SCCO Options History — September 2021

In September 2021, SCCO traded between $55.69 and $61.81. ATM implied volatility averaged 35.3%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 4.3% (HV 20d: 31.0%). Max pain ranged from $59.38 to $64.33. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2021-09-16: Highest Volume — 2,546 contracts
  • 2021-09-20: Largest IV spike — 19.2% change
  • 2021-09-20: Highest IV Rank — 26.6%
  • 2021-09-20: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.92$55.69$61.81$61.08$55.69
Max Pain$60.80$59.38$64.33$64.33$59.38
ATM IV35.3%30.5%41.4%31.3%38.3%
Expected Move10.2%9.0%11.9%9.0%11.0%
HV 20d31.0%28.0%34.0%28.0%32.6%
HV 60d31.0%29.3%31.7%31.5%31.1%
IV Rank11.5%0.0%26.6%1.1%18.8%
IV Percentile24.5%0.0%75.0%1.2%53.6%
Term Structure2.7%0.8%4.2%2.3%1.4%
VWIV35.2%32.7%40.5%32.7%38.1%
Skew 25d2.6%1.3%4.6%1.5%3.3%
Skew 10d5.5%2.5%9.3%2.5%5.4%
Call IV 25d34.6%31.1%39.3%31.1%37.6%
Put IV 25d37.3%32.6%42.9%32.6%40.9%
Bid-Ask Spread %32.5110.5763.3929.5818.25
Gamma HHI0.180.160.220.160.21
Net GEX680.0K241.0K988.9K830.8K509.6K
Net DEX-2.9M-15.1M10.9M-9.9M6.2M
Net VEX-280.5K-308.2K-255.2K-303.9K-255.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.111.321.020.22
Total Volume1,157.3334572,5461,083847
Total OI34,163.47627,24338,60036,24131,272

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$61.08$64.3331.3%9.0%28.0%1.1%32.7%1.5%2.3%830.8K-9.9M-303.9K1.0229.5853554824,53711,704
2021-09-02$61.76$59.3831.8%9.6%28.4%2.4%33.2%2.4%3.6%911.4K-14.4M-308.2K0.4233.6245919224,68011,936
2021-09-03$61.81$59.3830.5%9.5%28.2%0.0%33.1%1.4%4.2%963.3K-14.8M-307.2K0.4333.0138916624,79511,915
2021-09-07$61.81$59.3834.8%9.8%28.2%10.3%33.7%1.9%3.4%988.9K-15.1M-302.0K0.3225.0967721624,98211,835
2021-09-08$59.45$59.3834.1%9.8%30.3%8.7%33.9%2.6%3.4%629.9K-815.3K-283.6K0.8614.7342336425,19111,859
2021-09-09$59.95$59.3833.8%9.7%30.5%7.9%33.8%2.4%3.6%729.8K-3.3M-286.8K0.4215.8079733225,62911,913
2021-09-10$61.38$59.3834.7%9.9%32.0%10.2%34.5%1.5%3.3%927.9K-11.9M-298.2K0.2249.121,91742425,62212,154
2021-09-13$60.79$64.3334.8%10.0%31.0%10.4%34.6%2.3%3.4%835.1K-7.4M-286.0K0.5227.7045723725,59812,222
2021-09-14$60.19$64.3334.4%9.9%28.9%9.4%34.6%1.3%3.3%813.8K-4.5M-284.3K0.9224.4074869126,22412,240
2021-09-15$61.68$64.3334.7%10.0%28.5%10.2%33.8%2.4%3.0%915.7K-11.9M-290.2K0.3363.3952417126,20712,348
2021-09-16$58.70$64.3334.2%9.8%33.5%9.0%35.1%2.2%3.4%645.0K5.7M-272.4K1.3258.291,0971,44926,15912,371
2021-09-17$57.99$64.3334.7%10.0%32.2%10.3%36.3%2.9%2.3%467.4K10.9M-263.6K1.2836.951,0231,31426,24412,356
2021-09-20$56.08$59.3841.4%11.9%34.0%26.6%40.5%3.7%0.8%327.3K5.4M-266.2K0.3929.571,55060017,22210,021
2021-09-21$55.85$59.3839.6%11.4%31.9%22.2%38.1%4.6%2.0%241.0K7.3M-266.3K0.9060.1270163317,59910,671
2021-09-22$56.28$59.3837.2%10.7%32.2%16.4%35.3%3.8%2.2%361.9K4.9M-271.6K0.3851.2683131818,42910,945
2021-09-23$56.58$59.3836.9%10.6%32.4%15.5%35.1%3.4%2.3%450.9K2.7M-264.2K0.1118.765986618,74510,651
2021-09-24$57.37$59.3833.3%9.5%32.4%6.8%33.6%3.3%3.3%550.6K-583.7K-268.5K0.1258.647819619,03910,624
2021-09-27$58.66$59.3834.5%9.9%31.7%9.7%34.7%3.1%2.7%744.0K-7.1M-274.9K0.3110.5770422119,32910,645
2021-09-28$57.60$59.3836.9%10.6%32.1%15.6%37.3%2.2%1.0%756.1K-3.5M-273.1K0.9111.9539235919,82310,684
2021-09-29$56.69$59.3838.9%11.1%32.3%20.3%37.5%3.4%1.4%679.7K906.2K-264.8K0.6211.9028217520,23110,782
2021-09-30$55.69$59.3838.3%11.0%32.6%18.8%38.1%3.3%1.4%509.6K6.2M-255.2K0.2218.2569215520,18211,090