SCCO Options History — August 2018

In August 2018, SCCO traded between $41.71 and $47.22. ATM implied volatility averaged 26.5%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 6.8% (HV 20d: 33.2%). Max pain ranged from $44.54 to $49.49. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.64.

Notable Days

  • 2018-08-29: Highest Volume — 2,078 contracts
  • 2018-08-13: Largest IV spike — 11.9% change
  • 2018-08-13: Highest IV Rank — 52.2%
  • 2018-08-15: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.42$41.71$47.22$47.22$43.18
Max Pain$47.59$44.54$49.49$46.52$46.52
ATM IV26.5%24.8%29.6%26.8%26.0%
Expected Move7.5%7.1%8.4%7.7%7.5%
HV 20d33.2%29.7%36.7%34.4%31.5%
HV 60d29.5%28.2%30.6%28.2%30.3%
IV Rank33.9%23.6%52.2%36.3%31.0%
IV Percentile55.2%28.6%90.1%61.9%51.2%
Term Structure0.4%-0.8%1.6%-0.8%1.0%
VWIV26.7%23.8%29.4%29.4%25.8%
Skew 25d3.0%1.9%3.8%3.1%2.9%
Skew 10d6.0%2.8%11.0%8.3%4.3%
Call IV 25d25.3%23.3%27.9%26.4%25.4%
Put IV 25d28.2%26.2%31.5%29.4%28.3%
Bid-Ask Spread %16.8412.5924.1016.3016.05
Gamma HHI0.150.120.180.180.14
Net GEX64.2K-283.0K308.8K220.3K22.0K
Net DEX3.2M-2.1M10.7M-2.1M5.3M
Net VEX-40.5K-48.1K-33.1K-48.1K-45.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.461.290.520.71
Total Volume1,337.4351,0352,0781,3211,845
Total OI11,735.91310,43313,07611,48613,076

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-08-01$47.22$46.5226.8%7.7%34.4%36.3%29.4%3.1%-0.8%220.3K-2.1M-48.1K0.5216.308684537,1714,315
2018-08-02$46.28$46.5227.0%7.7%34.9%37.5%29.2%3.5%0.1%138.7K516.7K-46.4K0.5216.587894127,2494,363
2018-08-03$47.05$46.5225.4%7.3%35.2%28.1%27.1%3.8%0.3%214.5K-1.5M-47.2K0.5516.068314617,2874,388
2018-08-06$46.12$49.4927.4%7.4%35.7%39.7%27.7%3.5%0.1%124.9K1.0M-45.0K0.5618.189075057,3674,468
2018-08-07$45.36$49.4927.1%7.4%36.2%37.5%27.0%2.3%0.6%72.8K2.4M-43.6K0.6317.539736157,3714,556
2018-08-08$45.23$49.4926.7%7.4%33.1%34.9%26.9%2.1%0.3%41.1K2.9M-44.1K0.6414.499015797,5284,728
2018-08-09$45.24$49.4926.0%7.3%33.0%30.8%27.0%3.3%0.1%42.1K2.8M-44.6K0.6118.848074927,6254,781
2018-08-10$44.85$49.4926.4%7.6%33.1%33.6%27.5%3.7%0.6%-2.6K4.0M-44.0K0.7019.547775487,6734,791
2018-08-13$44.17$44.5429.6%7.7%33.5%52.2%28.0%3.4%-0.4%-97.8K1.4M-40.6K0.6016.067304387,7283,858
2018-08-14$43.65$48.5029.5%7.7%33.5%51.6%27.4%2.9%-0.3%-176.7K6.8M-38.5K0.8017.527455937,7384,788
2018-08-15$41.71$48.5029.3%8.4%36.7%50.9%28.8%3.6%-0.4%-198.2K10.7M-33.1K0.6018.378394997,7454,769
2018-08-16$42.55$48.5027.6%7.9%34.3%40.3%27.0%1.9%-0.1%-283.0K8.5M-35.4K0.5316.037013757,8474,643
2018-08-17$43.29$47.5125.8%7.4%34.8%29.6%26.4%2.6%1.1%59.8K7.2M-36.8K0.5420.716863727,9024,662
2018-08-20$43.34$47.5125.5%7.3%34.3%27.9%25.9%3.0%1.1%57.1K4.3M-35.7K0.5119.337653936,7303,703
2018-08-21$43.60$47.5125.6%7.3%30.1%28.5%25.8%2.3%0.6%93.4K3.4M-37.4K0.5015.337533766,8093,786
2018-08-22$43.98$47.5125.3%7.3%29.7%27.1%26.0%3.0%1.0%139.9K2.7M-37.9K0.5814.816563796,9163,823
2018-08-23$42.78$47.5125.6%7.3%30.6%28.5%25.4%2.4%1.6%45.4K4.9M-35.4K0.7013.296744746,9713,846
2018-08-24$43.92$47.5124.8%7.1%32.4%23.8%23.8%2.9%1.2%136.4K2.8M-37.3K0.4612.598363857,0213,888
2018-08-27$44.94$46.5225.5%7.3%33.7%28.1%25.9%2.9%0.0%270.8K237.4K-38.8K0.6224.107454597,2553,899
2018-08-28$45.22$46.5224.9%7.1%31.9%24.6%25.1%2.6%0.2%308.8K-415.0K-38.4K0.7519.126414827,2853,909
2018-08-29$44.92$46.5224.8%7.1%29.7%23.6%24.9%3.1%1.0%261.9K551.6K-37.9K1.2912.989091,1697,3174,000
2018-08-30$43.09$46.5226.5%7.6%32.3%33.9%26.1%3.1%0.2%-14.7K5.8M-40.2K0.8513.481,0388867,6014,750
2018-08-31$43.18$46.5226.0%7.5%31.5%31.0%25.8%2.9%1.0%22.0K5.3M-45.5K0.7116.051,0787678,0285,048