SCCO Options History — June 2020

In June 2020, SCCO traded between $35.99 and $39.44. ATM implied volatility averaged 41.3%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 0.0% (HV 20d: 41.3%). Max pain ranged from $34.64 to $36.62. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.43.

Notable Days

  • 2020-06-04: Highest Volume — 2,119 contracts
  • 2020-06-11: Largest IV spike — 23.1% change
  • 2020-06-11: Highest IV Rank — 26.5%
  • 2020-06-11: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.53$35.99$39.44$36.60$39.44
Max Pain$35.67$34.64$36.62$34.64$36.62
ATM IV41.3%33.6%47.6%39.3%37.3%
Expected Move11.8%9.6%13.7%11.3%10.7%
HV 20d41.3%37.9%49.5%40.3%41.6%
HV 60d59.8%47.1%81.1%81.1%47.5%
IV Rank20.0%12.1%26.5%17.9%15.9%
IV Percentile73.1%60.3%81.3%72.6%63.9%
Term Structure0.4%-2.5%4.2%-0.5%4.2%
VWIV41.5%33.9%49.0%41.7%37.4%
Skew 25d9.1%6.3%12.0%7.9%6.3%
Skew 10d23.8%17.1%33.9%18.8%29.1%
Call IV 25d37.2%30.0%42.2%35.6%37.4%
Put IV 25d46.3%38.1%53.2%43.5%43.7%
Bid-Ask Spread %34.5917.6644.5026.6936.94
Gamma HHI0.110.100.130.110.13
Net GEX225.5K160.5K306.4K169.5K306.4K
Net DEX-5.9M-9.1M-3.7M-4.5M-7.6M
Net VEX-34.1K-36.2K-30.9K-34.7K-35.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.111.410.580.25
Total Volume400.318442,119193229
Total OI8,023.3185,9779,2717,9997,015

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$36.60$34.6439.3%11.3%40.3%17.9%41.7%7.9%-0.5%169.5K-4.5M-34.7K0.5826.69122714,8173,182
2020-06-02$37.18$34.6436.5%10.5%40.3%15.1%41.6%8.6%0.6%189.7K-5.5M-34.9K0.3118.50189594,8833,214
2020-06-03$38.19$34.6433.6%9.6%40.8%12.1%33.9%8.1%1.5%210.5K-7.0M-34.3K0.2717.664611254,8953,222
2020-06-04$37.60$35.6335.8%10.4%41.7%14.3%40.6%8.3%1.8%229.0K-6.6M-35.5K0.5924.831,3327875,2533,219
2020-06-05$38.59$35.6335.3%10.3%42.2%13.8%34.3%7.9%1.5%258.4K-8.4M-34.8K0.3232.47227745,2923,235
2020-06-08$38.37$35.6337.0%10.7%40.4%15.6%38.3%8.4%0.4%254.4K-7.8M-34.7K0.3723.9683305,3093,238
2020-06-09$38.59$35.6340.3%11.1%39.9%19.0%39.6%8.7%0.8%255.4K-8.2M-34.5K0.5727.3199575,3123,253
2020-06-10$39.04$35.6338.7%11.1%37.9%17.3%37.3%7.5%1.8%272.3K-9.1M-34.3K0.2537.58131335,3473,282
2020-06-11$35.99$35.6347.6%13.7%49.2%26.5%46.9%12.0%-1.7%182.6K-3.7M-34.1K0.1644.50264425,4243,283
2020-06-12$36.68$35.6347.6%13.6%49.5%26.4%46.4%10.9%-2.5%200.9K-5.0M-34.8K1.3334.5970935,5383,310
2020-06-15$36.77$35.6347.1%13.5%49.4%25.9%49.0%10.3%-0.9%211.6K-5.2M-33.2K0.3130.68181575,5483,347
2020-06-16$36.91$35.6346.2%13.2%38.6%25.0%44.9%10.6%0.4%233.7K-5.5M-33.0K0.3034.5385255,6313,394
2020-06-17$37.05$35.6344.7%12.8%38.5%23.5%43.7%10.3%-0.1%249.0K-5.9M-32.3K1.0035.6622225,6613,405
2020-06-18$36.28$35.6345.1%12.9%39.3%24.0%48.0%9.6%-0.8%238.4K-4.2M-30.9K0.1639.70538875,6573,408
2020-06-19$37.27$35.6342.0%12.0%39.6%20.7%42.4%9.3%1.1%289.8K-6.6M-31.9K0.1237.54339405,8303,441
2020-06-22$37.02$35.6343.2%12.4%39.6%22.0%41.3%8.9%0.5%160.5K-4.2M-31.3K1.4144.331241763,8242,153
2020-06-23$37.97$35.6340.5%11.6%39.8%19.2%39.6%7.9%1.2%185.2K-5.0M-33.0K0.2841.971,5604433,8892,294
2020-06-24$37.31$35.6343.1%12.3%40.4%21.8%41.6%10.4%-0.2%195.0K-4.7M-35.3K0.2744.27105284,3672,367
2020-06-25$37.72$36.6242.5%12.2%40.1%21.3%41.1%9.9%0.4%212.3K-5.2M-35.7K0.1144.19167184,4092,397
2020-06-26$37.33$36.6243.3%12.4%39.7%22.1%44.0%8.2%-0.9%215.1K-5.0M-36.2K0.4239.41101424,5512,411
2020-06-29$37.81$36.6242.5%12.2%39.2%21.2%39.0%10.5%0.0%241.9K-5.4M-35.3K0.1543.596094,5702,436
2020-06-30$39.44$36.6237.3%10.7%41.6%15.9%37.4%6.3%4.2%306.4K-7.6M-35.4K0.2536.94184454,5772,438