SCCO Options History — August 2020

In August 2020, SCCO traded between $42.89 and $47.74. ATM implied volatility averaged 36.4%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 0.2% (HV 20d: 36.2%). Max pain ranged from $35.63 to $39.59. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2020-08-28: Highest Volume — 1,904 contracts
  • 2020-08-11: Largest IV spike — 12.6% change
  • 2020-08-11: Highest IV Rank — 19.2%
  • 2020-08-04: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.43$42.89$47.74$43.88$47.69
Max Pain$39.02$35.63$39.59$39.59$39.59
ATM IV36.4%33.9%40.5%38.3%38.4%
Expected Move10.4%9.7%11.3%11.0%11.0%
HV 20d36.2%29.9%39.5%33.7%32.1%
HV 60d37.5%36.0%40.5%39.6%36.2%
IV Rank15.0%12.5%19.2%16.9%17.0%
IV Percentile53.4%45.2%67.5%59.9%61.1%
Term Structure1.1%-1.0%2.4%-1.0%1.7%
VWIV36.3%29.6%39.7%37.4%37.6%
Skew 25d5.3%3.3%6.7%6.7%3.7%
Skew 10d14.4%6.7%21.2%12.8%6.7%
Call IV 25d34.3%31.5%37.2%36.3%36.7%
Put IV 25d39.6%36.6%43.8%43.0%40.4%
Bid-Ask Spread %30.0716.3838.6429.3129.89
Gamma HHI0.270.110.490.210.15
Net GEX1.0M414.5K2.1M886.0K543.7K
Net DEX-17.1M-23.8M-13.1M-18.0M-18.0M
Net VEX-54.5K-60.2K-46.1K-47.3K-54.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.041.690.450.06
Total Volume723.048641,9042771,662
Total OI12,698.8111,03614,64612,10512,782

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$43.88$39.5938.3%11.0%33.7%16.9%37.4%6.7%-1.0%886.0K-18.0M-47.3K0.4529.31191868,9853,120
2020-08-04$42.89$39.5939.4%11.3%34.8%18.0%38.4%6.6%-0.8%770.2K-14.9M-47.1K0.3131.084201298,9573,185
2020-08-05$44.69$39.5938.0%10.9%37.2%16.7%36.5%4.9%-0.4%990.9K-20.1M-47.3K0.1128.979211058,9473,216
2020-08-06$45.79$35.6335.1%10.3%37.5%13.6%38.3%5.5%1.4%1.1M-23.8M-46.1K0.7131.558435958,9713,265
2020-08-07$44.58$35.6336.9%10.5%38.5%15.5%37.7%5.6%1.1%1.0M-19.8M-54.3K0.9033.533593239,4503,659
2020-08-10$45.34$36.6236.0%10.3%38.5%14.6%35.3%5.6%1.7%1.1M-22.1M-53.9K0.1229.491,4371739,5483,941
2020-08-11$43.99$38.6040.5%11.0%39.5%19.2%39.7%6.6%1.1%795.7K-13.2M-58.0K0.4935.342961448,4904,056
2020-08-12$44.65$39.5936.7%10.5%39.5%15.3%36.1%5.5%1.9%971.6K-14.7M-57.9K0.3733.66232868,5464,104
2020-08-13$44.29$39.5936.4%10.4%39.5%15.0%36.6%6.2%1.7%915.8K-13.3M-58.4K0.6627.871851228,6564,125
2020-08-14$44.60$39.5935.7%10.2%38.6%14.3%29.6%5.7%2.4%1.0M-14.1M-59.0K0.0432.281,205428,7604,191
2020-08-17$45.52$39.5936.4%10.4%39.2%14.9%36.3%5.0%1.5%1.4M-18.1M-60.2K0.2028.38473959,9734,212
2020-08-18$46.08$39.5935.5%10.2%39.0%14.0%37.0%5.5%1.3%1.7M-20.1M-59.5K0.1634.20421669,9204,266
2020-08-19$46.51$39.5935.6%10.2%39.0%14.2%35.6%4.4%2.0%2.0M-22.1M-59.6K0.7635.424113139,9904,325
2020-08-20$45.88$39.5935.3%10.1%39.2%13.8%37.1%4.5%1.6%2.1M-18.5M-57.7K1.0338.6414515010,1784,390
2020-08-21$45.51$39.5933.9%9.7%39.3%12.5%34.0%3.3%1.9%1.5M-15.2M-55.9K0.5331.5229015310,2024,444
2020-08-24$46.05$39.5934.3%9.8%31.5%12.9%35.5%5.2%1.0%433.3K-14.1M-53.1K0.7626.981471117,2433,793
2020-08-25$45.76$39.5934.9%10.0%29.9%13.4%34.3%6.1%1.2%418.8K-13.1M-54.0K0.6427.8239257,2863,877
2020-08-26$46.62$39.5934.4%9.9%30.0%13.0%37.0%5.9%0.3%438.9K-14.8M-53.8K0.8420.631481237,2923,894
2020-08-27$45.96$39.5935.4%10.1%30.3%13.9%36.5%4.8%0.9%414.5K-13.4M-53.5K1.6916.382283867,2673,909
2020-08-28$47.74$39.5936.8%10.6%32.4%15.4%36.7%3.4%1.1%482.6K-17.7M-53.4K0.0828.481,7651397,3883,872
2020-08-31$47.69$39.5938.4%11.0%32.1%17.0%37.6%3.7%1.7%543.7K-18.0M-54.9K0.0629.891,564988,8383,944