
Expected Move7.4%6.9%8.6%8.6%7.5%
HV 20d23.4%19.0%27.3%27.0%23.7%
HV 60d25.3%22.7%28.5%28.5%24.0%
IV Rank32.5%19.6%55.7%55.7%32.5%
IV Percentile61.3%30.6%94.8%94.8%65.5%
Term Structure-0.8%-2.8%0.5%-2.1%-1.9%
VWIV26.7%21.2%37.1%31.1%23.4%
Skew 25d2.5%-0.5%6.3%-0.5%1.4%
Skew 10d7.2%-2.4%14.2%-2.3%2.0%
Call IV 25d24.2%20.6%28.2%28.2%27.6%
Put IV 25d26.8%24.0%29.5%27.7%28.9%
Bid-Ask Spread %16.559.3624.319.3610.15
Gamma HHI0.340.170.470.230.21
Net GEX591.1K248.5K807.4K460.8K386.0K
Net DEX-8.6M-13.7M-2.0M-9.0M-3.4M
Net VEX-65.9K-82.1K-49.1K-77.4K-49.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.901.784.653.012.36
Total Volume5,091.7734,5766,1465,2076,146
Total OI19,195.40917,84020,35518,87718,615

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-05-01$51.01$54.4330.1%8.6%27.0%55.7%31.1%-0.5%-2.1%460.8K-9.0M-77.4K3.019.361,2993,9089,5589,319
2018-05-02$51.23$54.4328.9%8.3%26.4%48.9%33.4%-0.1%-1.0%592.7K-11.1M-76.9K3.8710.941,0023,8779,9139,367
2018-05-03$51.26$44.5429.2%7.9%26.0%50.4%37.1%4.3%-0.9%507.8K-9.5M-78.6K4.3218.708873,8369,8799,392
2018-05-04$52.46$44.5425.3%7.2%26.4%27.9%36.9%3.5%-0.7%777.4K-13.7M-82.1K4.6519.048093,76710,0829,412
2018-05-07$51.34$44.5428.9%7.7%27.3%48.6%36.7%2.8%-1.0%639.4K-10.9M-71.5K2.9019.231,3563,92610,1709,426
2018-05-08$50.57$48.5028.9%7.6%24.4%49.1%34.4%4.3%-0.9%414.6K-5.4M-70.7K2.6716.491,4133,7669,5189,607
2018-05-09$50.85$48.5025.9%7.4%24.7%31.3%31.5%2.5%-0.8%490.5K-6.5M-69.2K1.7823.912,1843,8819,6519,628
2018-05-10$51.55$48.5026.2%7.5%25.3%32.8%30.9%3.0%-0.9%741.9K-9.8M-71.2K1.9921.221,8673,71610,1369,721
2018-05-11$51.25$48.5025.4%7.3%24.3%28.1%22.0%2.9%-0.1%664.1K-8.8M-69.6K2.7321.071,3623,71310,1769,733
2018-05-14$51.24$48.5024.9%7.1%23.3%25.1%21.8%2.1%-0.7%634.5K-8.8M-65.2K2.9717.341,2493,70510,2749,729
2018-05-15$51.25$48.5025.1%7.2%22.4%26.4%21.8%3.1%-0.0%608.2K-8.7M-67.5K3.1221.331,1943,72310,3279,745
2018-05-16$51.57$48.5024.6%7.1%21.5%23.5%22.3%1.9%0.5%689.5K-10.0M-65.2K2.7812.201,3153,65910,3439,763
2018-05-17$51.47$48.5024.5%7.0%21.5%23.2%22.3%2.0%-0.8%739.3K-10.1M-64.6K2.8218.831,2883,63010,5439,812
2018-05-18$50.79$48.5024.6%7.0%21.4%23.3%21.5%3.4%-0.2%611.3K-8.2M-63.6K2.8918.941,2613,64110,5489,790
2018-05-21$51.10$48.5023.9%6.9%21.5%19.6%22.3%2.1%0.1%624.9K-10.1M-59.6K2.3016.681,5563,5758,6489,192
2018-05-22$51.36$48.5024.1%6.9%21.2%20.4%23.6%1.8%0.0%807.4K-11.9M-62.6K2.6314.841,3583,5769,0079,188
2018-05-23$50.51$48.5025.3%7.3%19.2%27.7%23.4%3.0%-1.0%735.3K-10.8M-64.4K2.8224.311,2853,6309,1449,188
2018-05-24$50.74$48.5024.7%7.1%19.0%24.3%23.7%2.9%-0.8%681.3K-9.8M-61.2K2.9413.791,2303,6099,2009,200
2018-05-25$49.45$48.5024.0%6.9%20.8%20.0%21.9%1.2%-0.5%543.4K-6.8M-56.9K2.9012.411,2473,6149,2099,211
2018-05-29$47.80$48.5028.1%8.1%23.5%44.2%21.2%1.8%-2.8%248.5K-2.0M-50.5K2.879.871,2843,6869,2009,222
2018-05-30$48.81$48.5026.2%7.5%23.7%32.9%23.8%6.3%-1.6%405.5K-4.6M-51.4K2.6013.441,3873,6029,2459,268
2018-05-31$48.44$48.5026.1%7.5%23.7%32.5%23.4%1.4%-1.9%386.0K-3.4M-49.1K2.3610.151,8294,3179,2849,331