SCCO Options History — December 2019

In December 2019, SCCO traded between $36.52 and $42.73. ATM implied volatility averaged 24.7%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 2.1% (HV 20d: 22.5%). Max pain ranged from $35.63 to $38.60. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.44.

Notable Days

  • 2019-12-13: Highest Volume — 1,506 contracts
  • 2019-12-03: Largest IV spike — 8.7% change
  • 2019-12-03: Highest IV Rank — 19.1%
  • 2019-12-03: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.48$36.52$42.73$37.62$42.06
Max Pain$37.51$35.63$38.60$36.62$38.60
ATM IV24.7%21.8%29.0%26.7%24.7%
Expected Move7.1%6.2%8.3%7.6%7.1%
HV 20d22.5%20.9%25.8%23.1%21.3%
HV 60d26.1%25.1%26.7%25.9%25.2%
IV Rank5.1%0.0%19.1%9.3%11.9%
IV Percentile3.8%0.0%22.6%6.7%6.0%
Term Structure2.1%-0.8%3.3%-0.1%1.4%
VWIV24.9%19.8%29.1%26.3%24.8%
Skew 25d2.5%1.2%3.3%2.4%3.1%
Skew 10d6.8%2.6%15.6%6.0%9.4%
Call IV 25d23.7%21.0%28.7%26.1%22.4%
Put IV 25d26.1%23.7%31.2%28.5%25.6%
Bid-Ask Spread %17.1812.8628.4514.4913.57
Gamma HHI0.210.110.300.270.12
Net GEX612.5K315.6K933.1K605.2K345.0K
Net DEX-14.6M-21.8M-5.9M-8.9M-12.2M
Net VEX-28.0K-31.4K-25.2K-31.4K-29.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.021.011.010.25
Total Volume437.476541,506139180
Total OI8,643.196,14910,1618,7357,018

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$37.62$36.6226.7%7.6%23.1%9.3%26.3%2.4%-0.1%605.2K-8.9M-31.4K1.0114.4969706,3462,389
2019-12-03$36.52$36.6229.0%8.3%24.2%19.1%28.7%2.5%-0.7%411.4K-5.9M-30.5K0.2616.28151396,3862,447
2019-12-04$37.39$36.6227.5%7.9%25.8%12.8%27.7%1.4%-0.8%571.7K-8.3M-30.5K0.6813.862031386,3532,452
2019-12-05$38.03$35.6326.9%7.5%24.3%10.1%29.1%2.7%2.4%695.8K-10.1M-30.8K0.2728.45126346,4682,506
2019-12-06$38.46$35.6324.6%7.1%22.7%0.3%25.0%2.1%2.7%802.4K-11.7M-29.9K0.3322.79229766,5512,522
2019-12-09$38.95$35.6326.5%7.3%22.8%8.5%26.2%3.0%3.2%890.1K-13.6M-29.0K0.4319.532691166,7002,550
2019-12-10$39.20$35.6324.5%7.2%22.7%0.2%25.6%3.2%3.0%929.3K-14.4M-29.1K0.9019.711151046,8022,616
2019-12-11$40.08$35.6326.0%7.4%23.6%6.3%26.3%2.2%2.5%933.1K-17.7M-27.9K0.5125.135352756,8342,729
2019-12-12$40.74$37.6124.4%7.0%23.2%0.0%25.5%3.3%2.8%907.1K-20.2M-28.3K0.0820.90978837,1352,971
2019-12-13$41.16$37.6124.5%7.0%22.7%0.4%25.4%3.2%2.1%861.6K-20.1M-26.3K0.1019.061,3641426,8613,000
2019-12-16$40.82$38.6024.3%7.0%22.8%0.0%23.9%2.1%2.5%831.1K-17.7M-25.2K0.0712.86798556,4403,122
2019-12-17$41.41$38.6023.8%6.8%22.1%0.0%25.0%2.4%2.0%763.4K-19.4M-25.5K0.2215.254571006,5203,167
2019-12-18$42.22$38.6023.3%6.7%22.6%0.0%23.9%2.2%3.2%651.9K-21.5M-25.5K0.2713.02280756,6783,234
2019-12-19$42.30$38.6022.7%6.5%21.2%0.0%22.8%2.6%3.1%635.6K-21.8M-25.5K0.7513.131771326,7383,301
2019-12-20$41.94$38.6023.2%6.7%21.9%2.0%19.8%1.4%2.4%386.0K-21.0M-25.9K0.2315.864631056,7703,391
2019-12-23$42.13$38.6021.8%6.2%20.9%0.0%22.3%2.5%2.9%320.1K-12.0M-26.5K0.5217.362441274,4151,734
2019-12-24$42.14$38.6022.2%6.4%21.0%1.5%22.5%1.2%3.3%320.1K-12.2M-27.6K0.0215.025314,5631,854
2019-12-26$42.73$38.6022.7%6.5%21.0%3.6%22.8%3.3%2.7%315.6K-13.2M-26.7K0.4016.19212864,6131,855
2019-12-27$42.17$38.6023.5%6.7%22.0%7.1%23.6%1.7%2.5%340.0K-12.5M-28.4K0.9914.801151144,7561,910
2019-12-30$42.04$38.6025.1%7.2%21.4%13.4%25.0%3.1%1.4%346.2K-12.3M-28.6K0.8513.641611364,8241,986
2019-12-31$42.06$38.6024.7%7.1%21.3%11.9%24.8%3.1%1.4%345.0K-12.2M-29.9K0.2513.57144364,9082,110