SCCO Options History — August 2021

In August 2021, SCCO traded between $60.28 and $66.41. ATM implied volatility averaged 33.8%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 3.6% (HV 20d: 30.2%). Max pain ranged from $64.33 to $64.33. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.50.

Notable Days

  • 2021-08-10: Highest Volume — 7,493 contracts
  • 2021-08-11: Largest IV spike — 8.3% change
  • 2021-08-19: Highest IV Rank — 15.7%
  • 2021-08-19: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.26$60.28$66.41$64.15$61.66
Max Pain$64.33$64.33$64.33$64.33$64.33
ATM IV33.8%31.0%37.3%37.1%32.5%
Expected Move9.7%8.9%10.7%10.6%9.3%
HV 20d30.2%27.1%35.6%35.6%28.1%
HV 60d34.8%31.6%40.4%40.4%31.6%
IV Rank7.3%0.4%15.7%15.4%4.0%
IV Percentile9.7%0.4%38.5%36.1%2.4%
Term Structure1.5%-0.9%2.7%-0.9%1.8%
VWIV34.6%31.9%38.0%38.0%32.7%
Skew 25d1.6%0.4%2.6%1.1%1.7%
Skew 10d4.9%0.3%16.5%16.5%2.4%
Call IV 25d34.2%31.3%37.5%37.5%31.3%
Put IV 25d35.8%32.8%39.2%38.6%33.0%
Bid-Ask Spread %28.265.1555.4123.6148.83
Gamma HHI0.180.130.280.160.16
Net GEX1.0M-460.8K2.2M999.8K892.7K
Net DEX-20.9M-44.9M2.2M-25.4M-13.7M
Net VEX-330.5K-358.1K-306.3K-344.1K-310.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.051.090.521.09
Total Volume1,535.7274447,4931,155702
Total OI41,841.27333,14245,85442,66536,133

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$64.15$64.3337.1%10.6%35.6%15.4%38.0%1.1%-0.9%999.8K-25.4M-344.1K0.5223.6175939628,20514,460
2021-08-03$64.77$64.3336.3%10.4%34.1%13.4%36.0%1.9%-0.0%1.1M-29.8M-347.7K0.1549.753,08446628,45615,207
2021-08-04$64.07$64.3336.2%10.4%33.5%13.2%37.1%2.2%-0.0%997.6K-24.2M-348.9K0.3542.4355519628,70815,326
2021-08-05$64.21$64.3335.5%10.2%32.6%11.5%35.6%0.4%0.6%1.0M-26.0M-344.7K0.3523.0366223029,52515,578
2021-08-06$64.68$64.3333.0%9.8%29.7%5.3%34.4%0.7%1.8%1.2M-29.2M-343.3K0.2414.3571716929,60215,583
2021-08-09$64.59$64.3333.4%9.7%29.7%6.1%33.8%0.5%1.3%1.3M-28.6M-333.5K0.4321.501,17951129,77115,659
2021-08-10$65.52$64.3331.6%9.7%29.8%1.8%34.1%1.1%1.7%1.9M-36.3M-330.1K0.0515.867,14834529,84115,590
2021-08-11$65.86$64.3334.2%9.8%29.6%8.3%34.7%1.7%1.4%1.8M-39.3M-357.6K0.4320.571,17450429,73415,838
2021-08-12$65.16$64.3333.4%9.6%29.9%6.3%34.3%1.1%2.5%1.7M-33.0M-358.1K0.5833.5577244830,02915,811
2021-08-13$66.41$64.3333.2%9.5%27.1%5.7%32.8%2.3%1.7%2.2M-44.9M-355.2K0.3337.1468522530,32215,532
2021-08-16$64.13$64.3334.4%9.9%29.3%8.6%34.8%1.5%1.5%1.5M-25.2M-339.4K0.5334.7874939430,05615,353
2021-08-17$62.18$64.3334.8%10.0%30.6%9.6%36.2%2.5%1.6%703.2K-9.4M-326.7K0.6420.0889657630,05215,305
2021-08-18$62.07$64.3334.7%9.9%28.8%9.3%35.3%1.9%1.4%642.0K-8.4M-322.9K0.9255.4147243330,10515,320
2021-08-19$60.28$64.3337.3%10.7%30.5%15.7%37.0%2.6%0.4%-460.8K2.2M-309.2K0.7045.201,02471929,98615,299
2021-08-20$60.34$64.3334.7%9.9%30.5%9.3%35.3%1.6%1.2%264.6K34.1K-306.3K0.3524.3294733230,06715,241
2021-08-23$62.04$64.3332.9%9.4%30.3%4.9%33.5%1.3%1.8%516.0K-12.8M-312.2K0.3914.111,75267521,87811,264
2021-08-24$62.22$64.3331.8%9.1%30.4%2.4%32.3%2.4%2.7%558.1K-14.4M-312.5K0.2417.3888521222,36011,433
2021-08-25$61.92$64.3331.7%9.1%30.2%2.1%33.3%2.1%2.7%802.5K-15.4M-317.1K0.6539.7039125523,40911,266
2021-08-26$60.68$64.3333.5%9.6%27.7%6.5%34.5%2.6%1.8%740.4K-9.4M-312.7K0.518.2855828424,07111,371
2021-08-27$62.43$64.3331.0%8.9%28.3%0.4%31.9%1.1%2.6%977.9K-18.9M-323.5K1.095.1541244924,13111,505
2021-08-30$62.36$64.3331.1%8.9%28.2%0.4%32.9%1.5%2.6%953.1K-18.0M-315.6K0.5426.7628915524,36411,762
2021-08-31$61.66$64.3332.5%9.3%28.1%4.0%32.7%1.7%1.8%892.7K-13.7M-310.1K1.0948.8333636624,44611,687