SCCO Options History — July 2020

In July 2020, SCCO traded between $38.23 and $45.55. ATM implied volatility averaged 40.2%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 4.1% (HV 20d: 36.1%). Max pain ranged from $36.62 to $39.59. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.39.

Notable Days

  • 2020-07-28: Highest Volume — 2,928 contracts
  • 2020-07-13: Largest IV spike — 22.7% change
  • 2020-07-13: Highest IV Rank — 30.5%
  • 2020-07-13: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.00$38.23$45.55$38.23$43.06
Max Pain$38.55$36.62$39.59$36.62$39.59
ATM IV40.2%34.9%51.5%37.1%37.4%
Expected Move11.4%10.0%12.2%10.6%10.7%
HV 20d36.1%30.5%43.7%42.2%35.9%
HV 60d42.5%39.0%47.0%47.0%39.5%
IV Rank18.9%13.4%30.5%15.7%16.0%
IV Percentile66.0%55.6%83.7%63.1%56.7%
Term Structure-0.7%-1.8%4.3%1.9%0.1%
VWIV40.2%34.5%45.3%38.0%37.7%
Skew 25d7.5%5.3%9.8%8.4%6.4%
Skew 10d16.2%10.0%26.7%26.7%13.5%
Call IV 25d36.2%31.5%39.1%33.5%35.6%
Put IV 25d43.8%38.2%48.9%41.9%42.0%
Bid-Ask Spread %34.2522.0744.0940.8222.07
Gamma HHI0.140.100.210.130.18
Net GEX572.1K290.0K879.6K290.0K774.6K
Net DEX-13.9M-19.8M-6.1M-6.1M-15.6M
Net VEX-41.4K-48.8K-34.5K-34.5K-48.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.031.280.520.48
Total Volume741.8641242,928269171
Total OI9,418.9557,11812,0207,11812,020

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$38.23$36.6237.1%10.6%42.2%15.7%38.0%8.4%1.9%290.0K-6.1M-34.5K0.5240.82177924,6732,445
2020-07-02$38.54$36.6234.9%10.0%41.9%13.4%34.5%6.7%4.3%322.4K-6.8M-35.4K0.3835.163161204,8232,496
2020-07-06$40.18$37.6138.0%11.3%43.5%16.6%38.1%8.6%-1.7%391.7K-9.6M-36.0K0.2228.732,0964545,0532,584
2020-07-07$39.83$37.6140.4%11.7%43.6%19.1%43.8%8.9%0.0%512.0K-10.4M-41.1K0.3331.055051696,2972,641
2020-07-08$40.23$37.6139.6%11.4%43.7%18.3%40.8%8.7%-0.9%541.7K-11.2M-42.2K0.1229.30173206,4312,761
2020-07-09$39.94$37.6141.6%12.0%43.6%20.3%43.5%8.5%-1.3%534.4K-10.7M-42.4K0.1230.51188226,5012,778
2020-07-10$41.04$37.6142.0%12.1%31.7%20.7%45.3%9.8%-1.3%595.5K-13.2M-42.4K0.1829.656871266,5502,774
2020-07-13$40.72$37.6151.5%12.2%31.8%30.5%43.3%8.3%-0.8%610.0K-12.7M-42.5K0.1634.607311196,9382,834
2020-07-14$41.84$37.6146.9%12.0%32.7%25.8%41.6%9.0%-1.0%704.9K-15.1M-43.8K0.2031.34187377,0242,914
2020-07-15$42.53$37.6141.2%11.8%32.9%19.9%43.7%7.4%-1.7%784.7K-17.3M-42.2K0.4332.441,0574607,1222,926
2020-07-16$42.25$38.6040.8%11.7%33.2%19.5%43.0%8.1%-0.6%850.1K-16.3M-41.9K0.6435.4176487,0912,955
2020-07-17$43.33$39.5939.3%11.3%32.1%18.0%40.1%7.6%-1.2%775.9K-19.8M-39.0K0.0844.09733567,1212,978
2020-07-20$43.43$39.5940.1%11.5%31.5%18.8%39.4%8.1%-1.7%393.1K-14.6M-39.6K0.4938.77102505,8482,616
2020-07-21$42.93$39.5941.2%11.8%31.8%19.9%41.1%7.0%-1.8%397.0K-13.8M-41.0K0.3131.90126395,9252,642
2020-07-22$43.30$39.5938.9%11.1%31.1%17.5%39.9%6.3%-1.4%414.6K-14.4M-40.5K0.9140.331571425,9852,683
2020-07-23$42.85$39.5939.9%11.4%30.5%18.6%39.5%6.3%-1.3%416.6K-13.8M-41.3K0.3440.60142486,0552,758
2020-07-24$42.59$39.5939.1%11.2%30.8%17.7%42.6%6.9%-1.6%431.6K-13.2M-40.0K1.1734.8784986,0832,779
2020-07-27$45.55$39.5938.2%10.9%37.0%16.8%37.1%7.2%-0.8%444.8K-18.2M-35.3K0.1027.962,3762446,0702,808
2020-07-28$44.33$39.5939.8%11.4%39.3%18.5%36.6%6.3%-1.8%711.9K-18.2M-44.2K0.0339.552,844847,7572,820
2020-07-29$43.82$39.5937.0%10.6%37.6%15.6%35.1%5.3%-0.1%879.6K-18.3M-48.8K0.0840.52518398,9752,875
2020-07-30$43.40$39.5939.0%11.2%35.6%17.6%39.2%5.8%-1.2%807.9K-17.0M-48.2K1.2833.911792298,8932,915
2020-07-31$43.06$39.5937.4%10.7%35.9%16.0%37.7%6.4%0.1%774.6K-15.6M-48.1K0.4822.07115568,9343,086