SCCO Options History — June 2021

In June 2021, SCCO traded between $58.92 and $70.93. ATM implied volatility averaged 45.1%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 2.5% (HV 20d: 42.6%). Max pain ranged from $64.33 to $69.28. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.07.

Notable Days

  • 2021-06-07: Highest Volume — 19,385 contracts
  • 2021-06-07: Largest IV drop — 18.4% change
  • 2021-06-01: Highest IV Rank — 100.0%
  • 2021-06-01: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.82$58.92$70.93$70.93$63.68
Max Pain$67.93$64.33$69.28$69.28$64.33
ATM IV45.1%36.0%71.5%59.5%36.0%
Expected Move12.2%10.3%17.1%17.1%10.3%
HV 20d42.6%36.6%50.7%50.6%36.6%
HV 60d42.4%41.2%43.2%42.2%41.2%
IV Rank38.5%12.6%100.0%100.0%12.6%
IV Percentile60.1%21.0%100.0%100.0%21.8%
Term Structure-0.2%-11.7%3.6%-10.9%1.9%
VWIV44.0%36.9%62.2%62.2%36.9%
Skew 25d0.2%-0.9%1.6%-0.9%0.7%
Skew 10d0.2%-4.3%3.8%-4.3%3.8%
Call IV 25d43.9%36.7%62.4%62.4%36.7%
Put IV 25d44.1%37.3%61.4%61.4%37.3%
Bid-Ask Spread %41.4116.1872.8770.0327.10
Gamma HHI0.330.190.700.250.21
Net GEX-3.9M-11.6M133.8K8.4K-1.4M
Net DEX48.2M-28.3M200.6M-28.3M4.3M
Net VEX-518.1K-642.2K-423.8K-571.9K-454.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.293.001.250.33
Total Volume7,502.45587819,38512,617878
Total OI84,498.09160,542106,86673,66565,458

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-06-01$70.93$69.2859.5%17.1%50.6%100.0%62.2%-0.9%-10.9%8.4K-28.3M-571.9K1.2570.035,6037,01438,88734,778
2021-06-02$70.88$69.2858.5%16.8%50.6%96.6%59.7%-0.3%-11.7%-207.1K-25.6M-591.5K0.4372.876,9932,97340,44938,282
2021-06-03$68.65$69.2864.2%14.1%49.7%100.0%51.0%0.7%-2.2%-571.3K192.3K-610.5K1.5454.134,4826,91743,88839,614
2021-06-04$70.50$69.2871.5%14.7%50.7%100.0%52.5%1.0%-3.7%133.8K-26.2M-642.2K0.6747.179,9106,66246,43543,797
2021-06-07$67.61$69.2858.3%13.2%48.2%67.6%47.3%0.4%-1.2%-2.7M33.0M-594.1K0.3650.3414,2365,14949,38648,845
2021-06-08$68.26$69.2853.3%12.8%44.5%55.1%45.5%0.5%-0.2%-3.6M28.1M-579.6K0.4849.463,8751,86644,50451,418
2021-06-09$66.05$69.2844.9%12.9%44.6%34.5%45.4%1.2%-0.2%-5.4M66.2M-564.2K1.1255.572,4442,74244,57652,353
2021-06-10$66.15$69.2844.9%12.9%43.6%34.4%46.8%-0.8%-0.4%-5.7M67.9M-589.2K0.3237.504,4641,44245,56655,606
2021-06-11$66.21$69.2839.0%11.2%43.5%20.1%40.6%-0.7%1.3%-7.1M63.6M-553.4K1.1655.022,7383,17347,23555,723
2021-06-14$65.03$69.2840.3%11.5%43.7%23.1%41.4%0.1%0.8%-8.9M85.8M-523.7K0.8729.102,4252,10448,12655,209
2021-06-15$62.56$69.2841.3%11.8%43.0%25.6%42.1%0.6%1.0%-9.7M135.5M-491.7K2.1038.493,8678,12648,86454,853
2021-06-16$61.93$69.2841.1%11.8%42.9%25.2%43.8%-0.1%0.6%-9.7M145.8M-488.2K1.1559.422,6143,00250,27656,164
2021-06-17$58.92$69.2840.6%11.6%37.1%24.0%42.1%0.2%1.6%-8.3M198.2M-423.8K3.0043.423,48310,44250,80055,419
2021-06-18$58.98$69.2839.6%11.4%37.0%21.6%41.4%0.5%2.3%-11.6M200.6M-441.8K1.4350.713,0204,31752,06154,805
2021-06-21$60.82$69.2838.6%11.1%39.0%18.9%40.6%-0.6%2.8%-2.1M37.6M-456.9K0.5138.723,0751,56432,20328,339
2021-06-22$61.68$69.2837.3%10.7%39.3%15.8%38.3%-0.3%3.6%-1.8M28.4M-466.8K1.0716.951,4971,59933,86028,970
2021-06-23$62.34$64.3337.4%10.7%39.4%16.1%38.2%-0.6%1.6%-1.6M20.6M-476.5K0.6016.182,1011,25834,53729,180
2021-06-24$63.07$64.3336.8%10.5%39.7%14.6%37.6%0.1%1.8%-1.6M14.7M-472.8K0.2918.361,33338034,81729,432
2021-06-25$63.76$64.3336.0%10.3%38.3%12.6%37.3%0.5%2.6%-1.4M8.6M-472.7K1.0526.851,7491,82835,21029,393
2021-06-28$63.87$64.3336.9%10.6%38.1%14.8%39.1%1.6%2.3%-1.4M5.1M-464.1K2.9826.372,1606,44835,45229,431
2021-06-29$64.19$64.3336.4%10.4%36.6%13.6%38.6%1.1%1.3%-1.1M-2.7M-466.9K0.8927.161,6451,45636,68028,077
2021-06-30$63.68$64.3336.0%10.3%36.6%12.6%36.9%0.7%1.9%-1.4M4.3M-454.5K0.3327.1066021837,10928,349