SCCO Options History — November 2021

In November 2021, SCCO traded between $57.28 and $61.61. ATM implied volatility averaged 36.8%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 3.8% (HV 20d: 40.6%). 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 3 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2021-11-08: Highest Volume — 9,345 contracts
  • 2021-11-26: Largest IV spike — 15.9% change
  • 2021-11-26: Highest IV Rank — 28.5%
  • 2021-11-26: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.15$57.28$61.61$59.94$58.14
Max Pain$59.38$59.38$59.38$59.38$59.38
ATM IV36.8%34.3%42.2%35.5%40.7%
Expected Move10.5%9.9%12.1%10.2%11.7%
HV 20d40.6%36.7%45.5%41.0%38.0%
HV 60d35.7%34.2%37.1%34.2%37.1%
IV Rank15.4%9.3%28.5%12.1%24.8%
IV Percentile42.6%12.3%81.0%29.0%74.2%
Term Structure-1.2%-3.8%0.4%-1.4%-3.8%
VWIV37.9%35.0%43.1%35.6%41.5%
Skew 25d-0.1%-2.5%2.2%0.5%0.9%
Skew 10d1.4%-4.9%13.7%4.6%2.7%
Call IV 25d38.1%35.4%42.8%35.9%41.1%
Put IV 25d38.0%34.6%44.2%36.4%42.0%
Bid-Ask Spread %45.1312.2167.3632.7744.64
Gamma HHI0.250.210.300.210.24
Net GEX1.6M877.8K2.7M1.2M1.1M
Net DEX-12.0M-37.7M-628.6K-12.3M-4.9M
Net VEX-293.8K-337.0K-268.4K-280.6K-271.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.200.720.720.44
Total Volume2,997.6671,3529,3453,2171,352
Total OI41,532.14335,77545,24738,21538,062

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$59.94$59.3835.5%10.2%41.0%12.1%35.6%0.5%-1.4%1.2M-12.3M-280.6K0.7232.771,8711,34625,70612,509
2021-11-02$59.58$59.3835.0%10.0%41.0%11.0%35.8%0.1%-0.9%1.2M-9.4M-279.9K0.4512.211,58471726,52312,971
2021-11-03$58.69$59.3836.5%10.5%41.5%14.7%37.6%-0.8%-0.6%1.1M-5.5M-280.7K0.4037.742,9601,17727,28513,059
2021-11-04$58.17$59.3836.6%10.0%39.7%14.8%36.3%-1.1%-0.8%954.2K-1.6M-281.2K0.4136.101,41358328,28013,598
2021-11-05$58.76$59.3834.3%10.0%39.9%9.3%37.3%-2.5%-0.4%1.1M-5.0M-283.3K0.3126.371,56748128,38313,724
2021-11-08$61.03$59.3836.7%10.7%41.9%15.2%38.6%-1.8%-1.2%2.0M-26.7M-301.2K0.2152.837,7191,62628,87913,809
2021-11-09$59.17$59.3838.4%10.8%43.4%19.2%39.1%-1.0%-1.7%1.6M-13.1M-318.6K0.6760.691,46198229,71914,153
2021-11-10$57.53$59.3837.3%10.7%44.3%16.5%39.0%-0.6%-0.5%1.2M-628.6K-298.5K0.5650.781,7961,00229,86814,087
2021-11-11$61.06$59.3837.5%10.8%45.5%17.0%39.4%-0.6%-1.8%2.4M-32.2M-336.6K0.2755.953,68898630,57114,179
2021-11-12$61.61$59.3836.4%10.4%40.6%14.4%37.7%-0.3%-1.3%2.7M-37.7M-337.0K0.4413.171,81980831,10213,831
2021-11-15$60.16$59.3837.4%10.7%40.9%16.8%39.2%-0.1%-1.9%2.2M-23.7M-316.1K0.3456.781,92066031,07313,960
2021-11-16$60.00$59.3835.7%10.2%40.4%12.5%36.5%0.3%-0.0%2.2M-20.7M-310.2K0.2064.382,43949531,10313,963
2021-11-17$58.94$59.3835.0%10.0%40.6%10.8%36.7%0.0%0.1%1.3M-1.5M-288.8K0.3229.641,86560031,14914,098
2021-11-18$59.30$59.3834.6%9.9%40.4%10.1%35.0%0.8%0.2%2.3M-13.0M-295.1K0.2967.362,29066931,18814,002
2021-11-19$59.13$59.3834.7%9.9%40.4%10.2%35.6%-0.2%0.4%2.3M-7.6M-286.5K0.4349.042,9211,26330,73214,018
2021-11-22$57.49$59.3837.4%10.7%40.1%16.7%38.1%0.6%-2.0%877.8K-2.3M-268.4K0.3555.542,73795424,29011,485
2021-11-23$58.60$59.3836.1%10.3%41.0%13.5%36.9%0.6%-0.3%1.3M-10.9M-286.4K0.3730.641,62060725,43311,873
2021-11-24$58.82$59.3836.4%10.4%36.7%14.3%37.6%0.2%-1.7%1.4M-11.8M-291.6K0.3556.691,36447625,67612,083
2021-11-26$57.28$59.3842.2%12.1%37.6%28.5%43.1%1.5%-2.7%972.0K-2.4M-279.5K0.3762.561,26547425,65012,198
2021-11-29$58.85$59.3839.2%11.3%37.9%21.3%39.8%2.2%-2.3%1.3M-9.3M-277.8K0.4751.8894544925,64612,257
2021-11-30$58.14$59.3840.7%11.7%38.0%24.8%41.5%0.9%-3.8%1.1M-4.9M-271.3K0.4444.6494141125,73312,329