SCCO Options History — February 2020

In February 2020, SCCO traded between $32.85 and $39.76. ATM implied volatility averaged 36.4%, placing in the 54.8% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 0.9% (HV 20d: 35.5%). Max pain ranged from $35.63 to $38.60. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.70.

Notable Days

2020-02-18: Highest Volume — 707 contracts
2020-02-28: Largest IV spike — 26.0% change
2020-02-27: Highest IV Rank — 100.0%
2020-02-28: Largest Expected Move — 18.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.44	$32.85	$39.76	$37.76	$32.85
Max Pain	$36.72	$35.63	$38.60	$38.60	$36.62
ATM IV	36.4%	29.8%	65.4%	34.2%	65.4%
Expected Move	10.3%	8.5%	18.8%	9.8%	18.8%
HV 20d	35.5%	32.1%	37.6%	32.1%	35.4%
HV 60d	28.2%	26.4%	30.9%	26.4%	30.9%
IV Rank	54.8%	32.7%	100.0%	51.1%	100.0%
IV Percentile	77.4%	44.0%	100.0%	88.1%	100.0%
Term Structure	-3.1%	-13.1%	-1.0%	-2.0%	-13.1%
VWIV	35.3%	28.4%	64.7%	34.4%	64.7%
Skew 25d	4.1%	2.0%	10.6%	2.5%	10.6%
Skew 10d	8.0%	4.6%	18.1%	6.6%	18.1%
Call IV 25d	34.2%	28.5%	59.9%	32.7%	59.9%
Put IV 25d	38.3%	31.5%	70.5%	35.2%	70.5%
Bid-Ask Spread %	21.84	13.40	43.63	26.97	43.63
Gamma HHI	0.13	0.09	0.51	0.09	0.09
Net GEX	112.4K	-380.7K	228.7K	140.4K	61.8K
Net DEX	-861.1K	-5.4M	3.7M	-604.8K	3.7M
Net VEX	-30.4K	-36.9K	-23.7K	-34.2K	-25.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.19	3.13	0.27	1.20
Total Volume	304.211	109	707	273	606
Total OI	9,272.895	7,508	10,258	9,099	8,379

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2020-02-03	$37.76	$38.60	34.2%	9.8%	32.1%	51.1%	34.4%	2.5%	-2.0%	140.4K	-604.8K	-34.2K	0.27	26.97	215	58	5,540	3,559
2020-02-04	$39.51	$38.60	32.6%	9.4%	36.6%	44.6%	32.5%	2.9%	-1.1%	217.7K	-4.8M	-36.9K	0.47	20.98	179	84	5,655	3,608
2020-02-05	$39.76	$38.60	32.9%	9.4%	36.7%	45.5%	32.9%	4.5%	-1.9%	228.7K	-5.4M	-36.8K	0.19	15.44	237	44	5,702	3,642
2020-02-06	$39.23	$35.63	32.9%	9.0%	36.8%	45.6%	31.6%	2.6%	-2.1%	187.7K	-4.1M	-35.8K	3.13	27.01	30	95	5,728	3,670
2020-02-07	$38.17	$35.63	33.1%	9.0%	37.6%	46.4%	31.0%	2.4%	-1.7%	131.4K	-1.3M	-34.1K	0.36	23.65	169	61	5,727	3,755
2020-02-10	$37.86	$35.63	35.1%	9.1%	36.6%	54.8%	30.9%	3.7%	-1.8%	112.8K	-348.2K	-32.4K	0.76	24.20	224	171	5,809	3,810
2020-02-11	$38.51	$35.63	34.4%	8.9%	34.9%	51.8%	30.8%	3.0%	-2.1%	163.0K	-2.0M	-33.8K	1.01	23.86	128	129	5,909	3,895
2020-02-12	$39.17	$36.62	29.9%	8.6%	35.9%	33.5%	30.6%	3.3%	-1.6%	187.1K	-3.3M	-33.6K	0.33	20.28	82	27	5,894	4,026
2020-02-13	$39.08	$36.62	30.0%	8.6%	35.7%	33.8%	30.0%	3.1%	-1.0%	192.0K	-3.3M	-33.3K	0.49	25.63	102	51	5,924	4,040
2020-02-14	$38.76	$36.62	29.8%	8.5%	35.7%	32.7%	28.4%	3.0%	-1.2%	141.4K	-2.1M	-31.3K	0.42	21.55	140	60	5,931	4,066
2020-02-18	$37.70	$36.62	31.7%	9.1%	36.1%	40.8%	30.7%	2.6%	-1.8%	71.8K	473.2K	-28.5K	0.21	18.48	584	123	5,980	4,076
2020-02-19	$38.45	$36.62	30.7%	8.8%	35.1%	36.5%	30.7%	2.0%	-1.9%	199.6K	-2.4M	-29.7K	0.71	16.04	76	54	6,209	3,942
2020-02-20	$37.98	$36.62	31.2%	8.9%	35.2%	38.5%	30.1%	2.3%	-1.6%	90.7K	-989.0K	-28.4K	0.91	17.53	103	94	6,258	3,978
2020-02-21	$37.49	$36.62	33.8%	9.7%	34.8%	49.5%	33.6%	3.7%	-2.2%	-380.7K	398.9K	-27.9K	0.42	22.23	221	92	6,283	3,975
2020-02-24	$35.74	$36.62	38.2%	11.0%	37.0%	67.5%	36.3%	6.0%	-4.1%	133.6K	1.3M	-24.1K	0.70	13.40	253	178	4,738	2,770
2020-02-25	$34.89	$36.62	42.5%	12.2%	34.6%	85.2%	42.2%	7.0%	-5.1%	101.6K	2.3M	-23.8K	0.77	21.18	233	181	4,801	2,885
2020-02-26	$34.84	$36.62	42.0%	12.0%	33.2%	82.9%	38.4%	6.1%	-4.4%	89.4K	2.6M	-23.7K	0.47	15.22	159	75	4,923	3,072
2020-02-27	$33.56	$36.62	51.9%	14.9%	35.1%	100.0%	51.2%	6.9%	-8.9%	65.1K	3.5M	-23.7K	0.52	17.76	303	159	4,937	3,089
2020-02-28	$32.85	$36.62	65.4%	18.8%	35.4%	100.0%	64.7%	10.6%	-13.1%	61.8K	3.7M	-25.4K	1.20	43.63	276	330	5,169	3,210