SCCO Options History — March 2021

In March 2021, SCCO traded between $65.21 and $77.40. ATM implied volatility averaged 41.9%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 7.6% (HV 20d: 49.5%). Max pain ranged from $69.28 to $74.23. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.32.

Notable Days

  • 2021-03-12: Highest Volume — 6,382 contracts
  • 2021-03-29: Largest IV spike — 10.5% change
  • 2021-03-04: Highest IV Rank — 20.4%
  • 2021-03-04: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.81$65.21$77.40$74.22$67.47
Max Pain$70.79$69.28$74.23$69.28$69.28
ATM IV41.9%35.1%48.9%44.4%36.6%
Expected Move11.9%10.1%13.6%12.7%10.5%
HV 20d49.5%40.1%54.3%40.9%47.9%
HV 60d39.0%33.9%42.5%33.9%41.8%
IV Rank13.2%5.4%20.4%15.4%8.4%
IV Percentile53.0%9.1%80.6%68.7%23.0%
Term Structure1.7%-2.0%4.9%0.3%1.7%
VWIV42.3%36.3%47.8%45.3%36.7%
Skew 25d2.7%1.8%3.7%3.7%2.3%
Skew 10d6.0%2.9%8.6%5.8%8.0%
Call IV 25d41.5%36.1%46.5%43.4%36.4%
Put IV 25d44.2%38.4%49.8%47.1%38.7%
Bid-Ask Spread %60.3333.7781.8879.7844.70
Gamma HHI0.170.150.190.170.16
Net GEX1.6M337.6K2.8M2.0M722.5K
Net DEX-41.6M-78.5M-5.7M-56.6M-13.8M
Net VEX-191.6K-240.5K-135.7K-225.2K-146.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.050.720.100.34
Total Volume1,7213976,3821,015397
Total OI28,278.60922,16033,32228,25924,515

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-03-01$74.22$69.2844.4%12.7%40.9%15.4%45.3%3.7%0.3%2.0M-56.6M-225.2K0.1079.789268920,6517,608
2021-03-02$75.64$69.2845.7%13.1%40.2%16.8%47.8%2.0%0.3%2.1M-65.3M-232.1K0.3881.881,64762720,8297,636
2021-03-03$76.76$69.2844.9%12.9%40.1%15.9%45.8%3.4%1.0%2.3M-71.0M-240.5K0.1672.041,42823421,2698,142
2021-03-04$70.87$69.2848.9%13.6%50.4%20.4%46.9%3.6%0.9%1.6M-39.5M-222.9K0.2260.092,09745721,7428,267
2021-03-05$72.90$69.2845.9%13.2%51.0%17.0%46.2%2.4%2.4%1.9M-50.6M-231.1K0.1953.7180815422,1048,350
2021-03-08$72.27$69.2848.5%13.2%50.2%20.0%47.1%3.1%1.5%1.8M-46.8M-217.8K0.1744.011,04917522,0918,396
2021-03-09$72.29$69.2847.1%12.7%50.2%18.4%45.5%2.6%2.2%1.9M-47.5M-213.0K0.4848.3137718122,2948,524
2021-03-10$74.69$69.2843.9%12.6%51.4%14.7%44.5%2.8%1.9%2.3M-62.1M-216.6K0.2260.5785619122,4148,634
2021-03-11$77.40$69.2843.0%12.3%52.7%13.8%44.1%2.5%2.9%2.7M-78.5M-222.7K0.1758.141,44624722,5468,637
2021-03-12$77.16$69.2842.8%12.3%52.5%13.5%43.6%1.8%2.4%2.8M-77.3M-220.2K0.0557.586,06831422,9678,747
2021-03-15$75.20$69.2844.6%12.8%53.2%15.6%45.2%2.4%0.7%2.2M-62.6M-209.6K0.5262.191,20162622,3708,969
2021-03-16$73.07$74.2342.7%12.2%54.1%13.4%42.9%2.1%1.9%1.9M-49.8M-201.8K0.2068.501,03120222,7899,384
2021-03-17$73.41$74.2341.5%11.9%54.0%12.0%42.0%2.1%2.7%2.0M-52.6M-201.5K0.2869.7486523823,2439,440
2021-03-18$72.16$74.2342.3%12.1%54.3%13.0%43.7%2.5%1.6%1.8M-46.7M-191.6K0.7269.631,36098423,3609,442
2021-03-19$71.84$74.2338.1%10.9%48.4%9.2%39.8%3.4%4.9%1.3M-44.3M-183.5K0.7155.171,7301,22823,6609,662
2021-03-22$71.37$74.2337.8%10.8%47.2%8.9%37.4%1.8%1.9%1.2M-24.2M-173.2K0.3054.0168020216,7485,412
2021-03-23$67.44$74.2335.1%10.1%50.2%5.4%36.7%2.8%3.0%574.3K-9.9M-139.1K0.1764.773,05550416,9345,502
2021-03-24$66.80$74.2337.5%10.8%50.2%9.6%36.3%2.9%1.4%495.3K-9.3M-143.4K0.4872.7082239417,2546,054
2021-03-25$65.21$69.2837.3%10.7%49.0%9.3%37.3%3.7%1.6%337.6K-5.7M-135.7K0.3369.3390529717,3555,937
2021-03-26$68.60$69.2836.5%10.5%51.2%8.3%38.3%2.5%2.4%876.3K-17.0M-157.1K0.2033.771,30125517,5245,932
2021-03-29$67.47$69.2840.4%11.6%49.2%13.9%41.5%3.7%-2.0%664.2K-13.2M-143.5K0.7057.8738527017,4216,034
2021-03-30$67.47$69.2837.5%10.8%48.5%9.7%38.7%3.3%0.9%589.4K-12.1M-139.0K0.2249.201,04623417,4946,125
2021-03-31$67.47$69.2836.6%10.5%47.9%8.4%36.7%2.3%1.7%722.5K-13.8M-146.4K0.3444.7029710018,3496,166