SCCO Options History — September 2022

In September 2022, SCCO traded between $42.53 and $49.10. ATM implied volatility averaged 44.5%, placing in the 60.4% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 3.2% (HV 20d: 41.3%). Max pain ranged from $44.54 to $49.49. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2022-09-06: Highest Volume — 4,758 contracts
  • 2022-09-14: Largest IV drop — 23.8% change
  • 2022-09-13: Highest IV Rank — 94.9%
  • 2022-09-27: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.66$42.53$49.10$44.78$44.65
Max Pain$48.07$44.54$49.49$49.49$44.54
ATM IV44.5%40.2%53.0%42.6%46.9%
Expected Move12.4%11.3%13.7%12.2%13.4%
HV 20d41.3%37.0%43.9%38.1%39.0%
HV 60d40.8%38.1%42.6%41.5%38.1%
IV Rank60.4%43.1%94.9%52.6%70.1%
IV Percentile84.8%63.5%99.6%79.8%93.7%
Term Structure1.8%-0.1%3.5%1.0%1.9%
VWIV43.7%40.4%47.9%44.6%45.7%
Skew 25d3.9%1.4%5.1%1.4%4.3%
Skew 10d8.1%0.6%12.3%0.6%9.5%
Call IV 25d42.7%39.0%47.1%46.5%45.7%
Put IV 25d46.7%42.0%51.7%47.8%50.0%
Bid-Ask Spread %38.6213.7451.4032.1836.74
Gamma HHI0.230.160.300.240.16
Net GEX355.6K-44.9K1.2M362.2K153.1K
Net DEX21.2M8.6M30.8M26.6M19.2M
Net VEX-256.7K-300.4K-216.5K-256.3K-244.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.172.261.250.70
Total Volume2,157.3336084,7582,5321,616
Total OI45,429.95237,32152,25549,77439,222

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-09-01$44.78$49.4942.6%12.2%38.1%52.6%44.6%1.4%1.0%362.2K26.6M-256.3K1.2532.181,1261,40633,86015,914
2022-09-02$45.18$49.4942.3%12.1%37.0%51.4%43.8%2.7%0.9%315.0K27.3M-269.6K0.2137.9691519233,92616,985
2022-09-06$44.70$49.4944.9%12.5%37.1%61.8%42.4%4.4%2.2%165.7K30.8M-251.7K1.0645.382,3152,44334,09817,099
2022-09-07$45.27$49.4943.5%12.1%37.5%56.5%41.5%4.7%2.3%223.4K29.0M-256.7K2.2242.871,1282,49934,08817,121
2022-09-08$46.76$49.4944.4%12.2%39.0%60.2%41.4%4.5%3.1%523.1K21.8M-276.9K1.4941.2449674034,20717,239
2022-09-09$48.69$44.5440.2%11.3%41.6%43.1%40.4%2.9%3.5%1.0M11.2M-300.2K0.2850.181,13731934,38217,276
2022-09-12$49.10$49.4947.3%11.5%41.5%72.0%40.7%3.7%3.4%1.2M8.6M-300.4K0.1751.401,51325834,43517,310
2022-09-13$47.52$49.4953.0%11.7%43.0%94.9%42.3%4.1%1.2%773.9K17.1M-284.1K2.2650.401,2372,80034,21316,991
2022-09-14$47.73$49.4940.4%11.6%42.6%43.6%41.6%4.2%1.8%344.9K23.0M-254.3K0.3443.121,44249334,21917,092
2022-09-15$46.27$49.4942.6%12.2%43.6%52.5%41.5%3.9%2.8%246.1K24.6M-258.3K0.7035.1545331835,00017,255
2022-09-16$46.01$49.4942.7%12.2%42.5%53.1%43.1%3.8%3.0%355.8K24.4M-257.0K1.9139.751,4962,86035,00417,141
2022-09-19$47.26$49.4940.9%11.7%42.9%45.8%41.6%4.0%0.8%482.8K11.7M-266.2K0.3313.7495131223,35113,970
2022-09-20$46.91$49.4944.3%12.7%42.6%59.5%43.3%4.3%0.9%492.9K12.3M-266.1K0.7533.1034726123,76313,946
2022-09-21$45.13$49.4943.0%12.3%42.0%54.5%45.7%4.3%1.7%306.1K18.6M-244.9K1.7635.3749286723,93214,017
2022-09-22$45.34$49.4942.7%12.2%42.1%53.0%42.1%4.3%2.0%263.3K18.9M-244.1K0.6829.8338126024,14414,669
2022-09-23$42.97$49.4944.7%12.8%43.9%61.2%46.2%2.6%1.9%40.3K25.8M-223.5K1.0739.131,1941,28124,35114,803
2022-09-26$42.53$44.5447.3%13.6%43.2%71.7%47.9%4.2%-0.1%-44.9K28.0M-216.5K1.3539.759521,28524,40015,571
2022-09-27$43.31$44.5447.7%13.7%43.6%73.3%47.3%4.6%0.7%42.3K24.5M-235.9K0.4340.602,5291,07724,52115,843
2022-09-28$44.37$44.5446.1%13.2%41.9%66.8%47.6%5.1%1.1%90.1K21.9M-243.0K1.6731.238751,46523,70115,876
2022-09-29$44.28$44.5447.1%13.5%41.9%71.1%46.3%4.5%0.9%124.6K20.7M-240.0K0.6941.9992964423,73015,364
2022-09-30$44.65$44.5446.9%13.4%39.0%70.1%45.7%4.3%1.9%153.1K19.2M-244.4K0.7036.7495166523,87715,345