SCCO Options History — May 2020

In May 2020, SCCO traded between $31.48 and $36.46. ATM implied volatility averaged 44.0%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 8.8% (HV 20d: 52.8%). Max pain ranged from $30.68 to $34.64. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.00.

Notable Days

2020-05-11: Highest Volume — 510 contracts
2020-05-08: Largest IV drop — 16.5% change
2020-05-04: Highest IV Rank — 30.8%
2020-05-04: Largest Expected Move — 14.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.90	$31.48	$36.46	$31.48	$35.82
Max Pain	$34.44	$30.68	$34.64	$30.68	$34.64
ATM IV	44.0%	37.6%	51.8%	49.0%	38.3%
Expected Move	12.4%	10.8%	14.1%	14.1%	11.0%
HV 20d	52.8%	41.0%	60.6%	60.6%	41.0%
HV 60d	80.9%	80.1%	82.5%	80.2%	81.0%
IV Rank	22.8%	16.2%	30.8%	28.0%	16.9%
IV Percentile	78.6%	71.0%	84.1%	84.1%	72.6%
Term Structure	0.6%	-1.0%	3.2%	-0.1%	0.5%
VWIV	42.7%	36.2%	50.3%	49.6%	38.8%
Skew 25d	10.4%	8.6%	13.2%	13.2%	8.8%
Skew 10d	22.4%	18.3%	30.4%	30.4%	24.5%
Call IV 25d	38.5%	33.2%	45.1%	45.1%	34.1%
Put IV 25d	48.9%	41.8%	58.2%	58.2%	42.9%
Bid-Ask Spread %	34.92	21.82	45.76	31.62	26.26
Gamma HHI	0.11	0.10	0.13	0.10	0.11
Net GEX	119.3K	61.2K	172.5K	61.2K	154.5K
Net DEX	-1.9M	-4.8M	261.0K	261.0K	-3.4M
Net VEX	-29.5K	-35.1K	-27.2K	-27.9K	-35.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.10	9.46	0.57	0.46
Total Volume	190.45	39	510	72	134
Total OI	7,630.4	6,644	8,377	7,636	7,951

Daily Data (20 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
2020-05-01	$31.48	$30.68	49.0%	14.1%	60.6%	28.0%	49.6%	13.2%	-0.1%	61.2K	261.0K	-27.9K	0.57	31.62	46	26	4,968	2,668
2020-05-04	$32.02	$34.64	51.8%	14.1%	60.1%	30.8%	50.3%	11.8%	-0.7%	73.5K	-211.5K	-27.6K	0.26	21.82	73	19	4,984	2,666
2020-05-05	$32.01	$34.64	51.4%	13.7%	57.4%	30.4%	41.2%	12.1%	-0.6%	77.6K	-215.1K	-27.2K	0.25	34.64	73	18	4,998	2,679
2020-05-06	$32.31	$34.64	46.8%	13.1%	54.8%	25.6%	45.3%	11.7%	0.8%	79.4K	-415.2K	-27.4K	1.35	31.19	17	23	5,020	2,687
2020-05-07	$32.61	$34.64	45.0%	12.9%	54.8%	23.9%	43.2%	10.7%	0.4%	88.2K	-658.3K	-27.3K	0.26	37.71	74	19	5,024	2,709
2020-05-08	$34.03	$34.64	37.6%	11.8%	55.4%	16.2%	40.6%	8.7%	3.2%	168.8K	-2.4M	-28.9K	0.65	45.16	100	65	5,082	2,708
2020-05-11	$33.64	$34.64	43.7%	11.8%	55.5%	22.5%	36.9%	9.6%	2.8%	147.8K	-1.9M	-27.5K	0.10	45.76	464	46	5,132	2,732
2020-05-12	$32.74	$34.64	50.0%	12.5%	56.7%	28.9%	44.9%	10.6%	1.3%	127.6K	-1.1M	-27.7K	1.26	41.00	43	55	5,345	2,777
2020-05-13	$32.32	$34.64	46.6%	13.4%	50.9%	25.5%	44.8%	12.0%	0.2%	106.0K	-590.4K	-27.3K	0.62	37.08	34	21	5,361	2,811
2020-05-14	$32.41	$34.64	48.2%	13.8%	49.9%	27.1%	46.7%	11.7%	1.0%	107.5K	-785.9K	-27.5K	1.21	31.91	150	181	5,373	2,822
2020-05-15	$32.31	$34.64	48.0%	13.7%	45.6%	26.9%	45.7%	10.7%	-1.0%	63.6K	-533.0K	-27.7K	0.31	31.39	36	11	5,397	2,980
2020-05-18	$35.31	$34.64	40.6%	11.6%	54.1%	19.3%	41.6%	9.9%	0.7%	112.3K	-2.9M	-30.4K	0.38	39.67	345	129	4,120	2,524
2020-05-19	$35.71	$34.64	40.0%	11.5%	52.7%	18.6%	36.2%	9.5%	0.9%	124.0K	-3.4M	-31.6K	0.25	40.73	312	79	4,289	2,623
2020-05-20	$35.69	$34.64	41.3%	11.8%	52.0%	20.0%	42.6%	10.4%	0.5%	142.0K	-3.6M	-32.7K	0.38	36.58	40	15	4,579	2,671
2020-05-21	$34.99	$34.64	42.5%	12.2%	52.7%	21.2%	42.2%	9.9%	0.5%	133.6K	-2.8M	-31.9K	0.18	35.87	69	12	4,609	2,681
2020-05-22	$34.82	$34.64	42.5%	12.2%	52.9%	21.2%	42.4%	8.6%	0.4%	128.1K	-2.4M	-31.3K	1.60	34.51	15	24	4,618	2,691
2020-05-26	$35.62	$34.64	39.4%	11.3%	50.4%	18.0%	40.2%	8.7%	0.3%	155.7K	-3.5M	-30.6K	0.41	36.55	94	38	4,627	2,716
2020-05-27	$35.79	$34.64	39.7%	11.4%	49.8%	18.4%	40.9%	9.9%	-0.2%	160.6K	-3.6M	-30.8K	0.10	28.96	435	41	4,692	2,742
2020-05-28	$36.46	$34.64	37.6%	10.8%	48.2%	16.2%	38.9%	8.7%	1.3%	172.5K	-4.8M	-32.5K	9.46	29.89	41	392	4,772	2,780
2020-05-29	$35.82	$34.64	38.3%	11.0%	41.0%	16.9%	38.8%	8.8%	0.5%	154.5K	-3.4M	-35.1K	0.46	26.26	92	42	4,796	3,155