SCCO Options History — May 2021

In May 2021, SCCO traded between $66.34 and $80.85. ATM implied volatility averaged 44.8%, placing in the 58.9% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 0.5% (HV 20d: 45.3%). Max pain ranged from $64.33 to $74.23. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.69.

Notable Days

  • 2021-05-10: Highest Volume — 18,503 contracts
  • 2021-05-10: Largest IV spike — 16.7% change
  • 2021-05-28: Highest IV Rank — 88.9%
  • 2021-05-28: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.45$66.34$80.85$68.96$69.13
Max Pain$69.03$64.33$74.23$69.28$69.28
ATM IV44.8%35.2%51.9%35.2%51.9%
Expected Move12.9%10.1%14.9%10.1%14.9%
HV 20d45.3%36.2%52.1%36.2%49.8%
HV 60d44.7%42.0%46.9%42.4%42.3%
IV Rank58.9%18.5%88.9%18.5%88.9%
IV Percentile74.9%12.7%99.6%12.7%99.6%
Term Structure-1.6%-6.8%3.4%1.7%-6.8%
VWIV46.6%36.9%56.2%36.9%56.2%
Skew 25d-0.3%-2.7%1.1%0.1%-2.7%
Skew 10d0.9%-4.4%9.8%9.8%-4.4%
Call IV 25d46.9%37.1%56.1%37.1%56.1%
Put IV 25d46.6%37.0%53.4%37.2%53.4%
Bid-Ask Spread %69.6659.3276.7562.3976.75
Gamma HHI0.250.170.390.290.29
Net GEX101.2K-3.4M2.8M-44.6K-764.7K
Net DEX-36.1M-121.4M32.7M-17.4M-3.4M
Net VEX-445.5K-530.1K-288.0K-288.0K-504.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.690.3211.791.040.66
Total Volume7,609.653,03618,5038,7207,331
Total OI65,117.940,99580,94340,99569,312

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-05-03$68.96$69.2835.2%10.1%36.2%18.5%36.9%0.1%1.7%-44.6K-17.4M-288.0K1.0462.394,2704,45025,11915,876
2021-05-04$68.86$69.2836.7%10.5%36.2%24.5%37.7%-0.7%2.0%396.7K-24.3M-323.1K6.4276.749315,97027,90516,680
2021-05-05$71.72$69.2835.5%10.2%38.9%19.5%38.2%-0.9%3.4%838.8K-48.4M-331.8K11.7973.781,25414,78228,29618,661
2021-05-06$72.06$64.3336.8%11.2%38.1%25.1%41.2%1.0%-0.9%-549.8K-44.9M-361.5K1.2071.111,3801,65628,58026,972
2021-05-07$76.11$64.3337.3%11.4%41.5%27.3%40.9%-0.0%-0.9%2.2M-88.7M-341.7K0.7074.999,9246,98728,94627,503
2021-05-10$79.70$69.2843.6%12.6%43.9%53.6%44.6%-2.0%-1.7%2.8M-116.6M-387.6K0.6369.5011,3707,13329,50930,158
2021-05-11$80.85$69.2845.0%13.0%44.0%59.6%46.8%0.8%-0.7%2.6M-121.4M-437.9K0.9172.474,4434,05432,04632,754
2021-05-12$77.94$69.2847.9%13.7%45.2%71.8%49.6%-0.1%-1.4%1.4M-87.5M-489.4K0.4467.014,0181,78233,53034,709
2021-05-13$76.48$69.2848.0%13.8%45.5%72.5%49.1%0.6%-1.6%1.1M-74.2M-530.0K0.3766.264,0481,49735,63735,929
2021-05-14$75.47$69.2844.9%12.9%45.4%59.3%44.8%0.4%-1.2%903.0K-60.8M-517.9K0.7669.274,8133,67035,87936,614
2021-05-17$77.52$69.2846.8%13.4%45.7%67.2%48.5%-0.4%-2.1%1.6M-88.7M-530.1K0.3267.153,05198337,75538,602
2021-05-18$76.09$69.2847.0%13.5%42.6%68.1%48.3%-0.1%-2.5%1.7M-72.9M-528.2K0.4164.492,27993438,91938,864
2021-05-19$70.15$74.2349.4%14.2%52.1%78.5%51.7%-0.5%-2.5%-2.0M12.7M-506.2K0.6167.805,2443,19639,24839,227
2021-05-20$70.42$69.2847.2%13.5%50.1%69.0%49.1%-0.7%-1.1%-1.8M4.8M-509.5K0.6568.512,0731,35740,48639,582
2021-05-21$68.71$69.2847.6%13.6%49.8%70.7%49.4%-1.8%-1.7%-3.4M32.7M-492.2K0.9366.651,8801,75241,14039,803
2021-05-24$67.41$69.2848.2%13.8%49.7%73.3%49.8%-0.1%-2.6%-1.0M16.8M-452.7K0.8073.623,8073,03734,72727,813
2021-05-25$66.34$69.2848.6%13.9%49.8%74.8%49.6%-0.9%-3.2%-1.6M30.1M-440.9K1.3170.382,0192,64734,43728,872
2021-05-26$66.57$69.2848.3%13.8%49.8%73.6%49.5%1.1%-2.5%-1.6M27.3M-447.4K2.0374.972,2594,58835,24029,754
2021-05-27$68.51$69.2850.2%14.4%50.9%81.9%50.9%0.2%-5.5%-874.8K2.6M-490.0K1.7359.321,9483,37635,73231,542
2021-05-28$69.13$69.2851.9%14.9%49.8%88.9%56.2%-2.7%-6.8%-764.7K-3.4M-504.2K0.6676.754,4142,91736,52732,785