SCCO Options History — March 2020

In March 2020, SCCO traded between $23.40 and $35.61. ATM implied volatility averaged 83.8%, placing in the 82.9% IV rank vs the trailing year. The 30-day expected move averaged 23.5%. IV traded below realized volatility by 1.1% (HV 20d: 84.9%). Max pain ranged from $34.64 to $35.63. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 1.61.

Notable Days

  • 2020-03-06: Highest Volume — 999 contracts
  • 2020-03-12: Largest IV spike — 32.9% change
  • 2020-03-09: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 34.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.36$23.40$35.61$34.29$27.95
Max Pain$35.04$34.64$35.63$35.63$34.64
ATM IV83.8%46.0%119.2%52.8%87.2%
Expected Move23.5%13.2%34.2%15.1%25.0%
HV 20d84.9%36.7%119.2%39.1%119.0%
HV 60d55.4%31.4%73.5%31.7%73.5%
IV Rank82.9%55.4%100.0%71.0%67.1%
IV Percentile98.8%95.2%100.0%99.6%95.2%
Term Structure-9.5%-20.8%-2.1%-7.4%-7.3%
VWIV77.2%44.2%98.8%53.0%91.2%
Skew 25d19.3%6.7%33.3%7.2%20.8%
Skew 10d34.1%4.0%69.9%12.0%50.1%
Call IV 25d71.1%42.8%101.4%50.1%74.8%
Put IV 25d90.4%49.9%133.0%57.3%95.5%
Bid-Ask Spread %54.9718.0583.8118.0565.44
Gamma HHI0.100.080.130.080.10
Net GEX49.7K-12.4K209.7K85.9K10.8K
Net DEX4.0M-716.4K8.1M2.6M3.0M
Net VEX-24.3K-36.7K-12.6K-26.8K-21.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.0411.440.8511.44
Total Volume357.27357999376452
Total OI9,593.7276,87011,9528,7607,570

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$34.29$35.6352.8%15.1%39.1%71.0%53.0%7.2%-7.4%85.9K2.6M-26.8K0.8518.052031735,3253,435
2020-03-03$34.50$35.6353.6%15.4%38.9%73.0%52.7%7.3%-7.1%93.0K2.2M-27.4K0.1223.37619755,3173,450
2020-03-04$35.61$35.6346.0%13.2%36.9%55.4%44.2%7.1%-4.1%159.6K255.1K-30.5K0.0418.28337145,8023,490
2020-03-05$35.04$35.6358.1%14.0%36.8%83.3%54.0%6.7%-2.1%149.7K566.8K-32.9K1.2234.971642005,9603,492
2020-03-06$34.72$35.6361.0%15.3%36.7%89.8%50.5%11.4%-6.3%131.8K1.2M-33.1K0.2038.228351646,0953,642
2020-03-09$31.61$35.6378.9%19.3%47.7%100.0%66.7%13.4%-12.5%88.9K3.9M-29.8K1.1955.421151376,8253,742
2020-03-10$35.05$35.6369.6%16.4%62.3%83.6%54.0%12.6%-7.1%209.7K-716.4K-36.7K0.8854.234473936,8503,784
2020-03-11$31.25$35.6364.1%18.4%73.0%74.0%66.9%13.7%-5.8%71.9K4.5M-30.2K4.1553.421014197,1314,099
2020-03-12$26.54$35.6385.2%24.4%90.1%100.0%89.6%19.5%-11.6%7.9K7.2M-18.5K3.1661.291263997,1374,019
2020-03-13$28.10$34.6489.1%25.5%93.9%100.0%82.1%25.9%-11.6%22.3K6.4M-25.1K0.9866.131791767,1844,347
2020-03-16$27.40$34.6496.3%27.6%93.9%100.0%98.8%17.8%-9.7%17.5K6.6M-23.6K5.4354.23351927,2874,295
2020-03-17$27.96$34.6495.7%27.4%94.8%99.2%85.7%25.9%-13.2%16.6K6.9M-23.0K1.1850.791041237,5274,371
2020-03-18$25.16$34.64119.2%34.2%99.0%100.0%94.4%31.6%-20.8%4.6K7.2M-19.6K1.5259.1563957,5934,359
2020-03-19$26.79$34.64105.3%30.2%103.4%85.7%85.5%32.7%-13.2%7.5K6.9M-22.5K0.1870.72281527,5774,369
2020-03-20$25.15$34.64103.7%29.7%104.7%84.0%95.5%33.3%-11.3%-8.2K8.1M-15.8K0.4567.3067307,5134,357
2020-03-23$23.40$34.64108.8%31.2%105.9%89.2%95.4%30.3%-15.7%-12.4K4.3M-12.6K0.2670.9677204,1222,748
2020-03-24$26.18$34.6493.5%26.8%116.0%73.6%88.7%21.4%-10.9%-7.9K3.9M-17.6K0.2073.83298614,1712,749
2020-03-25$27.87$34.6499.8%28.6%119.1%80.0%86.9%20.8%-3.5%13.6K2.9M-21.7K0.0783.81226154,3652,761
2020-03-26$27.67$34.6490.9%26.1%118.7%71.0%84.5%24.6%-6.1%15.0K2.7M-23.1K1.1169.2427304,5822,775
2020-03-27$26.52$34.6494.8%27.2%119.2%74.9%92.3%18.7%-13.8%6.5K3.3M-20.4K0.2159.89158334,5992,789
2020-03-30$27.27$34.6489.7%25.7%118.4%69.7%85.2%20.9%-8.6%8.0K3.1M-21.2K0.4760.6499464,6462,811
2020-03-31$27.95$34.6487.2%25.0%119.0%67.1%91.2%20.8%-7.3%10.8K3.0M-21.7K11.4465.44364164,7332,837