SCCO Options History — November 2019

In November 2019, SCCO traded between $36.61 and $38.13. ATM implied volatility averaged 26.5%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 3.1% (HV 20d: 29.6%). Max pain ranged from $33.65 to $36.62. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.49.

Notable Days

  • 2019-11-07: Highest Volume — 1,855 contracts
  • 2019-11-11: Largest IV spike — 21.4% change
  • 2019-11-12: Highest IV Rank — 22.4%
  • 2019-11-07: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.32$36.61$38.13$36.85$37.72
Max Pain$36.22$33.65$36.62$33.65$36.62
ATM IV26.5%24.5%29.8%25.5%25.6%
Expected Move7.7%7.1%8.3%7.3%7.3%
HV 20d29.6%27.6%32.7%30.7%27.6%
HV 60d27.6%25.9%30.1%30.1%25.9%
IV Rank8.1%0.0%22.4%0.5%4.8%
IV Percentile5.8%0.0%24.6%0.4%3.2%
Term Structure0.0%-1.1%1.3%1.3%-0.1%
VWIV26.5%23.9%29.1%23.9%25.1%
Skew 25d2.7%1.8%4.1%2.5%2.7%
Skew 10d7.3%4.9%14.4%6.7%6.8%
Call IV 25d25.5%23.0%27.4%24.4%24.1%
Put IV 25d28.3%26.0%30.1%27.0%26.8%
Bid-Ask Spread %16.459.5723.1615.6917.11
Gamma HHI0.200.120.280.130.28
Net GEX545.3K401.5K696.8K471.7K605.4K
Net DEX-8.9M-11.7M-6.3M-9.3M-9.0M
Net VEX-36.2K-41.1K-32.4K-34.9K-32.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.031.750.660.21
Total Volume349.2431,85530669
Total OI8,953.858,2949,9838,8598,682

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$36.85$33.6525.5%7.3%30.7%0.5%23.9%2.5%1.3%471.7K-9.3M-34.9K0.6615.691841226,2922,567
2019-11-04$37.64$35.6325.2%7.9%31.1%0.0%27.4%3.2%-1.1%550.9K-11.7M-34.1K0.1414.698941296,3472,559
2019-11-05$37.66$35.6324.9%7.9%29.5%0.0%26.6%3.0%-0.5%570.3K-11.7M-35.2K0.0315.501,403476,4222,538
2019-11-06$36.61$35.6328.0%8.1%32.2%13.4%28.7%2.8%-0.6%401.5K-8.4M-36.9K0.1817.05262476,1622,567
2019-11-07$37.62$35.6327.8%8.3%32.7%12.5%29.1%2.7%-0.7%475.3K-10.9M-37.0K0.2921.021,4384176,1752,579
2019-11-08$37.34$35.6324.5%7.9%30.4%0.0%27.2%3.5%0.0%544.2K-10.3M-41.1K0.0817.39318267,0542,929
2019-11-11$37.71$36.6229.7%7.9%30.3%22.1%27.1%4.1%0.2%586.2K-9.4M-40.7K0.8816.461501316,6192,938
2019-11-12$37.51$36.6229.8%7.8%29.2%22.4%27.2%2.3%-0.0%621.4K-8.9M-39.7K0.9215.6473676,6832,929
2019-11-13$37.04$36.6227.3%7.8%29.6%12.1%27.2%2.7%0.5%638.8K-7.4M-39.0K0.1914.133676,6832,971
2019-11-14$36.69$36.6227.4%7.9%29.2%12.4%27.0%2.5%0.0%637.1K-6.3M-37.2K0.8316.3884706,6972,905
2019-11-15$37.30$36.6225.8%7.4%29.3%5.7%25.8%2.7%0.4%696.8K-8.4M-37.0K0.5618.5848276,7042,890
2019-11-18$36.83$36.6226.7%7.6%29.1%9.3%25.9%2.8%0.3%418.1K-6.7M-34.9K0.4914.13107535,9962,298
2019-11-19$37.20$36.6226.5%7.6%28.9%8.5%27.2%2.5%0.3%466.7K-7.7M-36.7K0.6617.0196646,0542,328
2019-11-20$36.64$36.6227.4%7.9%28.8%12.4%27.3%1.8%-0.2%408.6K-6.4M-35.3K1.7520.7320356,1252,337
2019-11-21$36.73$36.6227.6%7.9%28.1%13.1%26.5%2.4%-0.2%412.1K-6.5M-35.1K0.2323.16142336,1352,355
2019-11-22$37.62$36.6225.6%7.3%29.0%4.6%26.6%2.7%0.4%554.9K-9.0M-35.3K0.6119.1758356,2402,343
2019-11-25$37.78$36.6225.6%7.3%28.8%4.8%25.5%2.5%0.0%600.2K-9.5M-35.2K0.4313.4782356,2592,350
2019-11-26$37.72$36.6224.6%7.1%28.7%0.5%23.9%3.0%0.7%601.2K-9.2M-33.5K0.3312.1658196,3082,365
2019-11-27$38.13$36.6225.0%7.2%28.7%2.3%24.6%2.3%0.1%645.0K-10.4M-33.5K0.399.5771276,3222,370
2019-11-29$37.72$36.6225.6%7.3%27.6%4.8%25.1%2.7%-0.1%605.4K-9.0M-32.4K0.2117.1157126,3062,376