SCCO Options History — January 2021

In January 2021, SCCO traded between $65.93 and $71.07. ATM implied volatility averaged 42.1%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 14.5% (HV 20d: 27.7%). Max pain ranged from $59.38 to $59.38. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.41.

Notable Days

2021-01-07: Highest Volume — 4,212 contracts
2021-01-27: Largest IV spike — 22.7% change
2021-01-04: Highest IV Rank — 26.3%
2021-01-29: Largest Expected Move — 14.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$69.02	$65.93	$71.07	$66.62	$65.93
Max Pain	$59.38	$59.38	$59.38	$59.38	$59.38
ATM IV	42.1%	36.4%	51.5%	48.7%	51.5%
Expected Move	11.9%	10.9%	14.8%	12.3%	14.8%
HV 20d	27.7%	22.2%	36.5%	25.5%	36.5%
HV 60d	25.5%	23.9%	27.8%	23.9%	27.8%
IV Rank	17.3%	12.7%	26.3%	26.3%	24.3%
IV Percentile	59.4%	32.9%	83.3%	80.2%	83.3%
Term Structure	-0.1%	-4.3%	2.4%	-0.4%	-4.3%
VWIV	41.5%	38.4%	50.3%	42.5%	50.3%
Skew 25d	4.1%	2.7%	6.2%	4.8%	5.7%
Skew 10d	8.9%	4.4%	14.3%	7.9%	9.9%
Call IV 25d	39.7%	36.7%	47.8%	39.8%	47.8%
Put IV 25d	43.8%	40.1%	53.5%	44.6%	53.5%
Bid-Ask Spread %	50.54	41.57	65.78	43.64	64.78
Gamma HHI	0.28	0.22	0.39	0.27	0.22
Net GEX	955.2K	726.1K	1.2M	1.1M	862.8K
Net DEX	-47.5M	-59.2M	-32.3M	-45.5M	-32.3M
Net VEX	-122.6K	-138.4K	-93.8K	-102.1K	-138.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.07	1.47	0.43	0.24
Total Volume	1,020.895	274	4,212	2,330	569
Total OI	17,851.579	15,069	20,285	15,069	18,767

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-01-04	$66.62	$59.38	48.7%	12.3%	25.5%	26.3%	42.5%	4.8%	-0.4%	1.1M	-45.5M	-102.1K	0.43	43.64	1,626	704	10,908	4,161
2021-01-05	$67.37	$59.38	40.6%	11.3%	25.5%	17.7%	41.5%	4.0%	0.8%	1.0M	-46.8M	-101.7K	1.07	52.98	489	524	10,900	4,506
2021-01-06	$68.18	$59.38	41.3%	11.4%	22.2%	18.4%	41.2%	5.5%	0.2%	1.0M	-48.8M	-101.2K	0.58	54.42	667	387	10,961	4,909
2021-01-07	$70.33	$59.38	36.4%	10.9%	23.4%	13.3%	40.3%	2.7%	0.7%	1.0M	-55.4M	-93.8K	0.71	46.26	2,462	1,750	11,107	5,224
2021-01-08	$70.59	$59.38	37.4%	11.0%	22.2%	14.4%	39.2%	3.4%	0.7%	1.0M	-57.2M	-131.8K	0.26	48.38	661	169	12,554	6,874
2021-01-11	$69.70	$59.38	44.3%	11.4%	23.1%	21.6%	41.9%	3.2%	0.8%	1.1M	-54.4M	-127.4K	0.27	41.57	603	161	12,504	6,945
2021-01-12	$71.07	$59.38	44.3%	11.5%	23.4%	21.1%	38.8%	3.6%	-0.4%	1.0M	-59.2M	-123.7K	0.07	44.07	1,011	67	12,550	7,078
2021-01-13	$69.49	$59.38	39.0%	11.2%	25.3%	15.6%	39.9%	3.4%	0.8%	1.2M	-54.5M	-126.5K	0.51	43.79	660	338	12,878	7,121
2021-01-14	$70.45	$59.38	40.7%	11.7%	25.0%	17.4%	39.9%	3.1%	0.8%	1.1M	-58.4M	-124.5K	0.10	43.84	1,124	111	12,922	7,164
2021-01-15	$68.22	$59.38	37.9%	10.9%	27.8%	14.5%	38.4%	4.0%	2.4%	726.1K	-46.9M	-131.6K	0.31	50.74	613	189	13,035	7,250
2021-01-19	$70.51	$59.38	39.8%	11.4%	29.3%	16.4%	38.8%	3.6%	0.0%	794.2K	-46.5M	-124.1K	0.24	48.12	661	157	11,200	5,241
2021-01-20	$69.70	$59.38	39.6%	11.4%	29.8%	14.0%	40.4%	3.7%	-0.0%	874.9K	-45.1M	-129.2K	0.23	51.36	251	59	11,710	5,337
2021-01-21	$69.53	$59.38	40.7%	11.7%	29.8%	15.2%	41.6%	3.5%	-1.3%	885.9K	-44.5M	-130.1K	0.15	55.07	238	36	11,779	5,363
2021-01-22	$70.40	$59.38	40.6%	11.6%	29.3%	12.8%	38.8%	3.9%	-0.6%	905.2K	-47.5M	-127.0K	1.47	48.35	201	296	11,880	5,403
2021-01-25	$68.97	$59.38	41.0%	11.8%	30.3%	12.7%	40.7%	5.5%	0.1%	904.1K	-41.7M	-128.8K	0.19	53.92	333	64	11,983	5,625
2021-01-26	$69.22	$59.38	41.3%	11.8%	30.2%	12.9%	39.2%	3.4%	-0.5%	953.0K	-43.7M	-123.0K	0.22	43.06	264	59	12,031	5,668
2021-01-27	$66.71	$59.38	50.7%	14.5%	33.2%	23.4%	49.9%	6.2%	-2.4%	790.8K	-33.5M	-132.0K	0.61	65.78	433	264	12,030	5,692
2021-01-28	$68.50	$59.38	45.0%	12.9%	34.1%	17.1%	45.2%	4.6%	0.7%	858.2K	-39.7M	-132.0K	0.12	60.11	1,065	131	12,039	5,881
2021-01-29	$65.93	$59.38	51.5%	14.8%	36.5%	24.3%	50.3%	5.7%	-4.3%	862.8K	-32.3M	-138.4K	0.24	64.78	460	109	12,812	5,955