SCCO Options History — January 2020

In January 2020, SCCO traded between $37.36 and $43.96. ATM implied volatility averaged 27.5%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 4.5% (HV 20d: 23.0%). Max pain ranged from $38.60 to $39.59. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2020-01-23: Highest Volume — 890 contracts
  • 2020-01-21: Largest IV spike — 13.5% change
  • 2020-01-31: Highest IV Rank — 51.6%
  • 2020-01-31: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.05$37.36$43.96$42.15$37.36
Max Pain$39.07$38.60$39.59$38.60$39.59
ATM IV27.5%23.6%34.3%24.1%34.3%
Expected Move7.9%6.9%9.8%6.9%9.8%
HV 20d23.0%16.8%32.3%16.8%32.3%
HV 60d25.2%23.5%28.1%25.2%26.3%
IV Rank23.6%7.5%51.6%9.6%51.6%
IV Percentile27.0%2.8%88.5%3.2%88.5%
Term Structure-0.1%-2.0%2.2%2.2%-1.9%
VWIV27.8%23.4%34.5%24.0%34.5%
Skew 25d2.9%1.1%4.1%1.1%3.7%
Skew 10d5.7%2.4%8.5%6.0%3.9%
Call IV 25d26.6%23.2%33.3%24.7%33.3%
Put IV 25d29.5%25.6%37.0%25.9%37.0%
Bid-Ask Spread %18.4113.4728.1017.6915.66
Gamma HHI0.130.090.330.120.09
Net GEX355.1K157.4K650.6K346.6K157.4K
Net DEX-9.9M-17.9M-207.4K-12.6M-207.4K
Net VEX-31.1K-36.2K-26.5K-29.2K-33.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.063.240.112.17
Total Volume372.333119890263451
Total OI7,917.5716,8938,7707,1248,770

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$42.15$38.6024.1%6.9%16.8%9.6%24.0%1.1%2.2%346.6K-12.6M-29.2K0.1117.69237264,9792,145
2020-01-03$41.17$38.6025.6%7.3%18.9%15.5%25.9%3.0%1.8%366.0K-10.7M-31.3K0.3713.47209785,1002,149
2020-01-06$41.18$38.6026.7%7.7%18.4%20.0%26.0%3.5%-0.1%378.5K-10.9M-30.4K0.3418.59116395,1812,196
2020-01-07$41.25$38.6025.9%7.6%18.2%16.8%26.8%2.9%0.5%385.2K-11.2M-29.9K0.3316.9290295,2142,209
2020-01-08$41.48$38.6025.1%7.7%17.9%13.7%26.0%3.0%0.1%400.3K-11.8M-29.9K0.1016.49212205,2762,229
2020-01-09$41.82$38.6025.3%7.6%18.0%14.3%26.9%2.9%0.1%426.8K-12.7M-29.2K0.4616.4698455,3862,240
2020-01-10$42.57$38.6023.6%7.2%17.4%7.5%26.1%3.1%0.8%437.6K-14.6M-28.2K0.0618.53417265,4292,245
2020-01-13$43.96$38.6026.7%7.4%19.8%20.0%26.4%3.2%0.5%400.4K-17.7M-26.5K0.0818.67597505,5502,270
2020-01-14$43.90$38.6026.4%7.3%19.7%19.0%25.7%3.2%0.4%461.7K-17.9M-27.1K0.2420.24368875,7502,299
2020-01-15$43.24$39.5925.8%7.4%20.4%16.3%26.4%2.9%0.4%481.4K-16.7M-29.2K0.6019.31141855,8752,372
2020-01-16$43.01$39.5924.7%7.1%20.1%12.1%25.2%2.9%0.3%533.5K-16.1M-29.0K0.6919.271521045,9472,448
2020-01-17$43.46$39.5924.2%6.9%19.3%9.7%23.4%2.4%0.2%650.6K-17.2M-28.5K0.2315.464671065,9932,555
2020-01-21$41.75$38.6027.4%7.9%24.3%23.1%26.8%2.2%-1.0%364.3K-10.4M-29.9K1.5314.253134804,9701,923
2020-01-22$41.43$38.6026.7%7.6%24.3%20.0%27.1%2.3%0.2%347.8K-9.4M-34.0K1.2316.641191475,1572,330
2020-01-23$40.56$39.5929.0%8.3%25.2%29.6%30.5%3.4%-1.5%312.4K-7.1M-34.4K3.2416.642106805,1872,458
2020-01-24$39.33$39.5929.7%8.5%27.2%32.5%29.6%1.5%-0.7%237.4K-4.4M-36.2K0.4314.842811215,2673,000
2020-01-27$37.59$39.5933.3%9.6%30.2%47.5%33.5%3.6%-2.0%178.9K-951.8K-33.4K0.4521.013261485,3753,069
2020-01-28$38.45$39.5931.3%9.0%31.7%39.0%31.4%3.4%-1.0%205.3K-2.3M-34.4K0.1123.76279295,3343,148
2020-01-29$38.25$39.5930.9%8.9%31.7%37.5%30.8%3.4%-0.2%193.9K-1.9M-34.5K0.5028.10141715,3683,206
2020-01-30$38.24$39.5931.4%9.0%31.7%39.5%31.0%4.1%-1.0%191.1K-1.7M-34.8K0.6824.62133915,4233,247
2020-01-31$37.36$39.5934.3%9.8%32.3%51.6%34.5%3.7%-1.9%157.4K-207.4K-33.5K2.1715.661423095,4583,312