SCCO Options History — November 2018

In November 2018, SCCO traded between $31.78 and $40.15. ATM implied volatility averaged 36.7%, placing in the 74.6% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 8.9% (HV 20d: 45.7%). Max pain ranged from $34.64 to $41.57. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.26.

Notable Days

  • 2018-11-23: Highest Volume — 6,472 contracts
  • 2018-11-12: Largest IV spike — 30.6% change
  • 2018-11-12: Highest IV Rank — 100.0%
  • 2018-11-23: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.28$31.78$40.15$39.26$33.19
Max Pain$39.21$34.64$41.57$41.57$34.64
ATM IV36.7%30.3%43.0%34.2%40.6%
Expected Move10.2%8.5%12.3%9.8%11.6%
HV 20d45.7%39.8%54.1%43.2%48.0%
HV 60d35.5%33.3%39.8%33.9%39.7%
IV Rank74.6%48.1%100.0%67.4%89.2%
IV Percentile95.7%88.5%100.0%96.0%97.6%
Term Structure-1.8%-3.7%-0.3%-1.9%-2.2%
VWIV35.8%29.0%44.1%34.5%41.2%
Skew 25d4.2%2.8%5.2%4.5%4.5%
Skew 10d8.9%4.8%11.4%11.4%10.0%
Call IV 25d33.8%28.0%43.6%32.0%38.9%
Put IV 25d38.0%31.6%47.3%36.5%43.4%
Bid-Ask Spread %19.9312.2838.2538.2516.88
Gamma HHI0.200.100.340.230.23
Net GEX-142.7K-251.7K119.7K-188.6K-167.3K
Net DEX9.3M3.6M13.4M7.4M9.4M
Net VEX-39.5K-50.8K-30.0K-46.6K-41.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.472.950.690.69
Total Volume2,650.4761,4096,4721,9602,616
Total OI15,019.61913,00617,22714,12916,690

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$39.26$41.5734.2%9.8%43.2%67.4%34.5%4.5%-1.9%-188.6K7.4M-46.6K0.6938.251,1637977,6556,474
2018-11-02$40.15$41.5733.9%9.7%44.0%65.8%35.7%3.5%-1.9%-200.7K3.6M-50.8K0.8327.569918257,7966,440
2018-11-05$39.17$40.5836.5%9.3%44.6%79.2%35.2%4.1%-1.3%-150.2K6.6M-44.5K1.3719.248821,2057,8066,342
2018-11-06$39.19$40.5834.7%9.2%44.6%70.1%34.5%3.9%-0.9%-177.3K6.3M-44.1K1.3019.469031,1747,9096,257
2018-11-07$39.39$40.5830.3%8.5%44.3%48.1%32.6%3.8%-0.8%-194.1K5.8M-41.8K1.2721.169501,2077,9106,241
2018-11-08$38.58$40.5831.4%8.6%43.2%53.7%29.0%2.8%-0.3%-49.1K7.5M-39.4K0.4720.381,2695908,1756,094
2018-11-09$37.66$40.5832.6%9.2%43.5%59.6%31.9%4.3%-0.5%-23.6K10.5M-34.8K2.9521.891,1003,2488,1816,129
2018-11-12$36.55$40.5842.6%9.8%44.1%100.0%32.1%4.1%-1.7%-128.1K12.8M-35.7K0.8818.588397368,2038,432
2018-11-13$36.18$40.5842.2%9.6%44.1%98.1%33.2%3.9%-1.5%-251.7K13.4M-34.4K0.7218.649466818,0638,283
2018-11-14$36.74$40.5834.4%9.9%44.8%62.6%33.7%4.7%-1.8%-187.1K12.0M-35.8K0.7718.241,0538068,1368,274
2018-11-15$37.38$40.5834.4%9.9%43.4%62.6%34.0%4.4%-2.2%-72.0K10.1M-36.0K2.6425.431,0282,7168,2318,343
2018-11-16$37.50$39.5931.9%9.2%40.2%51.2%32.4%5.2%-1.6%119.7K10.7M-40.9K1.6922.508921,5078,4008,827
2018-11-19$36.80$39.5934.0%9.7%40.8%60.7%32.6%4.2%-1.6%-113.6K6.7M-41.1K1.0018.857127126,2696,737
2018-11-20$35.60$39.5937.0%10.6%41.4%74.6%37.2%4.5%-3.3%-145.1K9.1M-38.4K1.0616.417217656,4016,836
2018-11-21$35.47$39.5935.2%10.1%39.8%66.3%34.2%4.9%-1.9%-145.9K9.5M-37.8K0.9215.397356746,4736,886
2018-11-23$31.79$39.5943.0%12.3%54.1%100.0%44.1%3.7%-2.1%-193.8K13.4M-30.0K2.4218.221,8924,5806,5946,912
2018-11-26$31.78$36.6241.3%11.8%53.9%92.4%41.1%3.6%-1.2%-204.4K13.1M-34.6K1.4112.281,7182,4247,4667,710
2018-11-27$32.75$35.6341.4%11.9%53.4%92.8%41.2%4.0%-3.4%-182.8K10.6M-38.7K1.2514.951,7302,1657,9587,692
2018-11-28$33.55$35.6339.3%11.3%53.2%83.5%40.2%3.9%-2.1%-172.7K9.0M-41.2K1.2516.871,7412,1807,9997,874
2018-11-29$33.21$34.6440.5%11.6%50.6%88.7%40.6%4.9%-3.7%-168.5K8.8M-41.9K0.8117.341,5361,2518,3467,968
2018-11-30$33.19$34.6440.6%11.6%48.0%89.2%41.2%4.5%-2.2%-167.3K9.4M-41.9K0.6916.881,5491,0678,5168,174