SCCO Options History — September 2018

In September 2018, SCCO traded between $39.37 and $43.76. ATM implied volatility averaged 28.1%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 3.3% (HV 20d: 31.4%). Max pain ranged from $42.56 to $46.52. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.57.

Notable Days

2018-09-04: Highest Volume — 2,787 contracts
2018-09-11: Largest IV drop — 6.2% change
2018-09-07: Highest IV Rank — 57.2%
2018-09-10: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.69	$39.37	$43.76	$41.89	$42.82
Max Pain	$43.23	$42.56	$46.52	$46.52	$42.56
ATM IV	28.1%	26.3%	30.4%	29.0%	27.0%
Expected Move	8.1%	7.5%	8.8%	8.3%	7.7%
HV 20d	31.4%	25.7%	35.5%	32.3%	25.7%
HV 60d	31.4%	30.7%	32.2%	30.9%	30.8%
IV Rank	43.5%	32.7%	57.2%	48.7%	36.8%
IV Percentile	70.9%	49.6%	96.8%	83.3%	56.0%
Term Structure	0.7%	-0.1%	1.4%	0.1%	1.2%
VWIV	27.5%	25.6%	29.1%	28.1%	25.9%
Skew 25d	2.6%	1.6%	3.3%	2.4%	2.4%
Skew 10d	6.6%	3.3%	11.6%	7.0%	3.3%
Call IV 25d	27.1%	24.8%	29.6%	28.0%	25.5%
Put IV 25d	29.7%	27.6%	32.2%	30.3%	27.9%
Bid-Ask Spread %	17.44	13.38	28.32	14.61	16.45
Gamma HHI	0.15	0.12	0.20	0.14	0.15
Net GEX	21.7K	-312.6K	405.3K	-138.5K	359.7K
Net DEX	4.0M	-6.7M	13.9M	8.8M	-5.4M
Net VEX	-44.3K	-50.4K	-33.9K	-39.4K	-49.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.31	1.14	1.14	0.65
Total Volume	1,903.632	1,041	2,787	2,787	1,116
Total OI	13,422.842	9,084	16,358	13,075	9,455

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2018-09-04	$41.89	$46.52	29.0%	8.3%	32.3%	48.7%	28.1%	2.4%	0.1%	-138.5K	8.8M	-39.4K	1.14	14.61	1,302	1,485	8,017	5,058
2018-09-05	$41.77	$46.52	28.6%	8.2%	32.0%	46.7%	28.7%	2.9%	0.7%	-172.4K	8.8M	-45.8K	0.67	14.14	1,290	864	8,454	5,559
2018-09-06	$40.99	$43.55	30.2%	8.6%	32.4%	56.1%	29.0%	2.8%	-0.1%	-230.5K	10.5M	-41.7K	0.58	20.47	1,250	730	8,450	5,478
2018-09-07	$40.02	$43.55	30.4%	8.7%	33.1%	57.2%	29.0%	2.2%	-0.1%	-278.8K	12.5M	-38.6K	0.72	14.27	1,061	761	8,560	5,546
2018-09-10	$39.62	$43.55	30.1%	8.8%	33.1%	55.5%	28.2%	2.9%	0.2%	-310.2K	13.4M	-35.7K	0.75	16.36	1,053	793	8,722	5,567
2018-09-11	$39.37	$43.55	28.2%	8.7%	32.9%	44.4%	28.5%	2.6%	-0.1%	-312.6K	13.9M	-33.9K	0.69	14.18	994	690	8,821	5,621
2018-09-12	$40.67	$43.55	29.9%	8.6%	35.5%	54.0%	29.1%	1.6%	0.5%	-274.7K	9.9M	-40.6K	0.50	23.97	1,717	855	8,938	5,431
2018-09-13	$40.65	$42.56	29.1%	8.3%	31.8%	49.4%	28.7%	2.8%	0.9%	-169.1K	8.6M	-43.5K	0.51	19.31	1,584	815	9,775	5,518
2018-09-14	$40.95	$42.56	28.0%	8.0%	31.0%	42.8%	27.4%	2.6%	1.0%	-146.0K	7.6M	-45.0K	0.42	19.79	1,864	776	9,909	5,602
2018-09-17	$40.63	$42.56	28.8%	8.3%	30.2%	47.7%	28.1%	2.2%	0.0%	-205.9K	8.6M	-42.2K	0.42	17.51	1,728	730	9,969	5,633
2018-09-18	$41.42	$42.56	27.4%	7.8%	31.2%	39.2%	27.7%	2.4%	1.2%	-51.2K	5.7M	-43.9K	0.31	14.61	1,543	478	10,050	5,621
2018-09-19	$41.94	$42.56	27.9%	8.0%	31.6%	42.4%	27.6%	3.3%	0.5%	129.4K	3.2M	-45.7K	0.33	28.32	1,534	512	10,290	5,652
2018-09-20	$42.92	$42.56	26.5%	7.6%	32.6%	34.1%	25.8%	2.8%	1.0%	287.6K	-1.2M	-47.1K	0.37	18.22	1,386	508	10,383	5,650
2018-09-21	$43.76	$42.56	26.3%	7.5%	31.8%	32.7%	26.0%	2.5%	1.1%	393.1K	-4.8M	-49.4K	0.34	13.38	1,716	578	10,647	5,711
2018-09-24	$43.09	$42.56	26.8%	7.7%	30.8%	35.8%	26.2%	2.3%	1.3%	362.4K	-6.0M	-50.4K	0.57	16.77	749	430	6,146	2,938
2018-09-25	$43.39	$42.56	26.4%	7.6%	29.7%	33.2%	25.6%	2.8%	1.0%	404.6K	-6.7M	-50.4K	0.61	14.89	648	393	6,235	2,952
2018-09-26	$43.25	$42.56	26.6%	7.6%	29.5%	34.8%	26.5%	2.3%	1.0%	405.3K	-6.6M	-50.1K	0.70	17.57	674	470	6,306	2,956
2018-09-27	$42.85	$42.56	26.6%	7.6%	29.6%	34.4%	25.6%	3.0%	1.4%	359.1K	-5.3M	-49.4K	0.63	16.55	671	421	6,368	3,046
2018-09-28	$42.82	$42.56	27.0%	7.7%	25.7%	36.8%	25.9%	2.4%	1.2%	359.7K	-5.4M	-49.0K	0.65	16.45	676	440	6,408	3,047