SCCO Options History — July 2021

In July 2021, SCCO traded between $59.79 and $66.83. ATM implied volatility averaged 37.0%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 3.8% (HV 20d: 33.1%). Max pain ranged from $64.33 to $64.33. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.14.

Notable Days

  • 2021-07-09: Highest Volume — 4,597 contracts
  • 2021-07-06: Largest IV spike — 15.7% change
  • 2021-07-12: Highest IV Rank — 23.5%
  • 2021-07-19: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.17$59.79$66.83$62.48$64.82
Max Pain$64.33$64.33$64.33$64.33$64.33
ATM IV37.0%33.1%40.4%34.9%36.0%
Expected Move10.5%9.5%11.1%10.0%10.3%
HV 20d33.1%30.0%36.0%35.6%35.7%
HV 60d40.8%40.0%41.8%41.3%40.4%
IV Rank15.0%5.4%23.5%10.0%12.7%
IV Percentile30.9%1.2%59.9%9.5%23.8%
Term Structure-0.1%-3.4%2.9%2.5%0.4%
VWIV37.2%34.2%39.3%36.0%36.2%
Skew 25d1.6%-0.1%2.7%-0.1%1.9%
Skew 10d4.2%1.4%16.6%3.4%13.0%
Call IV 25d36.4%34.1%38.0%36.2%35.6%
Put IV 25d38.0%34.8%40.4%36.1%37.6%
Bid-Ask Spread %32.979.7759.799.7754.80
Gamma HHI0.210.120.480.240.15
Net GEX-566.2K-2.5M1.4M-2.0M1.1M
Net DEX-4.1M-44.0M27.0M18.7M-30.8M
Net VEX-371.7K-438.7K-329.7K-435.6K-351.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.145.300.471.24
Total Volume2,080.812574,5971,4961,924
Total OI54,291.38138,32768,64865,59542,468

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-07-01$62.48$64.3334.9%10.0%35.6%10.0%36.0%-0.1%2.5%-2.0M18.7M-435.6K0.479.771,01947737,21728,378
2021-07-02$63.48$64.3333.1%9.5%34.6%5.4%34.2%0.7%2.9%-1.6M5.9M-438.7K1.1315.1887198337,41628,600
2021-07-06$61.77$64.3338.2%11.0%32.9%18.1%38.7%1.7%-1.2%-2.4M27.0M-408.2K0.6726.861,30488037,49428,525
2021-07-07$63.22$64.3336.6%10.8%34.0%14.2%38.2%1.6%-0.9%-2.0M10.7M-411.8K0.6643.4499865737,17328,353
2021-07-08$62.00$64.3338.1%10.9%32.8%17.8%39.3%1.5%-0.2%-2.5M24.7M-398.8K5.3051.416273,32737,11028,390
2021-07-09$64.43$64.3336.4%10.7%36.0%13.7%37.3%0.9%-0.7%-1.6M-4.5M-405.6K2.0522.501,5053,09237,23428,668
2021-07-12$64.34$64.3340.4%10.6%36.0%23.5%37.4%1.0%0.8%-1.9M-4.3M-384.3K1.1110.241,6141,79237,50830,218
2021-07-13$63.73$64.3340.3%10.6%35.6%23.1%37.7%1.5%-0.5%-2.3M3.0M-379.7K2.5315.656461,63438,14530,503
2021-07-14$63.15$64.3336.1%10.4%32.8%13.0%36.8%1.5%0.5%-2.2M9.9M-367.0K1.4114.9559684138,22129,853
2021-07-15$63.19$64.3336.1%10.4%32.6%13.0%38.2%1.4%0.2%-1.8M11.5M-358.2K1.1715.458881,04037,96029,873
2021-07-16$60.98$64.3338.5%11.0%30.0%18.8%38.5%2.5%-3.4%478.8K19.3M-338.3K1.2747.141,0231,29737,76628,442
2021-07-19$59.79$64.3338.8%11.1%30.9%19.6%38.8%2.4%-0.7%284.1K721.1K-329.7K0.309.821,92556925,11913,208
2021-07-20$61.30$64.3337.7%10.8%30.2%16.9%36.8%2.7%-1.1%478.1K-7.5M-348.1K0.1425.511,13315625,86913,502
2021-07-21$63.05$64.3336.6%10.5%31.5%14.1%36.9%2.2%0.1%727.8K-18.4M-360.0K0.6159.7988654026,55213,559
2021-07-22$62.69$64.3336.6%10.5%31.3%14.1%36.9%1.3%0.6%711.5K-16.5M-356.3K0.6859.0015310426,93213,813
2021-07-23$62.37$64.3336.3%10.4%31.1%13.3%36.8%1.8%0.4%658.3K-13.5M-343.1K1.2045.9939747726,95213,861
2021-07-26$64.21$64.3338.5%11.0%32.6%18.7%38.4%1.7%-2.3%904.0K-25.6M-349.5K0.7147.701,5611,11226,95213,861
2021-07-27$64.12$64.3337.5%10.8%32.6%16.3%37.5%1.6%-1.2%843.2K-24.5M-345.2K0.5053.1370235226,97214,058
2021-07-28$64.66$64.3335.0%10.0%32.7%10.3%35.6%1.8%0.4%963.2K-28.1M-347.8K0.3435.031,52051127,26914,301
2021-07-29$66.83$64.3334.6%9.9%34.5%9.3%34.4%2.7%0.5%1.4M-44.0M-347.2K0.5429.091,66789727,52614,298
2021-07-30$64.82$64.3336.0%10.3%35.7%12.7%36.2%1.9%0.4%1.1M-30.8M-351.5K1.2454.808591,06528,10814,360