SCCO Options History — October 2018

In October 2018, SCCO traded between $35.36 and $43.23. ATM implied volatility averaged 33.2%, placing in the 70.6% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 6.2% (HV 20d: 27.0%). Max pain ranged from $41.57 to $42.56. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.10.

Notable Days

  • 2018-10-16: Highest Volume — 2,655 contracts
  • 2018-10-10: Largest IV spike — 15.1% change
  • 2018-10-23: Highest IV Rank — 100.0%
  • 2018-10-29: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.89$35.36$43.23$42.70$37.82
Max Pain$41.78$41.57$42.56$42.56$41.57
ATM IV33.2%25.7%40.6%28.1%36.5%
Expected Move9.6%7.4%11.7%8.1%10.5%
HV 20d27.0%20.9%40.9%25.7%40.9%
HV 60d30.3%28.0%32.9%30.8%32.9%
IV Rank70.6%29.1%100.0%43.5%78.9%
IV Percentile89.3%36.1%100.0%73.0%97.2%
Term Structure-3.0%-6.2%3.1%0.1%-4.1%
VWIV32.8%25.5%38.8%27.4%36.0%
Skew 25d4.5%1.8%9.0%3.6%5.8%
Skew 10d9.1%4.4%14.3%5.6%13.7%
Call IV 25d31.4%25.2%39.4%25.2%33.6%
Put IV 25d35.9%27.2%45.2%28.8%39.5%
Bid-Ask Spread %22.3813.4243.9525.9220.44
Gamma HHI0.150.120.240.150.16
Net GEX33.3K-395.6K393.9K339.9K-166.3K
Net DEX4.6M-6.3M17.4M-4.6M11.9M
Net VEX-39.5K-48.1K-25.5K-47.0K-39.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.382.561.120.49
Total Volume1,572.9138412,6558411,615
Total OI11,480.4359,50014,3059,50013,852

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-10-01$42.70$42.5628.1%8.1%25.7%43.5%27.4%3.6%0.1%339.9K-4.6M-47.0K1.1225.923974446,4393,061
2018-10-02$43.23$42.5625.9%7.4%23.6%30.7%26.1%1.8%2.2%393.9K-6.3M-47.7K1.1016.704354796,4533,152
2018-10-03$43.21$42.5625.7%7.4%23.5%29.1%25.5%1.8%3.1%391.5K-6.3M-47.3K0.9720.184404276,4693,184
2018-10-04$42.14$42.5628.2%8.6%24.3%43.9%29.7%3.9%-1.4%257.9K-3.0M-44.9K1.0325.324284406,4763,198
2018-10-05$41.72$42.5629.1%8.7%22.9%49.6%30.9%3.1%-2.0%193.7K-1.3M-42.4K0.7420.885634156,5173,198
2018-10-08$42.05$41.5729.2%8.8%22.5%50.3%30.8%3.4%-2.7%255.8K-2.8M-42.3K0.8617.214774116,5883,191
2018-10-09$41.78$41.5729.4%8.9%22.5%51.3%29.6%3.3%-2.5%189.9K-1.4M-40.7K0.3916.901,0093946,5933,237
2018-10-10$41.01$41.5733.9%9.7%20.9%77.6%32.9%5.2%-3.9%159.8K213.1K-40.0K0.7432.628126016,8873,267
2018-10-11$42.23$41.5734.0%9.8%23.2%78.7%33.1%6.6%-4.3%302.6K-3.8M-45.3K0.5342.021,0095397,0363,296
2018-10-12$41.48$41.5733.0%9.5%24.2%72.8%32.8%4.8%-3.6%232.1K-1.9M-43.1K0.5022.231,0755357,1933,320
2018-10-15$41.76$41.5733.0%9.5%24.0%72.4%33.3%4.1%-3.1%186.7K-2.4M-40.4K2.1622.467071,5317,1843,339
2018-10-16$41.37$41.5729.9%8.6%23.3%54.1%30.3%4.2%-2.5%-21.9K1.4M-41.2K2.5619.667461,9097,2764,357
2018-10-17$41.35$41.5730.6%8.8%22.8%58.6%30.3%3.4%-2.7%-220.6K3.6M-48.1K0.8018.427395897,4175,671
2018-10-18$39.67$41.5733.7%9.6%25.3%76.5%32.8%4.1%-3.2%-395.6K10.6M-39.9K1.3718.861,0361,4157,5055,705
2018-10-19$37.86$41.5734.9%10.0%28.0%83.6%35.1%4.5%-4.0%-186.2K17.4M-33.7K1.5620.296149567,8396,466
2018-10-22$37.88$41.5735.9%10.3%27.9%89.9%34.5%3.9%-4.5%-199.9K11.5M-34.6K2.2019.775681,2526,0165,174
2018-10-23$36.92$41.5738.4%11.0%28.2%100.0%38.7%5.8%-5.5%-198.7K13.4M-31.4K2.1013.426301,3266,1675,648
2018-10-24$35.72$41.5738.3%11.0%29.5%99.4%36.2%5.6%-4.6%-193.4K15.5M-25.5K1.1216.261,0421,1676,2825,948
2018-10-25$36.77$41.5736.7%10.5%32.5%90.3%35.1%4.6%-4.4%-167.6K12.9M-35.6K0.3818.081,2774826,9316,060
2018-10-26$37.03$41.5740.0%11.5%32.9%100.0%37.3%6.2%-6.2%-133.0K12.4M-36.4K0.7043.951,0697537,1586,060
2018-10-29$35.36$41.5740.6%11.7%35.6%100.0%38.8%5.1%-4.6%-130.6K15.4M-29.4K0.7218.369226627,1716,333
2018-10-30$36.32$41.5739.3%11.3%37.1%93.2%38.0%9.0%-4.4%-124.6K14.6M-32.4K1.0624.838929487,3306,406
2018-10-31$37.82$41.5736.5%10.5%40.9%78.9%36.0%5.8%-4.1%-166.3K11.9M-39.1K0.4920.441,0825337,3726,480