SCCO Options History — November 2020

In November 2020, SCCO traded between $52.40 and $60.15. ATM implied volatility averaged 37.4%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 10.7% (HV 20d: 26.8%). Max pain ranged from $39.59 to $54.43. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.55.

Notable Days

  • 2020-11-06: Highest Volume — 2,654 contracts
  • 2020-11-04: Largest IV drop — 14.7% change
  • 2020-11-02: Highest IV Rank — 28.5%
  • 2020-11-02: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.41$52.40$60.15$53.47$58.94
Max Pain$47.70$39.59$54.43$47.51$54.43
ATM IV37.4%30.9%49.6%49.6%35.9%
Expected Move10.6%8.9%14.2%14.2%10.3%
HV 20d26.8%22.5%29.0%28.4%24.4%
HV 60d28.4%27.4%28.8%28.8%27.4%
IV Rank16.1%9.3%28.5%28.5%14.5%
IV Percentile40.0%18.3%81.0%81.0%32.9%
Term Structure-0.7%-5.6%1.9%-4.4%0.4%
VWIV37.0%31.0%50.7%50.5%36.9%
Skew 25d4.9%2.9%8.5%8.5%3.4%
Skew 10d11.7%5.2%24.8%24.8%11.9%
Call IV 25d35.5%31.3%48.0%48.0%35.1%
Put IV 25d40.5%35.4%56.5%56.5%38.6%
Bid-Ask Spread %41.0116.0367.3454.5518.84
Gamma HHI0.410.220.550.320.35
Net GEX596.5K292.0K798.7K556.4K642.8K
Net DEX-18.9M-25.7M-12.7M-22.1M-21.0M
Net VEX-58.5K-67.8K-51.6K-61.6K-67.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.081.420.120.08
Total Volume703.351652,6544732,183
Total OI10,736.659,66511,54111,12211,039

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$53.47$47.5149.6%14.2%28.4%28.5%50.5%8.5%-4.4%556.4K-22.1M-61.6K0.1254.55421527,7133,409
2020-11-03$53.44$47.5148.6%13.9%26.0%27.5%50.7%8.2%-5.6%594.8K-22.7M-58.3K0.7354.682151577,7133,409
2020-11-04$52.40$47.5141.4%11.9%26.4%20.2%43.0%2.9%-3.3%609.5K-20.7M-58.1K1.1960.211411687,8493,522
2020-11-05$53.68$39.5939.0%10.8%27.2%17.7%37.1%4.0%-0.4%675.2K-23.4M-55.4K0.9860.942552497,8303,585
2020-11-06$54.68$39.5936.3%10.6%27.5%14.9%37.0%4.0%-0.7%720.6K-25.7M-53.5K0.1738.892,2693857,8353,706
2020-11-09$54.38$44.5439.0%10.2%27.7%17.7%36.3%5.2%-0.4%526.3K-16.1M-54.6K0.4067.344081656,2263,911
2020-11-10$53.56$44.5440.4%10.7%28.2%19.0%37.6%5.6%0.0%489.7K-14.2M-56.5K1.2053.371692026,3743,892
2020-11-11$53.25$44.5436.1%10.3%28.6%14.7%36.7%4.6%-0.9%500.0K-13.3M-56.1K0.3859.72122466,3944,066
2020-11-12$52.97$44.5436.9%10.6%28.9%15.5%37.4%4.5%-0.4%474.3K-12.7M-56.8K0.3636.35182666,4484,106
2020-11-13$53.76$44.5435.3%10.1%29.0%13.9%31.0%5.3%0.5%576.4K-14.4M-56.7K0.8159.092722196,4984,131
2020-11-16$54.92$49.4935.9%10.3%29.0%14.5%35.8%5.4%-1.0%699.9K-15.4M-54.9K1.4225.902123016,3094,247
2020-11-17$55.60$49.4936.3%10.4%28.3%14.8%35.3%5.4%-0.3%679.1K-17.2M-55.5K0.4544.53201916,3554,390
2020-11-18$55.31$49.4935.4%10.1%28.3%13.9%34.7%3.0%-0.5%729.1K-16.5M-55.2K0.2347.11232556,4164,434
2020-11-19$55.53$49.4935.9%10.3%28.2%14.5%34.0%5.8%-0.4%798.7K-18.1M-54.2K0.8737.1988776,5284,424
2020-11-20$56.31$49.4935.4%10.2%25.6%14.0%34.6%4.2%-0.6%292.0K-20.7M-51.6K0.1432.401,7172376,5744,458
2020-11-23$57.58$49.4930.9%8.9%24.5%9.3%32.3%5.8%1.9%486.0K-17.4M-64.5K0.3517.174561596,2503,415
2020-11-24$58.87$49.4932.8%9.4%23.9%11.3%32.8%4.2%1.2%611.2K-21.0M-65.8K0.7317.774473256,6023,474
2020-11-25$59.35$54.4333.1%9.5%22.6%11.6%32.6%3.5%1.7%595.4K-21.7M-65.6K0.1816.03546986,6883,749
2020-11-27$60.15$54.4334.9%10.0%22.5%13.5%34.4%4.8%-0.5%672.9K-23.3M-66.5K0.1618.03413666,9843,780
2020-11-30$58.94$54.4335.9%10.3%24.4%14.5%36.9%3.4%0.4%642.8K-21.0M-67.8K0.0818.842,0201637,2343,805