SCCO Options History — March 2022

In March 2022, SCCO traded between $67.85 and $77.05. ATM implied volatility averaged 40.4%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 4.6% (HV 20d: 35.8%). Max pain ranged from $64.33 to $69.28. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.38.

Notable Days

  • 2022-03-03: Highest Volume — 9,837 contracts
  • 2022-03-08: Largest IV drop — 13.0% change
  • 2022-03-07: Highest IV Rank — 53.3%
  • 2022-03-07: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.83$67.85$77.05$71.47$75.41
Max Pain$66.05$64.33$69.28$64.33$69.28
ATM IV40.4%34.4%52.0%44.9%34.7%
Expected Move11.8%10.0%14.9%12.9%10.3%
HV 20d35.8%28.2%41.8%29.9%37.2%
HV 60d31.5%29.3%33.4%29.5%33.2%
IV Rank25.7%11.3%53.3%36.5%12.2%
IV Percentile64.7%16.7%97.6%88.9%22.2%
Term Structure0.2%-2.5%2.3%-2.5%1.8%
VWIV41.6%33.6%52.7%44.6%34.5%
Skew 25d3.0%1.6%4.4%3.4%1.7%
Skew 10d6.2%3.1%9.3%5.5%3.1%
Call IV 25d39.6%35.2%45.6%44.0%35.8%
Put IV 25d42.5%37.5%50.0%47.3%37.5%
Bid-Ask Spread %50.6718.1866.2154.7356.06
Gamma HHI0.210.170.310.310.21
Net GEX2.6M1.7M3.1M1.7M2.8M
Net DEX-67.4M-89.8M-37.3M-55.5M-63.0M
Net VEX-447.3K-527.6K-329.6K-329.6K-512.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.160.910.260.19
Total Volume3,4531,1389,8375,0292,370
Total OI38,654.21730,66145,31030,66138,521

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-03-01$71.47$64.3344.9%12.9%29.9%36.5%44.6%3.4%-2.5%1.7M-55.5M-329.6K0.2654.733,9871,04216,62614,035
2022-03-02$72.34$64.3340.7%11.7%29.6%26.4%41.9%3.3%1.0%1.9M-62.8M-349.3K0.3318.182,42479518,22914,070
2022-03-03$74.26$64.3344.7%12.8%29.8%36.0%45.1%3.1%0.2%1.8M-73.0M-376.5K0.1959.058,2701,56719,19214,478
2022-03-04$75.43$64.3349.7%14.2%28.7%47.9%52.0%3.3%-0.0%2.6M-89.8M-442.3K0.9151.563,6893,34525,04814,985
2022-03-07$73.54$64.3352.0%14.9%31.1%53.3%52.7%4.4%-2.0%2.7M-78.4M-434.7K0.2855.143,5701,01425,89413,563
2022-03-08$73.96$64.3345.2%14.3%31.1%37.2%50.6%4.4%-0.5%2.9M-83.2M-436.3K0.3157.191,62849926,46113,655
2022-03-09$74.07$64.3343.2%13.5%30.2%32.3%48.6%3.5%0.3%2.9M-81.9M-428.2K0.3833.241,44254826,55213,655
2022-03-10$74.17$64.3343.2%13.0%28.4%32.5%45.6%2.8%0.1%3.1M-86.4M-434.7K0.4752.361,17454927,03713,624
2022-03-11$73.43$64.3341.5%12.4%28.2%28.3%45.9%3.7%1.8%3.1M-82.3M-429.5K0.4548.381,28557827,16913,625
2022-03-14$68.78$64.3343.1%12.5%37.7%32.1%42.8%2.9%0.6%2.7M-47.5M-387.9K0.6634.033,1772,09327,46313,693
2022-03-15$67.85$64.3341.5%12.3%37.8%28.3%42.8%3.7%1.5%2.2M-37.3M-393.2K0.2450.213,39980228,18715,127
2022-03-16$69.22$64.3338.9%11.3%38.4%22.1%39.5%2.7%0.5%2.9M-45.9M-388.4K0.4549.531,62373428,39215,181
2022-03-17$72.33$64.3337.3%10.9%40.5%18.3%38.6%4.0%0.6%2.6M-71.7M-407.3K0.4849.893,0481,47628,57315,239
2022-03-18$73.34$64.3334.4%10.2%40.0%11.3%36.6%2.5%1.1%1.9M-70.4M-439.5K0.6953.422,2441,53928,92416,386
2022-03-21$76.29$64.3338.5%11.3%41.8%21.0%39.2%2.0%0.7%2.3M-63.8M-488.7K0.3150.704,0461,25922,88810,616
2022-03-22$75.80$69.2836.9%10.7%41.7%17.2%38.3%1.6%0.2%2.6M-64.8M-510.0K0.4453.771,63172125,29910,852
2022-03-23$77.05$69.2836.0%10.5%41.3%15.2%38.2%1.8%-0.0%2.7M-72.7M-527.6K0.1959.952,32343025,51411,095
2022-03-24$76.04$69.2838.3%10.8%41.8%20.7%38.2%2.4%-0.5%2.6M-65.9M-527.4K0.3650.001,59256926,46711,112
2022-03-25$76.55$69.2838.0%10.6%40.2%19.9%37.3%3.2%-0.7%2.7M-69.5M-518.8K0.2556.781,45736626,58511,269
2022-03-28$75.22$69.2835.5%10.8%41.1%14.1%33.6%2.4%2.3%2.6M-59.6M-504.6K0.3858.431,14043226,28611,305
2022-03-29$75.73$69.2835.6%10.1%38.4%14.3%34.8%2.8%0.1%2.7M-61.4M-509.1K0.1666.212,06933526,35411,351
2022-03-30$75.79$69.2835.6%10.0%38.2%14.3%36.2%3.1%-0.8%2.9M-64.3M-513.2K0.3346.5985528327,10411,366
2022-03-31$75.41$69.2834.7%10.3%37.2%12.2%34.5%1.7%1.8%2.8M-63.0M-512.2K0.1956.061,99837227,13211,389