SCCO Options History — July 2018

In July 2018, SCCO traded between $43.19 and $48.92. ATM implied volatility averaged 27.4%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 1.2% (HV 20d: 28.5%). Max pain ranged from $45.53 to $48.50. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2018-07-23: Highest Volume — 2,116 contracts
  • 2018-07-11: Largest IV spike — 18.6% change
  • 2018-07-11: Highest IV Rank — 52.9%
  • 2018-07-11: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.41$43.19$48.92$44.96$48.92
Max Pain$45.90$45.53$48.50$48.50$45.53
ATM IV27.4%24.6%29.6%27.9%25.9%
Expected Move8.0%7.2%8.5%8.0%7.4%
HV 20d28.5%22.7%34.7%26.6%32.3%
HV 60d25.7%24.3%27.8%24.8%27.6%
IV Rank39.7%23.6%52.9%42.9%31.2%
IV Percentile69.9%40.5%90.5%77.8%53.6%
Term Structure-0.9%-1.9%1.5%1.5%-0.5%
VWIV29.0%27.0%30.7%30.1%27.7%
Skew 25d4.4%3.1%7.1%3.8%7.1%
Skew 10d10.3%6.4%16.1%9.2%16.1%
Call IV 25d26.1%21.7%28.0%26.2%21.7%
Put IV 25d30.5%28.0%32.1%29.9%28.8%
Bid-Ask Spread %16.6611.9729.2812.4611.97
Gamma HHI0.160.110.340.150.22
Net GEX-20.3K-368.5K311.6K-47.7K311.6K
Net DEX4.7M-5.9M10.1M6.9M-5.9M
Net VEX-36.4K-48.0K-27.7K-35.8K-48.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.250.890.570.37
Total Volume1,394.7629392,1169481,877
Total OI11,119.0959,68212,94410,55911,088

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-07-02$44.96$48.5027.9%8.0%26.6%42.9%30.1%3.8%1.5%-47.7K6.9M-35.8K0.5712.466023466,6903,869
2018-07-03$44.14$48.5027.8%8.0%23.3%42.5%28.6%4.2%1.1%-96.4K8.4M-32.3K0.6719.665733856,7364,006
2018-07-05$44.95$46.5227.5%8.3%22.7%40.7%29.5%3.9%-1.3%-91.4K7.2M-33.4K0.6214.575793606,7464,037
2018-07-06$45.38$46.5224.6%8.0%23.2%23.6%28.6%3.7%-0.9%-68.6K6.5M-35.0K0.5618.806823856,8064,070
2018-07-09$46.01$45.5325.8%8.1%24.3%30.4%28.7%3.5%-1.8%-19.2K5.5M-35.6K0.7214.276965046,9774,162
2018-07-10$45.82$45.5325.0%7.9%24.3%25.7%27.8%4.7%-1.3%-49.1K6.0M-35.1K0.6617.417855177,0314,254
2018-07-11$44.03$45.5329.6%8.5%27.2%52.9%29.5%4.8%-1.6%-145.6K9.2M-28.9K0.8914.376375697,0034,239
2018-07-12$44.43$45.5328.2%8.1%27.7%45.0%28.4%3.9%-1.3%-169.1K8.3M-30.7K0.6015.897884767,0354,280
2018-07-13$44.66$45.5327.7%7.9%28.0%41.7%28.3%4.3%-0.8%-121.7K7.8M-30.4K0.4415.418723837,2114,273
2018-07-16$44.37$45.5328.5%8.2%26.1%46.5%29.1%5.0%-1.9%-145.5K8.5M-28.2K0.4217.049594027,2604,274
2018-07-17$44.82$45.5328.0%8.0%26.6%43.4%28.5%4.6%-1.8%-74.8K7.4M-29.5K0.4916.628414157,4334,261
2018-07-18$45.18$45.5327.5%7.9%25.6%40.6%29.5%4.0%-1.2%-44.7K6.7M-28.8K0.5615.429145107,4824,259
2018-07-19$43.19$45.5329.3%8.4%29.8%50.9%30.0%4.1%-1.5%-202.8K10.1M-27.7K0.4516.041,4636527,6164,423
2018-07-20$43.48$45.5328.5%8.2%30.0%46.7%29.2%3.9%-1.3%-368.5K9.0M-34.6K0.5315.161,0575588,2844,660
2018-07-23$44.12$45.5328.0%8.0%30.5%43.8%29.7%5.6%-1.5%-65.1K5.2M-35.2K0.2529.281,6974195,8413,841
2018-07-24$46.11$45.5329.3%8.4%34.6%51.4%30.7%4.2%-1.8%117.6K111.7K-47.9K0.2514.351,6514206,4333,876
2018-07-25$46.83$45.5327.2%7.8%34.7%38.7%28.9%4.3%-0.8%199.1K-1.3M-47.1K0.3319.601,4444796,6433,910
2018-07-26$47.20$45.5326.6%7.6%34.2%35.2%30.4%4.9%-1.4%201.9K-1.9M-47.0K0.6416.996534206,6914,013
2018-07-27$47.42$45.5325.3%7.2%34.1%27.5%27.0%4.2%0.9%219.2K-2.3M-46.6K0.5919.137594456,7034,061
2018-07-30$47.57$45.5326.3%7.5%33.4%33.2%29.2%3.1%-0.1%235.2K-2.8M-47.1K0.5715.377124046,8484,176
2018-07-31$48.92$45.5325.9%7.4%32.3%31.2%27.7%7.1%-0.5%311.6K-5.9M-48.0K0.3711.971,3755026,8914,197