SCCO Options History — April 2020

In April 2020, SCCO traded between $26.36 and $34.38. ATM implied volatility averaged 64.8%, placing in the 44.1% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded below realized volatility by 19.2% (HV 20d: 84.0%). Max pain ranged from $30.68 to $34.64. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2020-04-17: Highest Volume — 454 contracts
  • 2020-04-07: Largest IV drop — 17.4% change
  • 2020-04-01: Highest IV Rank — 79.5%
  • 2020-04-01: Largest Expected Move — 28.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.85$26.36$34.38$26.36$32.10
Max Pain$30.92$30.68$34.64$34.64$30.68
ATM IV64.8%40.6%99.2%99.2%47.6%
Expected Move18.1%11.6%28.4%28.4%13.6%
HV 20d84.0%57.3%119.7%119.0%59.8%
HV 60d77.2%74.2%80.1%74.2%80.1%
IV Rank44.1%19.3%79.5%79.5%26.5%
IV Percentile89.6%80.6%98.0%98.0%83.7%
Term Structure-5.1%-16.3%0.5%-16.3%-1.8%
VWIV63.1%42.5%112.7%112.7%50.3%
Skew 25d15.7%9.1%26.1%26.1%9.9%
Skew 10d35.1%21.5%65.1%65.1%25.5%
Call IV 25d55.3%37.5%83.8%83.8%42.5%
Put IV 25d71.1%46.6%109.9%109.9%52.4%
Bid-Ask Spread %43.8224.9667.1659.4824.96
Gamma HHI0.090.070.110.090.10
Net GEX35.2K-5.9K156.3K39279.7K
Net DEX1.7M-2.8M3.7M3.6M-224.5K
Net VEX-22.6K-31.8K-16.9K-19.0K-27.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.042.471.721.20
Total Volume202.85747454195207
Total OI7,636.9056,1078,7487,6437,499

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$26.36$34.6499.2%28.4%119.0%79.5%112.7%26.1%-16.3%3923.6M-19.0K1.7259.48721234,7532,890
2020-04-02$26.89$31.6786.7%23.4%119.7%66.6%72.8%22.9%-9.3%-2.3K3.5M-20.2K0.0457.1210144,8132,999
2020-04-03$26.50$30.6889.1%22.9%119.7%69.1%76.4%19.9%-9.0%-3.4K3.6M-19.0K2.2056.6130674,9303,005
2020-04-06$28.06$30.6884.9%20.2%118.2%64.7%68.9%14.1%-4.1%4.0K3.2M-20.2K0.5961.1355324,9483,032
2020-04-07$29.59$30.6870.1%17.7%113.3%49.5%60.7%14.2%-1.0%17.0K2.6M-21.7K0.1867.16310574,9803,058
2020-04-08$29.76$30.6861.8%17.7%106.2%41.1%59.3%13.0%-2.9%30.5K2.2M-23.1K0.3155.6736115,1843,091
2020-04-09$30.82$30.6861.6%17.7%88.2%40.8%57.4%17.8%-6.9%41.7K1.6M-23.6K0.9457.1872685,2153,096
2020-04-13$30.59$30.6865.5%18.8%86.3%44.9%65.0%18.4%-7.6%37.1K1.7M-22.9K0.6561.0756365,2523,137
2020-04-14$30.72$30.6858.9%16.9%85.6%38.0%59.6%15.0%-3.6%44.1K1.8M-21.9K1.1347.52901025,2773,131
2020-04-15$28.75$30.6866.5%19.1%89.1%45.9%64.4%17.1%-6.5%8.3K3.2M-18.4K0.9639.241681615,3333,164
2020-04-16$28.14$30.6866.8%19.2%80.3%46.2%68.8%15.4%-6.3%-5.9K3.7M-16.9K0.4133.44184755,4293,226
2020-04-17$29.92$30.6859.9%17.2%80.2%39.1%64.1%15.9%-4.3%30.3K2.1M-19.7K1.5737.631772775,5503,198
2020-04-20$29.49$30.6863.7%18.3%76.4%43.0%61.8%16.0%-7.2%19.7K1.9M-19.7K1.6443.4051833,8952,212
2020-04-21$28.80$30.6869.2%19.8%71.4%48.6%73.4%19.2%-7.1%13.7K2.2M-19.2K2.4729.78521273,9282,285
2020-04-22$29.80$30.6861.1%17.5%61.3%40.3%56.9%14.9%-2.7%19.7K1.8M-20.9K0.2040.69275563,9462,373
2020-04-23$30.50$30.6857.9%16.6%58.0%37.0%59.2%15.9%-4.9%40.6K773.0K-25.9K0.2536.39133334,4252,428
2020-04-24$30.52$30.6854.8%15.7%57.9%33.9%56.5%13.5%-1.9%44.5K760.7K-26.3K1.1831.2444534,5382,450
2020-04-27$32.18$30.6848.1%13.8%57.4%27.0%51.5%12.5%-2.0%68.7K-328.7K-27.8K0.4429.71156694,5662,482
2020-04-28$33.02$30.6846.6%13.4%57.3%25.5%43.8%9.7%-1.9%94.7K-1.2M-29.2K0.4025.762511004,6862,507
2020-04-29$34.38$30.6840.6%11.6%58.2%19.3%42.5%9.1%0.5%156.3K-2.8M-31.8K0.8525.00111954,8802,584
2020-04-30$32.10$30.6847.6%13.6%59.8%26.5%50.3%9.9%-1.8%79.7K-224.5K-27.8K1.2024.96941134,8992,600