SCCO Options History — October 2019

In October 2019, SCCO traded between $32.06 and $36.32. ATM implied volatility averaged 31.6%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 5.5% (HV 20d: 26.0%). Max pain ranged from $31.67 to $33.65. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.17.

Notable Days

  • 2019-10-11: Highest Volume — 1,616 contracts
  • 2019-10-07: Largest IV spike — 7.2% change
  • 2019-10-09: Highest IV Rank — 42.5%
  • 2019-10-08: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.01$32.06$36.32$32.73$35.25
Max Pain$32.36$31.67$33.65$32.66$32.66
ATM IV31.6%27.3%35.0%33.8%27.3%
Expected Move9.2%7.8%10.6%9.7%7.8%
HV 20d26.0%21.4%29.0%27.7%27.2%
HV 60d30.8%29.2%32.5%30.1%29.6%
IV Rank27.3%8.4%42.5%37.0%8.4%
IV Percentile38.5%3.6%68.3%61.9%3.6%
Term Structure-1.1%-3.3%2.1%1.6%0.6%
VWIV32.0%24.9%37.1%32.8%28.1%
Skew 25d4.1%2.7%5.1%3.4%3.0%
Skew 10d8.5%4.7%18.6%7.2%14.6%
Call IV 25d29.8%25.2%33.5%33.0%26.4%
Put IV 25d33.9%29.4%38.4%36.4%29.4%
Bid-Ask Spread %16.3710.1225.5416.3614.42
Gamma HHI0.240.100.880.270.11
Net GEX-107.7K-2.7M380.6K-119.0K299.6K
Net DEX-1.8M-8.0M3.3M915.1K-5.5M
Net VEX-30.6K-35.3K-25.9K-33.5K-33.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.086.216.210.31
Total Volume404.478551,616568139
Total OI10,055.9576,85412,57310,2328,781

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-10-01$32.73$32.6633.8%9.7%27.7%37.0%32.8%3.4%1.6%-119.0K915.1K-33.5K6.2116.36794895,6284,604
2019-10-02$32.28$33.6533.8%9.7%28.3%37.0%34.3%4.0%2.1%-225.6K2.7M-32.4K1.2614.182843585,6494,979
2019-10-03$32.36$32.6633.6%10.4%23.2%36.0%35.1%5.1%-2.3%-239.6K2.8M-32.5K3.1019.20501545,5995,082
2019-10-04$32.59$32.6631.5%10.1%23.3%26.9%34.2%5.0%-2.1%-246.0K2.2M-31.5K0.5716.2435205,6155,175
2019-10-07$32.73$32.6633.8%10.0%22.7%36.9%35.6%3.8%-2.0%-229.7K1.6M-30.1K1.2316.101832245,6325,174
2019-10-08$32.06$32.6634.2%10.6%21.8%38.9%37.1%4.7%-3.3%-320.6K3.3M-30.0K1.9718.3233665,7405,271
2019-10-09$32.20$32.6635.0%10.0%21.9%42.5%36.1%3.6%-1.9%-315.6K3.1M-29.2K3.2321.8013425,7405,280
2019-10-10$32.85$32.6634.6%9.9%21.4%40.5%36.1%4.5%-2.2%-212.1K1.2M-29.3K0.6616.323482285,7395,270
2019-10-11$34.23$31.6732.1%9.2%26.1%29.6%31.9%4.1%-1.3%28.4K-2.8M-30.5K0.8419.918787386,0115,441
2019-10-14$34.57$31.6732.8%9.4%25.7%32.5%36.1%4.6%-1.8%155.3K-4.6M-30.4K1.0816.441852006,5545,755
2019-10-15$33.90$31.6732.4%9.3%26.6%30.8%33.2%5.1%-2.1%-48.3K-2.3M-28.5K0.4725.54193906,6115,790
2019-10-16$33.68$31.6732.6%9.4%26.6%32.0%33.4%4.0%-1.1%-158.0K-1.9M-28.1K0.1713.70104176,7585,753
2019-10-17$33.17$31.6731.8%9.1%27.1%28.3%32.6%3.6%-1.3%-245.0K409.8K-25.9K0.5814.2478456,8125,761
2019-10-18$33.63$31.6732.0%9.2%27.6%29.3%31.8%3.7%-1.4%-2.7M-1.8M-26.7K1.4714.62761116,8475,677
2019-10-21$34.45$31.6731.7%9.1%29.0%28.0%30.1%3.9%-1.9%139.7K-2.5M-27.3K0.0910.12267234,6962,158
2019-10-22$34.95$31.6731.7%9.1%27.4%27.8%31.1%4.6%-2.4%191.3K-3.4M-28.5K0.2015.36296614,9262,163
2019-10-23$35.68$32.6630.5%8.7%27.8%22.6%29.8%3.7%-2.1%249.4K-4.8M-29.4K0.8915.343152825,0392,173
2019-10-24$35.13$32.6629.5%8.5%28.5%18.2%29.3%4.6%-0.4%213.7K-3.7M-30.4K1.5615.821852885,2152,410
2019-10-25$35.56$32.6627.7%7.9%28.7%10.1%24.9%3.7%0.4%241.1K-4.6M-31.2K0.3614.359983605,2942,465
2019-10-28$35.98$32.6628.8%8.3%28.9%15.3%29.3%2.7%-0.8%364.5K-7.2M-35.3K0.0816.49315266,2862,434
2019-10-29$36.32$32.6627.4%7.9%25.9%9.1%27.4%4.6%0.6%380.6K-8.0M-35.2K0.3513.69136476,1362,462
2019-10-30$36.04$32.6627.5%7.9%25.4%9.3%26.5%4.3%0.8%366.1K-7.4M-34.9K0.2617.93194506,2052,497
2019-10-31$35.25$32.6627.3%7.8%27.2%8.4%28.1%3.0%0.6%299.6K-5.5M-33.9K0.3114.42106336,2752,506