SCCO Options History — October 2020

In October 2020, SCCO traded between $43.86 and $51.91. ATM implied volatility averaged 41.4%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 13.4% (HV 20d: 28.0%). Max pain ranged from $43.55 to $47.51. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.38.

Notable Days

  • 2020-10-23: Highest Volume — 3,306 contracts
  • 2020-10-14: Largest IV spike — 15.7% change
  • 2020-10-30: Highest IV Rank — 33.6%
  • 2020-10-30: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.28$43.86$51.91$43.86$51.84
Max Pain$45.66$43.55$47.51$43.55$47.51
ATM IV41.4%33.0%54.5%39.4%54.5%
Expected Move12.4%11.3%15.6%11.3%15.6%
HV 20d28.0%23.9%31.2%28.8%27.8%
HV 60d31.1%28.8%32.6%31.6%28.8%
IV Rank20.1%11.5%33.6%18.1%33.6%
IV Percentile61.9%33.3%85.3%57.9%85.3%
Term Structure-1.6%-8.5%3.8%3.1%-8.5%
VWIV42.7%39.0%50.0%40.0%50.0%
Skew 25d5.2%2.7%7.6%4.9%7.6%
Skew 10d12.8%8.5%19.0%10.5%17.1%
Call IV 25d40.5%37.2%48.8%37.2%48.8%
Put IV 25d45.7%41.3%56.4%42.0%56.4%
Bid-Ask Spread %29.1019.7938.6129.3430.97
Gamma HHI0.190.090.310.090.30
Net GEX360.6K147.6K531.4K147.6K506.3K
Net DEX-12.9M-19.3M-5.1M-5.1M-19.1M
Net VEX-57.1K-65.1K-52.5K-53.3K-64.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.021.110.480.27
Total Volume535.1821093,306109211
Total OI11,420.5458,17313,20611,96611,121

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$43.86$43.5539.4%11.3%28.8%18.1%40.0%4.9%3.1%147.6K-5.1M-53.3K0.4829.3474358,3043,662
2020-10-02$45.31$43.5539.3%11.3%29.6%17.9%39.0%2.7%3.8%223.6K-7.7M-54.6K0.2032.878571718,3323,684
2020-10-05$46.44$45.5339.1%12.0%30.6%17.8%40.9%6.2%0.7%323.9K-10.7M-56.6K0.2230.82328728,8123,818
2020-10-06$45.29$45.5338.2%12.2%30.5%16.9%44.2%5.6%0.9%257.2K-8.3M-56.6K0.9331.941111038,8573,829
2020-10-07$46.68$45.5335.9%12.6%31.2%14.5%42.4%5.3%-0.7%342.0K-11.2M-56.6K0.2624.784081058,9163,874
2020-10-08$46.99$45.5336.5%12.4%29.3%15.1%42.2%5.4%-1.3%344.4K-11.3M-55.3K0.8127.3871588,7663,930
2020-10-09$47.51$45.5333.0%11.7%28.0%11.5%41.5%5.1%-2.0%382.6K-12.5M-53.9K0.2831.31178508,7943,915
2020-10-12$47.41$45.5334.8%11.5%27.9%13.4%40.2%4.5%-2.5%394.5K-12.4M-52.9K0.2535.24216558,8553,933
2020-10-13$47.00$44.5435.1%11.7%28.1%13.6%40.7%4.7%-0.1%361.6K-11.6M-52.7K0.6235.8988558,9543,960
2020-10-14$47.17$44.5440.6%11.6%28.1%19.3%41.7%4.7%-2.0%389.5K-12.0M-52.5K0.4527.04102458,9393,973
2020-10-15$47.51$44.5440.8%11.7%28.1%19.6%41.9%4.8%-1.3%400.2K-12.8M-52.5K0.2838.615061428,9133,991
2020-10-16$47.73$45.5339.6%11.3%28.0%18.3%40.2%4.5%-1.0%409.5K-13.8M-54.1K0.4435.72189849,0834,123
2020-10-19$47.32$45.5340.8%11.7%25.3%19.5%40.8%6.0%-1.4%216.3K-9.4M-53.8K0.2034.23389795,3682,805
2020-10-20$48.54$45.5342.6%12.2%26.4%21.3%41.6%3.6%-3.1%267.8K-11.5M-55.6K0.2022.037571505,6292,862
2020-10-21$49.41$46.5242.7%12.2%23.9%21.4%41.7%5.2%-2.8%296.2K-13.1M-57.6K0.4532.092511135,8882,981
2020-10-22$49.49$46.5241.4%11.9%23.9%20.1%42.1%6.3%-1.7%300.2K-13.3M-58.6K1.1125.101691876,0033,075
2020-10-23$51.44$46.5243.8%12.6%26.2%22.6%40.6%5.3%-1.7%309.1K-16.0M-57.9K0.0219.793,248586,0123,216
2020-10-26$50.38$46.5246.4%13.3%28.0%25.2%45.7%5.1%-2.1%477.9K-16.3M-63.6K0.1723.95413707,6373,227
2020-10-27$51.80$46.5247.0%13.5%28.5%25.9%44.2%4.5%-3.6%531.4K-19.3M-63.7K0.0625.75806457,6013,251
2020-10-28$51.07$46.5250.0%14.3%29.6%28.9%49.0%5.4%-4.4%524.1K-17.9M-65.1K0.4222.883611537,9283,272
2020-10-29$51.91$47.5149.9%14.3%29.0%28.8%48.0%6.6%-3.5%528.4K-19.3M-64.9K0.2222.53174377,7753,384
2020-10-30$51.84$47.5154.5%15.6%27.8%33.6%50.0%7.6%-8.5%506.3K-19.1M-64.7K0.2730.97166457,7453,376