SCCO Options History — December 2021

In December 2021, SCCO traded between $56.46 and $61.18. ATM implied volatility averaged 37.0%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 5.6% (HV 20d: 31.4%). Max pain ranged from $59.38 to $59.38. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.53.

Notable Days

  • 2021-12-16: Highest Volume — 3,380 contracts
  • 2021-12-07: Largest IV drop — 13.5% change
  • 2021-12-06: Highest IV Rank — 37.5%
  • 2021-12-03: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.92$56.46$61.18$57.21$61.18
Max Pain$59.38$59.38$59.38$59.38$59.38
ATM IV37.0%30.5%45.9%42.0%30.6%
Expected Move10.2%8.7%12.9%12.1%8.8%
HV 20d31.4%25.6%39.2%38.3%26.9%
HV 60d35.8%34.3%37.2%37.2%35.6%
IV Rank15.9%0.0%37.5%28.1%0.2%
IV Percentile41.4%0.0%88.1%80.6%1.2%
Term Structure2.1%-4.4%4.9%-3.4%4.3%
VWIV35.8%30.3%47.0%43.0%30.3%
Skew 25d1.5%0.2%3.5%0.2%2.0%
Skew 10d2.7%0.2%5.4%2.1%2.3%
Call IV 25d35.4%29.7%45.3%42.7%29.7%
Put IV 25d36.8%31.7%45.9%42.9%31.7%
Bid-Ask Spread %34.625.9870.1145.0538.79
Gamma HHI0.220.180.300.220.22
Net GEX971.0K219.2K2.0M887.3K1.0M
Net DEX-8.4M-19.6M7.3M-245.1K-19.5M
Net VEX-237.7K-267.2K-215.7K-264.9K-217.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.210.850.410.71
Total Volume1,748.4091,0393,3801,7541,120
Total OI33,140.36424,22538,32938,10826,884

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-12-01$57.21$59.3842.0%12.1%38.3%28.1%43.0%0.2%-3.4%887.3K-245.1K-264.9K0.4145.051,24650825,71412,394
2021-12-02$58.00$59.3840.7%11.7%38.3%24.9%42.3%0.9%-2.7%1.0M-3.5M-266.6K0.2970.101,13032925,55612,499
2021-12-03$57.03$59.3845.1%12.9%38.7%35.5%47.0%0.6%-4.4%842.9K401.4K-263.2K0.2669.851,10329025,29112,504
2021-12-06$58.17$59.3845.9%10.8%39.2%37.5%37.4%3.5%2.1%1.1M-4.7M-259.0K0.4770.1198746025,24712,523
2021-12-07$59.20$59.3839.7%10.6%37.2%22.4%37.1%1.1%-0.3%1.5M-10.6M-261.0K0.2147.891,84439625,14712,553
2021-12-08$59.91$59.3839.3%10.4%35.8%21.4%36.4%1.0%1.7%1.8M-16.7M-267.2K0.5230.8694248725,87612,450
2021-12-09$60.40$59.3838.6%10.1%34.2%19.7%34.9%1.5%3.0%2.0M-19.6M-259.5K0.5929.2990053325,88112,386
2021-12-10$59.93$59.3837.7%9.9%26.9%17.6%34.7%1.2%2.4%1.8M-15.6M-254.4K0.7623.681,19991225,89712,357
2021-12-13$59.27$59.3841.3%10.1%26.8%26.3%35.0%1.0%2.7%1.6M-10.0M-238.1K0.5817.261,06161725,84112,201
2021-12-14$58.90$59.3843.0%10.1%25.6%30.5%35.4%1.4%2.7%1.4M-8.1M-234.1K0.5020.521,11855525,72912,079
2021-12-15$56.46$59.3837.8%10.8%29.5%17.7%37.5%1.5%2.3%296.9K7.3M-216.2K0.6564.311,43492825,68812,149
2021-12-16$57.61$59.3835.2%10.1%30.1%11.5%36.5%1.1%2.3%767.2K2.3M-223.3K0.2425.162,73564525,81912,414
2021-12-17$57.60$59.3835.5%10.2%29.9%12.1%35.7%0.4%2.3%346.9K2.0M-221.2K0.8533.481,15297725,95512,374
2021-12-20$56.67$59.3837.7%10.8%30.4%17.4%36.8%1.7%2.8%219.2K-618.8K-215.7K0.7057.761,6841,18714,9199,306
2021-12-21$58.49$59.3834.5%9.9%31.0%9.6%35.0%0.9%2.8%403.3K-6.9M-229.4K0.265.981,72344215,23410,114
2021-12-22$58.75$59.3832.6%9.3%30.3%4.9%34.0%2.1%3.8%504.0K-7.8M-227.0K0.8327.1680166815,56410,132
2021-12-23$59.46$59.3832.6%9.3%30.6%5.0%32.4%2.2%3.3%596.3K-10.8M-228.8K0.4326.681,08447015,75310,408
2021-12-27$60.58$59.3832.0%9.2%29.5%3.5%32.4%2.5%3.6%812.2K-15.9M-224.0K0.567.3493052115,87010,395
2021-12-28$60.63$59.3832.0%9.2%28.0%3.5%31.6%3.2%4.1%831.7K-16.4M-221.2K0.5815.3272042116,09310,472
2021-12-29$60.14$59.3830.5%8.7%27.8%0.0%30.9%1.2%4.7%776.7K-14.2M-218.3K0.5711.2266237716,10410,519
2021-12-30$60.61$59.3830.6%8.8%27.1%0.2%30.7%1.3%4.9%849.2K-15.9M-218.4K0.7223.7667848916,21810,579
2021-12-31$61.18$59.3830.6%8.8%26.9%0.2%30.3%2.0%4.3%1.0M-19.5M-217.7K0.7138.7965646416,27610,608