SCCO Options History — March 2023

In March 2023, SCCO traded between $66.88 and $77.50. ATM implied volatility averaged 39.3%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 1.6% (HV 20d: 40.8%). Max pain ranged from $74.23 to $74.23. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 1.26.

Notable Days

  • 2023-03-15: Highest Volume — 5,715 contracts
  • 2023-03-10: Largest IV spike — 17.4% change
  • 2023-03-13: Highest IV Rank — 94.6%
  • 2023-03-15: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.32$66.88$77.50$75.25$75.39
Max Pain$74.23$74.23$74.23$74.23$74.23
ATM IV39.3%32.8%53.0%35.7%34.0%
Expected Move10.8%9.4%12.8%10.2%9.7%
HV 20d40.8%26.4%48.5%30.3%44.4%
HV 60d34.2%28.9%37.1%28.9%36.2%
IV Rank33.7%5.1%94.6%17.6%10.3%
IV Percentile40.5%2.0%99.6%15.1%6.0%
Term Structure0.9%-2.2%2.5%-1.3%2.4%
VWIV37.9%33.7%47.6%35.5%33.7%
Skew 25d3.8%1.4%6.3%3.0%4.6%
Skew 10d7.4%3.0%12.2%4.5%8.7%
Call IV 25d36.5%31.4%44.3%34.3%31.4%
Put IV 25d40.3%35.4%50.6%37.3%36.0%
Bid-Ask Spread %56.9630.0969.5246.3843.54
Gamma HHI0.220.190.270.220.22
Net GEX498.1K-623.5K1.3M851.8K1.2M
Net DEX-23.2M-58.6M14.7M-41.7M-42.3M
Net VEX-501.2K-539.3K-471.5K-532.9K-479.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.234.290.880.37
Total Volume1,161.4352115,7153,655354
Total OI37,913.8732,59042,38938,53834,509

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-03-01$75.25$74.2335.7%10.2%30.3%17.6%35.5%3.0%-1.3%851.8K-41.7M-532.9K0.8846.381,9401,71519,71618,822
2023-03-02$74.53$74.2334.9%10.0%26.4%14.4%35.0%2.7%-0.5%665.0K-35.6M-539.3K1.5746.6436557320,71919,192
2023-03-03$77.50$74.2332.8%9.4%26.7%5.1%34.5%2.6%0.5%1.3M-58.6M-531.4K1.0259.1978680020,88619,184
2023-03-06$75.90$74.2335.7%9.9%27.9%17.6%34.3%2.0%1.0%1.1M-48.0M-532.2K0.7459.2468150421,22219,578
2023-03-07$72.06$74.2335.7%9.9%33.5%17.6%34.6%1.4%2.2%187.9K-18.1M-523.4K0.7438.301,06678921,39319,667
2023-03-08$74.16$74.2335.1%9.9%35.1%15.4%34.6%2.9%2.1%699.2K-34.1M-526.1K1.8857.0323243621,56119,492
2023-03-09$72.31$74.2338.9%10.5%36.3%31.9%36.1%2.3%0.9%252.6K-20.5M-523.2K0.3360.5181927021,64619,652
2023-03-10$71.56$74.2345.6%11.5%36.4%61.9%38.5%3.9%1.7%210.2K-16.0M-527.8K1.0463.3740442222,21119,504
2023-03-13$72.06$74.2353.0%11.4%36.3%94.6%41.3%4.0%1.1%322.5K-19.4M-515.2K2.0560.3427055422,33919,257
2023-03-14$72.83$74.2348.7%11.2%36.5%75.5%39.6%3.5%0.6%552.4K-25.5M-513.5K1.2159.9840949722,49719,174
2023-03-15$66.88$74.2344.5%12.8%47.0%57.1%47.6%6.3%-2.2%-525.6K14.7M-475.7K4.2960.161,0804,63522,58719,362
2023-03-16$67.75$74.2341.8%12.0%47.3%44.8%42.9%4.7%0.4%-623.5K11.1M-471.5K2.4963.6736390222,68419,647
2023-03-17$67.85$74.2343.6%12.5%47.0%52.7%44.3%3.5%-0.3%7.1K10.9M-476.4K3.4554.0223179922,69519,694
2023-03-20$70.34$74.2340.8%11.7%48.5%40.6%40.1%2.5%1.2%240.5K-14.5M-485.1K0.4963.7783440917,81814,772
2023-03-21$70.74$74.2339.5%11.3%48.5%34.6%38.6%4.1%0.5%329.0K-16.7M-484.9K0.4560.4729113018,34714,751
2023-03-22$70.78$74.2338.4%11.0%48.4%29.9%38.0%3.8%1.4%433.0K-18.5M-482.3K0.7265.4437326818,56114,755
2023-03-23$70.66$74.2340.9%11.7%48.0%41.1%39.2%4.5%-0.1%398.9K-16.4M-486.4K0.7062.4421014818,84814,784
2023-03-24$70.63$74.2339.9%11.4%47.5%36.5%39.5%5.4%1.1%429.6K-16.2M-484.4K0.2969.521644718,96014,827
2023-03-27$71.48$74.2338.5%11.0%46.9%30.2%37.9%4.2%2.3%549.6K-20.9M-483.3K2.6366.8213836419,07914,860
2023-03-28$72.91$74.2336.1%10.3%47.1%19.6%36.8%5.2%2.1%716.6K-28.1M-485.4K0.2962.862417019,09714,987
2023-03-29$74.87$74.2334.7%10.0%46.8%13.5%34.8%4.4%2.3%1.1M-39.4M-484.4K1.1456.3526229819,23915,011
2023-03-30$75.01$74.2334.6%9.9%46.6%12.8%34.5%4.8%2.5%1.1M-40.2M-483.4K0.2330.0946410619,31215,121
2023-03-31$75.39$74.2334.0%9.7%44.4%10.3%33.7%4.6%2.4%1.2M-42.3M-479.4K0.3743.542589619,33815,171