SCCO Options History — October 2021

In October 2021, SCCO traded between $55.69 and $65.64. ATM implied volatility averaged 36.5%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 2.3% (HV 20d: 34.3%). Max pain ranged from $59.38 to $59.38. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.36.

Notable Days

  • 2021-10-15: Highest Volume — 9,163 contracts
  • 2021-10-11: Largest IV spike — 16.1% change
  • 2021-10-04: Highest IV Rank — 25.4%
  • 2021-10-04: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.70$55.69$65.64$56.36$59.36
Max Pain$59.38$59.38$59.38$59.38$59.38
ATM IV36.5%33.8%40.9%37.6%35.1%
Expected Move10.6%9.8%11.8%10.8%10.1%
HV 20d34.3%30.1%41.0%32.7%41.0%
HV 60d31.7%29.5%34.2%31.0%34.2%
IV Rank14.6%8.0%25.4%17.2%11.1%
IV Percentile36.5%9.9%71.4%49.2%21.8%
Term Structure-1.2%-2.6%1.7%1.7%-1.0%
VWIV36.6%34.6%40.6%36.5%34.9%
Skew 25d2.6%0.7%3.9%3.9%0.7%
Skew 10d5.9%-0.1%24.8%6.4%-0.1%
Call IV 25d35.6%33.9%38.7%35.3%34.7%
Put IV 25d38.2%35.4%42.3%39.2%35.4%
Bid-Ask Spread %33.898.5458.5339.6711.29
Gamma HHI0.240.190.370.220.20
Net GEX1.4M516.2K2.2M574.3K1.0M
Net DEX-22.8M-67.5M6.7M3.9M-8.0M
Net VEX-284.2K-320.0K-249.8K-257.8K-278.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.040.930.210.36
Total Volume2,503.0484989,1634982,527
Total OI34,615.04831,20637,22631,39737,226

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-10-01$56.36$59.3837.6%10.8%32.7%17.2%36.5%3.9%1.7%574.3K3.9M-257.8K0.2139.674128620,22811,169
2021-10-04$56.03$59.3840.9%11.8%32.6%25.4%39.3%3.6%-1.5%532.7K5.1M-255.2K0.0447.582,6069720,33311,227
2021-10-05$55.76$59.3839.0%11.4%32.6%20.6%38.5%3.7%-1.8%516.2K6.7M-249.8K0.9011.0748043220,54211,271
2021-10-06$55.69$59.3839.1%11.4%30.1%20.9%40.6%2.3%-1.7%728.6K4.7M-259.0K0.9341.9047544122,25711,319
2021-10-07$57.74$59.3835.3%11.1%33.0%11.7%37.5%2.9%-1.9%1.2M-7.8M-280.9K0.1338.362,48131022,48911,570
2021-10-08$57.97$59.3833.8%10.8%31.7%8.0%37.2%3.9%-1.3%1.2M-7.8M-274.5K0.2110.391,06421822,44011,654
2021-10-11$58.61$59.3839.2%11.0%31.9%21.3%37.8%3.9%-1.5%1.3M-10.0M-266.6K0.3155.781,76654121,71911,737
2021-10-12$58.22$59.3837.8%10.5%31.8%17.7%37.0%2.6%-0.6%1.3M-6.8M-266.7K0.719.2192765722,05011,873
2021-10-13$58.93$59.3836.4%10.4%30.8%14.2%37.0%2.7%-0.8%1.6M-13.2M-275.1K0.2046.741,37627722,53111,902
2021-10-14$62.09$59.3834.1%9.8%31.3%8.7%34.6%1.6%-0.5%1.7M-35.5M-281.5K0.2258.535,1821,12322,25212,401
2021-10-15$65.64$59.3836.2%10.4%35.9%13.9%36.9%2.3%-0.9%1.3M-67.5M-289.9K0.1124.978,28787623,16212,464
2021-10-18$64.39$59.3836.6%10.5%34.1%14.8%36.5%2.5%-1.9%1.5M-40.8M-288.7K0.2233.082,15848220,00911,197
2021-10-19$65.32$59.3836.1%10.4%33.9%13.7%36.5%2.4%-1.6%2.1M-49.6M-312.9K0.2338.7593521423,31711,430
2021-10-20$64.97$59.3835.1%10.1%34.2%11.3%34.9%2.4%-0.7%2.1M-48.8M-320.0K0.3032.781,76953524,28111,683
2021-10-21$63.73$59.3835.2%10.1%35.5%11.3%35.5%2.9%-0.6%1.9M-38.3M-313.2K0.2856.582,14359424,15411,800
2021-10-22$63.46$59.3835.3%10.1%35.6%11.6%34.6%2.3%-0.4%1.9M-38.0M-313.6K0.3228.931,82058224,64011,803
2021-10-25$64.90$59.3837.0%10.6%35.6%15.8%37.0%1.3%-2.4%2.2M-49.0M-310.2K0.4738.661,63976324,44511,950
2021-10-26$63.95$59.3835.7%10.2%35.3%12.6%35.6%1.9%-1.1%2.0M-41.4M-302.6K0.578.541,23370524,52012,009
2021-10-27$60.65$59.3835.8%10.3%40.3%12.8%35.1%2.4%-1.8%1.3M-17.0M-285.0K0.3047.542,24266424,61412,133
2021-10-28$61.02$59.3835.7%10.2%39.6%12.5%35.0%2.2%-2.6%1.4M-19.4M-286.5K0.6231.4089155424,81412,301
2021-10-29$59.36$59.3835.1%10.1%41.0%11.1%34.9%0.7%-1.0%1.0M-8.0M-278.4K0.3611.291,86466324,86812,358