SCCO Options History — June 2018

In June 2018, SCCO traded between $45.46 and $51.90. ATM implied volatility averaged 26.1%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 0.5% (HV 20d: 25.6%). Max pain ranged from $48.50 to $49.49. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.35.

Notable Days

  • 2018-06-05: Highest Volume — 7,118 contracts
  • 2018-06-13: Largest IV drop — 15.2% change
  • 2018-06-11: Highest IV Rank — 48.2%
  • 2018-06-25: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.37$45.46$51.90$48.70$46.41
Max Pain$49.44$48.50$49.49$48.50$49.49
ATM IV26.1%23.5%28.8%24.9%25.8%
Expected Move7.3%6.7%8.0%7.1%7.4%
HV 20d25.6%22.3%28.2%23.8%25.0%
HV 60d25.0%24.0%25.9%24.0%24.6%
IV Rank32.1%17.2%48.2%25.2%30.7%
IV Percentile58.8%20.2%83.7%50.0%58.7%
Term Structure1.5%-1.1%2.5%-1.1%2.4%
VWIV25.3%24.1%27.1%25.2%25.1%
Skew 25d3.2%1.9%6.1%4.7%3.3%
Skew 10d8.1%3.7%14.3%11.8%10.7%
Call IV 25d23.9%21.0%25.9%21.0%24.9%
Put IV 25d27.1%25.1%31.0%25.7%28.2%
Bid-Ask Spread %18.2413.1126.8815.8616.89
Gamma HHI0.230.140.420.180.18
Net GEX267.4K-69.5K866.2K355.4K-47.1K
Net DEX-991.8K-13.4M6.4M-2.4M4.9M
Net VEX-49.1K-66.2K-37.2K-49.8K-39.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.350.245.312.310.24
Total Volume3,457.4767507,1185,6211,142
Total OI15,166.7629,63120,56518,72010,301

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$48.70$48.5024.9%7.1%23.8%25.2%25.2%4.7%-1.1%355.4K-2.4M-49.8K2.3115.861,6983,9239,0369,684
2018-06-04$49.19$49.4925.1%6.8%22.3%26.2%24.8%2.1%1.8%478.4K-3.8M-48.7K3.7022.571,0944,0539,0719,722
2018-06-05$50.78$49.4927.4%7.5%24.4%40.2%26.4%3.9%1.3%648.7K-8.7M-54.4K2.0920.652,3014,8179,0889,708
2018-06-06$51.90$49.4927.8%7.5%25.0%42.3%24.7%3.5%1.3%866.2K-13.4M-66.2K2.8619.911,4904,2599,82710,130
2018-06-07$51.13$49.4927.8%7.3%25.6%42.2%24.3%2.9%1.0%670.9K-9.4M-64.6K3.6515.741,1554,2149,87710,436
2018-06-08$51.03$49.4926.0%7.3%25.1%31.6%24.4%2.8%1.2%629.3K-9.0M-63.5K3.7623.861,1254,2289,87410,447
2018-06-11$50.87$49.4928.8%6.9%25.1%48.2%24.2%2.4%2.2%551.8K-8.7M-60.0K4.5426.889654,3859,93310,441
2018-06-12$50.53$49.4928.1%6.9%25.2%43.9%24.6%1.9%2.1%500.5K-7.3M-57.4K4.2522.669984,2409,93510,411
2018-06-13$50.04$49.4923.8%6.8%25.4%18.9%24.1%2.5%2.1%504.2K-5.8M-54.5K3.8319.461,1104,2589,93610,433
2018-06-14$49.78$49.4923.5%6.7%25.3%17.2%24.4%2.2%2.3%539.3K-5.1M-54.8K5.3117.217864,17210,03510,464
2018-06-15$48.19$49.4923.8%6.8%27.5%18.5%25.1%2.8%2.0%189.1K1.8M-49.5K4.3222.151,0744,63610,08110,484
2018-06-18$48.01$49.4924.1%6.9%27.3%20.5%25.5%2.6%2.0%75.0K2.5M-47.1K2.9413.236171,8155,9983,633
2018-06-19$46.81$49.4925.9%7.4%28.2%31.5%26.0%3.1%1.5%-18.2K4.5M-43.1K2.3614.895821,3746,0323,696
2018-06-20$46.49$49.4925.3%7.3%27.9%27.6%25.1%1.9%1.7%-21.1K4.9M-42.5K0.7614.716254736,0863,708
2018-06-21$46.07$49.4925.4%7.3%27.7%28.6%25.2%2.9%2.5%-38.3K5.5M-41.0K0.4113.166092506,1573,739
2018-06-22$46.29$49.4925.5%7.3%27.7%28.8%25.4%2.9%1.6%-31.7K5.3M-41.1K0.4714.035422556,2103,745
2018-06-25$45.88$49.4927.8%8.0%26.6%42.4%27.1%6.1%0.5%-55.6K5.9M-37.9K0.4123.585322186,2173,713
2018-06-26$46.48$49.4926.0%7.4%24.7%31.6%25.9%4.0%1.5%-46.4K5.0M-41.2K0.3715.175892166,2243,779
2018-06-27$45.70$49.4927.2%7.8%23.8%38.8%26.8%3.8%1.2%-65.6K6.0M-38.3K0.3713.116442386,2953,783
2018-06-28$45.46$49.4927.2%7.8%23.7%38.6%27.0%4.1%0.8%-69.5K6.4M-37.2K0.3417.406752306,3403,793
2018-06-29$46.41$49.4925.8%7.4%25.0%30.7%25.1%3.3%2.4%-47.1K4.9M-39.0K0.2416.899212216,4603,841