SCCO Options History — November 2023

In November 2023, SCCO traded between $69.09 and $75.21. ATM implied volatility averaged 28.8%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 2.4% (HV 20d: 31.2%). Max pain ranged from $71.75 to $74.23. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2023-11-06: Highest Volume — 4,830 contracts
  • 2023-11-27: Largest IV spike — 8.6% change
  • 2023-11-01: Highest IV Rank — 23.3%
  • 2023-11-01: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.26$69.09$75.21$71.25$71.10
Max Pain$74.11$71.75$74.23$71.75$74.23
ATM IV28.8%26.1%32.0%32.0%27.7%
Expected Move8.3%7.5%9.2%9.2%7.9%
HV 20d31.2%27.5%34.9%29.3%33.7%
HV 60d29.0%27.5%30.4%27.5%29.3%
IV Rank11.4%1.6%23.3%23.3%7.5%
IV Percentile7.4%0.4%23.8%23.8%2.8%
Term Structure0.8%0.1%1.8%0.4%1.3%
VWIV29.2%26.2%32.8%32.8%28.3%
Skew 25d1.9%0.9%2.6%1.9%1.0%
Skew 10d4.6%0.6%33.2%33.2%2.1%
Call IV 25d28.4%25.9%31.9%31.9%28.2%
Put IV 25d30.3%27.3%33.8%33.8%29.2%
Bid-Ask Spread %33.126.7976.2276.2210.17
Gamma HHI0.160.120.330.150.16
Net GEX314.6K-472.5K2.0M-106.2K77.2K
Net DEX-17.7M-36.3M252.2K-8.9M-13.7M
Net VEX-244.6K-277.3K-212.0K-275.2K-212.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.042.270.720.38
Total Volume1,151.5242334,830564233
Total OI30,230.85726,86232,27431,35428,038

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-11-01$71.25$71.7532.0%9.2%29.3%23.3%32.8%1.9%0.4%-106.2K-8.9M-275.2K0.7276.2232823617,43313,921
2023-11-02$73.13$74.2330.6%8.8%29.7%18.0%30.9%1.7%0.7%264.1K-20.5M-277.3K2.2716.0521949717,59814,009
2023-11-03$73.78$74.2328.1%8.5%27.5%8.8%30.2%1.6%1.6%242.5K-24.5M-271.2K1.1636.6553561817,66614,219
2023-11-06$73.50$74.2329.1%8.4%27.5%12.5%29.9%1.7%1.1%187.3K-23.5M-264.9K0.0440.614,66516517,89014,153
2023-11-07$70.58$74.2330.7%8.5%30.4%18.2%31.0%2.6%0.7%-248.8K-4.4M-263.2K1.1350.2759167017,50014,214
2023-11-08$69.65$74.2330.6%8.8%30.3%17.9%30.3%2.4%0.2%-442.9K-604.6K-256.8K0.4822.7078037417,50613,885
2023-11-09$69.09$74.2331.2%8.9%28.8%20.1%30.7%2.5%0.1%-472.5K252.2K-254.4K0.6930.8330521017,70913,652
2023-11-10$69.80$74.2330.1%8.6%29.1%16.3%29.8%2.4%0.4%-429.5K-3.2M-256.6K0.339.9478525917,86613,777
2023-11-13$69.64$74.2330.8%8.8%28.3%18.6%31.0%1.8%0.3%-467.2K-2.9M-250.5K0.1914.603566718,30513,895
2023-11-14$73.55$74.2328.8%8.3%34.7%11.4%30.6%2.3%0.3%983.7K-29.2M-255.5K1.0763.2231533818,34713,864
2023-11-15$74.52$74.2328.5%8.2%32.3%10.4%28.8%2.1%0.7%1.4M-36.3M-257.6K1.0259.312,2172,25618,39413,880
2023-11-16$74.00$74.2328.2%8.1%32.2%9.4%28.2%2.5%0.4%878.0K-28.5M-238.8K0.5818.7234219917,67314,068
2023-11-17$74.04$74.2328.0%8.0%32.1%8.4%28.6%2.0%0.8%2.0M-27.8M-237.2K0.8850.3942137217,77914,087
2023-11-20$74.30$74.2326.8%7.7%32.1%4.1%27.0%2.1%1.3%593.1K-27.7M-230.8K0.5322.3860932514,72312,139
2023-11-21$75.21$74.2327.0%7.7%32.0%4.8%27.3%1.7%1.6%925.0K-33.8M-230.2K0.9470.0645642815,11912,133
2023-11-22$74.26$74.2326.1%7.5%30.6%1.6%26.2%1.3%1.8%775.9K-28.8M-233.8K1.1023.2623726215,37612,334
2023-11-24$73.59$74.2326.3%7.5%30.6%2.2%27.3%1.5%1.7%581.8K-24.5M-229.8K1.4136.6420629115,47212,489
2023-11-27$70.33$74.2328.6%8.2%34.8%10.5%28.3%1.4%0.2%-216.1K-6.8M-213.2K1.4711.437331,08015,53012,428
2023-11-28$71.12$74.2327.9%8.0%34.9%8.0%28.6%2.1%1.2%46.2K-12.7M-215.2K0.246.7954913215,48712,319
2023-11-29$71.01$74.2327.8%8.0%34.3%7.9%28.2%0.9%1.1%45.3K-12.9M-212.0K0.7325.2430122015,63412,337
2023-11-30$71.10$74.2327.7%7.9%33.7%7.5%28.3%1.0%1.3%77.2K-13.7M-212.7K0.3810.171696415,74712,291