SCCO Options History — September 2019

In September 2019, SCCO traded between $31.00 and $35.32. ATM implied volatility averaged 32.3%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 4.2% (HV 20d: 28.1%). Max pain ranged from $31.24 to $32.66. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.60.

Notable Days

  • 2019-09-05: Highest Volume — 1,817 contracts
  • 2019-09-06: Largest IV drop — 8.4% change
  • 2019-09-03: Highest IV Rank — 42.0%
  • 2019-09-03: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.70$31.00$35.32$31.00$33.77
Max Pain$32.02$31.24$32.66$31.24$32.66
ATM IV32.3%30.4%34.9%34.9%32.6%
Expected Move9.3%8.7%10.0%10.0%9.3%
HV 20d28.1%23.1%37.6%33.8%24.9%
HV 60d29.1%28.0%29.7%28.1%29.5%
IV Rank30.4%22.0%42.0%42.0%31.7%
IV Percentile47.3%32.5%67.9%67.9%49.6%
Term Structure1.3%-0.7%2.8%-0.7%1.4%
VWIV32.3%21.6%36.6%33.8%32.5%
Skew 25d4.0%2.0%5.5%4.8%4.1%
Skew 10d8.7%3.5%13.1%10.1%12.2%
Call IV 25d30.8%29.0%33.7%33.2%30.5%
Put IV 25d34.8%31.7%38.0%38.0%34.7%
Bid-Ask Spread %15.3710.5418.8211.2518.75
Gamma HHI0.150.090.230.090.18
Net GEX91.7K-54.3K305.4K27.8K-10.2K
Net DEX-3.0M-7.4M-33.8K-33.8K-1.2M
Net VEX-36.4K-39.2K-27.6K-27.6K-34.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.0219.870.170.17
Total Volume481.9851,817146121
Total OI12,031.39,32014,30210,44610,160

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$31.00$31.2434.9%10.0%33.8%42.0%33.8%4.8%-0.7%27.8K-33.8K-27.6K0.1711.25125217,1003,346
2019-09-04$31.22$31.2434.6%9.9%33.9%40.5%36.6%3.1%-0.4%46.2K-508.9K-27.8K19.8710.54541,0647,1273,366
2019-09-05$32.65$31.6733.2%9.7%37.6%34.6%35.6%5.0%0.4%60.4K-2.1M-33.4K2.5517.945121,3057,1724,362
2019-09-06$32.77$31.6730.4%9.5%35.3%22.3%34.2%2.4%1.4%-16.7K-1.6M-38.1K0.2714.024181137,4065,386
2019-09-09$33.25$31.6732.7%9.7%32.6%32.3%33.4%4.1%0.7%31.9K-2.5M-37.7K0.5717.792801607,4845,475
2019-09-10$34.06$31.6732.3%9.7%30.7%30.3%34.4%4.6%1.0%137.6K-4.5M-39.2K0.7218.823232327,6045,465
2019-09-11$34.09$31.6732.4%9.3%30.0%30.7%34.0%4.4%1.6%151.4K-4.6M-38.6K0.4518.573801717,6445,548
2019-09-12$34.89$31.6731.6%9.1%26.9%27.4%32.0%4.1%1.0%260.3K-6.5M-37.9K0.1916.09311607,6835,542
2019-09-13$35.32$31.6730.4%8.7%23.1%22.0%31.2%2.6%1.7%305.4K-7.4M-38.3K0.6715.445093437,7205,613
2019-09-16$34.72$31.6732.3%9.2%24.9%30.2%31.7%3.1%0.9%209.8K-5.6M-38.7K0.1415.54115167,8395,825
2019-09-17$34.65$31.6733.2%9.5%25.1%34.4%35.4%4.8%0.6%204.8K-5.4M-38.1K0.3814.176392447,8725,835
2019-09-18$34.37$31.6732.5%9.3%25.4%31.3%31.7%5.0%1.6%168.2K-4.4M-38.8K2.3513.68841978,0206,045
2019-09-19$34.26$32.6631.1%8.9%25.1%25.1%31.2%2.0%2.0%118.7K-4.0M-37.8K0.1314.21137188,0046,232
2019-09-20$34.15$32.6630.9%8.9%25.4%24.2%31.2%2.9%2.1%243.7K-3.7M-37.8K0.1112.40230268,0576,245
2019-09-23$34.24$32.6631.4%9.0%23.4%26.3%21.6%5.5%1.3%711-1.8M-36.7K0.0716.57661454,8054,515
2019-09-24$33.31$32.6632.3%9.3%26.1%30.4%31.2%4.6%2.8%-54.3K-152.7K-36.7K0.1817.92319585,4274,527
2019-09-25$33.82$32.6632.4%9.3%26.1%31.0%31.1%3.3%1.8%-14.3K-1.3M-36.8K0.0216.4217045,3794,564
2019-09-26$33.71$32.6632.2%9.2%25.9%30.0%31.6%4.2%2.3%-16.3K-1.1M-36.3K2.4812.6525635,5244,565
2019-09-27$33.67$32.6632.6%9.3%25.1%31.8%31.9%4.5%2.4%-20.2K-1.1M-36.3K0.5314.6656295,5454,598
2019-09-30$33.77$32.6632.6%9.3%24.9%31.7%32.5%4.1%1.4%-10.2K-1.2M-34.6K0.1718.75104175,5594,601