SCCO Options History — September 2020

In September 2020, SCCO traded between $43.79 and $47.80. ATM implied volatility averaged 41.2%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 11.4% (HV 20d: 29.8%). Max pain ranged from $39.59 to $43.55. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2020-09-10: Highest Volume — 990 contracts
  • 2020-09-09: Largest IV drop — 17.4% change
  • 2020-09-08: Highest IV Rank — 29.1%
  • 2020-09-08: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.68$43.79$47.80$47.80$44.30
Max Pain$42.79$39.59$43.55$39.59$43.55
ATM IV41.2%38.5%50.2%39.1%38.5%
Expected Move11.7%11.0%12.8%11.2%11.0%
HV 20d29.8%27.5%32.7%30.5%28.7%
HV 60d33.6%31.6%36.9%36.1%31.6%
IV Rank19.9%17.1%29.1%17.7%17.1%
IV Percentile66.1%53.2%82.9%62.7%53.2%
Term Structure2.7%0.8%4.3%0.8%4.3%
VWIV41.5%39.0%46.5%40.1%39.8%
Skew 25d5.2%4.0%6.7%4.1%4.5%
Skew 10d10.8%5.1%18.5%7.6%11.3%
Call IV 25d38.7%36.4%42.8%37.4%36.8%
Put IV 25d43.9%41.0%48.4%41.5%41.3%
Bid-Ask Spread %35.5021.0742.5921.4333.66
Gamma HHI0.110.090.190.140.09
Net GEX403.2K128.7K614.7K608.6K163.1K
Net DEX-11.8M-18.7M-4.3M-18.7M-5.3M
Net VEX-55.9K-64.8K-51.3K-61.4K-51.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.101.650.250.25
Total Volume387.952115990968457
Total OI13,931.61910,93816,48214,05811,752

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$47.80$39.5939.1%11.2%30.5%17.7%40.1%4.1%0.8%608.6K-18.7M-61.4K0.2521.4377619210,0534,005
2020-09-02$47.49$39.5941.5%11.9%27.7%20.2%46.5%5.2%0.9%606.1K-17.9M-64.8K0.2132.8349410610,6194,166
2020-09-03$46.00$42.5646.8%12.5%29.1%25.7%43.7%4.0%2.0%525.8K-14.4M-63.6K0.4839.321607710,6554,224
2020-09-04$46.61$42.5643.8%12.4%27.6%22.6%42.9%6.7%1.5%558.1K-15.9M-63.9K0.3838.132238610,6944,266
2020-09-08$45.44$43.5550.2%12.8%28.6%29.1%44.6%5.9%1.2%502.0K-13.3M-59.5K1.5021.0713820810,7964,339
2020-09-09$46.57$42.5641.4%11.9%27.5%20.2%41.7%4.4%3.1%562.4K-16.1M-59.3K0.1833.801522710,8844,365
2020-09-10$45.23$42.5641.0%11.8%29.3%19.8%46.1%5.1%2.5%504.5K-12.9M-56.1K1.6535.2237461610,9574,362
2020-09-11$46.47$42.5640.1%11.5%30.6%18.8%39.5%4.5%2.4%536.3K-15.4M-56.6K0.1633.201732810,9714,928
2020-09-14$46.84$42.5639.8%11.4%30.6%18.5%41.1%4.5%3.7%567.9K-16.4M-53.9K0.4542.411898610,9114,930
2020-09-15$46.82$42.5639.6%11.3%29.9%18.2%39.2%5.6%2.6%614.7K-16.5M-54.3K0.1141.465676211,0014,978
2020-09-16$46.75$42.5639.1%11.2%29.6%17.8%40.8%5.4%2.3%595.6K-16.1M-54.2K0.6142.091539311,2245,009
2020-09-17$46.42$43.5539.5%11.3%29.6%18.2%39.5%4.7%2.9%578.7K-16.0M-53.4K0.2629.663128011,3145,078
2020-09-18$46.19$43.5538.5%11.1%29.2%17.2%39.0%4.6%3.1%445.2K-15.4M-52.3K0.1039.976226211,3515,131
2020-09-21$44.71$43.5540.6%11.6%31.4%19.3%41.4%5.4%3.6%180.5K-5.7M-52.6K0.6637.082001327,6753,263
2020-09-22$45.07$43.5539.0%11.2%31.2%17.7%41.1%6.2%3.7%195.7K-6.3M-52.4K0.8736.531921687,7263,326
2020-09-23$43.79$43.5540.9%11.7%32.7%19.6%40.6%5.6%3.1%128.7K-4.3M-52.4K0.4231.692391007,8623,455
2020-09-24$44.21$43.5542.8%12.3%32.1%21.6%41.2%5.7%2.8%146.3K-5.0M-54.4K0.3042.59112337,9673,536
2020-09-25$43.92$43.5540.9%11.7%31.8%19.7%39.9%5.5%3.5%131.9K-4.6M-52.8K0.4435.2386377,9893,540
2020-09-28$44.53$43.5541.4%11.9%28.7%20.1%41.0%5.0%2.7%157.9K-5.6M-52.4K0.4239.59155658,0033,571
2020-09-29$44.21$43.5540.6%11.6%28.8%19.3%42.3%6.3%3.7%156.4K-5.3M-51.8K0.7038.6268478,1233,565
2020-09-30$44.30$43.5538.5%11.0%28.7%17.1%39.8%4.5%4.3%163.1K-5.3M-51.3K0.2533.66366918,1713,581