SCCO Options History — April 2021

In April 2021, SCCO traded between $68.65 and $75.40. ATM implied volatility averaged 37.1%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 1.8% (HV 20d: 38.8%). Max pain ranged from $69.28 to $69.28. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2021-04-28: Highest Volume — 8,041 contracts
  • 2021-04-28: Largest IV drop — 15.3% change
  • 2021-04-27: Highest IV Rank — 42.1%
  • 2021-04-27: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.21$68.65$75.40$68.75$68.91
Max Pain$69.28$69.28$69.28$69.28$69.28
ATM IV37.1%33.9%40.8%34.5%35.3%
Expected Move10.5%9.7%11.7%9.9%10.1%
HV 20d38.8%36.2%43.1%40.1%38.2%
HV 60d42.3%41.7%43.6%41.9%42.6%
IV Rank18.2%5.4%42.1%5.4%18.8%
IV Percentile27.6%3.2%63.9%5.2%14.7%
Term Structure-1.1%-3.1%3.0%3.0%1.4%
VWIV37.2%34.3%41.8%36.2%35.6%
Skew 25d1.6%-0.8%5.3%2.0%-0.8%
Skew 10d5.7%-2.6%22.2%10.3%18.6%
Call IV 25d36.5%33.7%41.6%34.5%36.1%
Put IV 25d38.1%34.7%43.4%36.5%35.3%
Bid-Ask Spread %56.5129.7882.7351.3871.10
Gamma HHI0.230.160.470.180.28
Net GEX1.4M-17.6K3.4M961.4K-17.6K
Net DEX-29.8M-51.1M-14.7M-18.1M-15.2M
Net VEX-182.9K-290.5K-135.0K-148.6K-284.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.088.940.900.31
Total Volume2,1424548,0411,2511,161
Total OI27,926.04822,03140,35924,71440,359

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-04-01$68.75$69.2834.5%9.9%40.1%5.4%36.2%2.0%3.0%961.4K-18.1M-148.6K0.9051.3866059118,4926,222
2021-04-05$71.02$69.2838.4%11.0%40.5%12.9%38.4%1.8%-0.3%1.4M-26.9M-152.9K0.5558.2659032318,4076,054
2021-04-06$70.69$69.2838.0%11.0%40.4%12.2%38.3%5.3%-2.4%1.4M-26.0M-156.6K0.2359.2978117919,0846,349
2021-04-07$69.96$69.2836.6%10.5%40.6%10.6%36.9%2.0%-0.6%1.2M-22.2M-150.2K1.0456.3122323119,2196,421
2021-04-08$71.61$69.2839.7%10.9%39.6%22.5%37.8%2.9%-3.1%1.6M-29.4M-154.6K0.2942.291,33338219,2486,580
2021-04-09$69.85$69.2835.4%10.3%37.8%12.0%37.9%1.7%-1.8%1.2M-21.3M-141.5K0.6356.0646629419,3166,776
2021-04-12$69.65$69.2838.4%10.2%37.8%19.6%37.4%2.1%-1.2%1.0M-19.5M-135.0K1.0958.1929832619,3817,005
2021-04-13$70.17$69.2837.1%10.1%37.2%16.3%34.7%1.8%-1.0%1.1M-21.2M-137.1K0.7329.7878257419,4397,143
2021-04-14$72.77$69.2837.1%10.6%38.5%16.3%37.9%2.3%-2.6%2.2M-34.4M-151.9K0.2552.371,87547619,6987,186
2021-04-15$74.04$69.2835.1%10.1%39.0%11.1%35.5%1.7%-1.4%3.4M-41.9M-156.4K1.0347.511,3981,43420,1907,317
2021-04-16$75.40$69.2834.4%9.9%38.9%9.2%34.3%1.6%-1.0%1.8M-51.1M-170.7K0.1552.042,04829820,2918,605
2021-04-19$73.98$69.2834.9%10.0%39.5%10.6%36.1%2.0%-1.7%1.5M-32.5M-162.8K0.7456.8899674015,7736,258
2021-04-20$70.57$69.2836.8%10.5%43.1%15.4%37.5%3.0%-3.1%933.8K-19.2M-156.2K0.8636.5771361216,1716,704
2021-04-21$71.37$69.2838.4%11.0%37.8%19.6%37.9%3.5%-2.6%989.1K-21.5M-163.4K0.1058.212,70028116,4667,209
2021-04-22$68.65$69.2838.1%10.9%40.4%23.8%39.0%1.1%-2.2%770.8K-14.7M-163.3K0.1655.143,04548317,4817,419
2021-04-23$70.66$69.2840.1%11.5%40.4%34.2%40.4%-0.4%-2.2%1.3M-35.6M-221.2K0.0866.845,12539520,0857,544
2021-04-26$71.91$69.2840.6%11.6%36.9%40.8%41.8%1.7%-1.4%1.8M-46.5M-252.0K0.4062.341,82573323,4197,745
2021-04-27$71.97$69.2840.8%11.7%36.2%42.1%39.0%-0.2%0.2%1.8M-46.4M-242.7K0.1582.731,54522723,9178,303
2021-04-28$72.26$69.2834.6%9.9%36.2%15.7%34.3%-0.3%0.4%2.0M-50.1M-248.5K8.9473.138097,23224,5518,483
2021-04-29$71.12$69.2833.9%9.7%36.8%12.6%35.0%-0.7%1.0%471.2K-32.4M-290.5K0.6860.2247532324,53415,603
2021-04-30$68.91$69.2835.3%10.1%38.2%18.8%35.6%-0.8%1.4%-17.6K-15.2M-284.4K0.3171.1088527624,65315,706