SCCO Options History — December 2023

In December 2023, SCCO traded between $70.57 and $87.02. ATM implied volatility averaged 30.1%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 12.3% (HV 20d: 42.4%). Max pain ranged from $66.81 to $74.23. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.92.

Notable Days

  • 2023-12-14: Highest Volume — 3,071 contracts
  • 2023-12-13: Largest IV drop — 13.0% change
  • 2023-12-11: Highest IV Rank — 30.7%
  • 2023-12-20: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.43$70.57$87.02$75.63$85.19
Max Pain$68.78$66.81$74.23$74.23$71.75
ATM IV30.1%27.7%34.1%27.7%29.0%
Expected Move8.4%7.9%8.8%7.9%8.3%
HV 20d42.4%39.3%45.4%39.3%41.9%
HV 60d34.5%32.0%36.1%32.0%35.5%
IV Rank16.3%7.3%30.7%7.3%12.0%
IV Percentile19.7%2.8%51.6%2.8%11.9%
Term Structure2.9%0.1%4.1%0.1%3.4%
VWIV29.9%28.0%31.1%28.0%28.9%
Skew 25d1.7%0.8%2.6%1.7%1.6%
Skew 10d3.5%1.6%6.0%4.0%3.3%
Call IV 25d29.2%27.2%30.4%27.2%28.1%
Put IV 25d30.9%28.9%32.2%28.9%29.8%
Bid-Ask Spread %29.1814.0260.2617.3820.07
Gamma HHI0.190.130.290.160.22
Net GEX982.4K-502.8K2.4M1.4M966.3K
Net DEX-49.1M-76.1M-5.4M-39.9M-63.8M
Net VEX-220.1K-246.5K-202.5K-216.6K-246.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.162.280.991.20
Total Volume1,186.83643,0712,612551
Total OI28,120.5523,26931,98228,13527,525

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-12-01$75.63$74.2327.7%7.9%39.3%7.3%28.0%1.7%0.1%1.4M-39.9M-216.6K0.9917.381,3101,30215,81412,321
2023-12-04$72.92$66.8130.6%8.5%41.5%17.9%29.4%2.2%2.9%187.2K-19.7M-216.3K0.8623.7625822216,25213,374
2023-12-05$70.98$66.8130.6%8.4%42.5%18.1%29.6%1.9%2.8%-370.3K-7.5M-208.1K0.8260.2624219916,28013,355
2023-12-06$70.57$66.8130.6%8.5%40.0%17.9%30.3%2.1%2.3%-502.8K-5.4M-202.5K1.8426.3137568916,33013,372
2023-12-07$70.90$66.8129.8%8.3%39.7%15.2%29.5%1.5%3.1%-333.3K-9.2M-204.9K0.5514.0261433516,31413,102
2023-12-08$74.58$66.8131.2%8.8%43.3%20.3%30.5%1.3%2.5%1.2M-34.5M-216.0K0.2857.451,52643216,58513,189
2023-12-11$74.40$66.8134.1%8.5%43.3%30.7%30.3%1.6%3.2%1.2M-34.0M-215.8K0.6333.6936923317,22213,380
2023-12-12$74.15$66.8133.1%8.3%43.3%27.0%29.0%1.5%2.5%1.2M-32.5M-210.3K0.1622.385669117,29213,461
2023-12-13$76.76$66.8128.8%8.2%40.6%11.3%29.1%1.3%2.8%2.2M-50.5M-209.5K0.8754.7375866217,19913,474
2023-12-14$80.72$66.8129.4%8.4%44.0%13.5%30.9%1.5%3.1%2.4M-75.2M-202.8K1.7220.581,1311,94017,27513,341
2023-12-15$81.18$66.8129.0%8.3%43.8%12.3%29.6%0.8%3.4%1.8M-76.1M-209.1K0.8354.4299282217,36214,620
2023-12-18$82.02$69.2828.8%8.2%43.8%11.3%29.3%0.8%4.1%1.0M-57.2M-213.0K0.3525.681,16240413,5529,717
2023-12-19$83.80$69.2828.8%8.2%44.2%11.3%29.7%0.9%3.6%1.1M-64.8M-217.5K0.8626.6249442614,09010,034
2023-12-20$82.42$69.2830.9%8.8%44.8%19.0%30.9%1.6%2.9%1.1M-58.5M-227.8K1.0535.0642144114,26410,315
2023-12-21$85.16$69.2830.3%8.7%45.4%16.7%30.8%2.1%3.2%1.1M-68.8M-228.7K0.8216.0368355714,48710,591
2023-12-22$86.76$69.2830.3%8.7%45.1%16.7%30.8%2.6%3.1%1.1M-73.4M-229.0K2.2825.265011,14214,60710,979
2023-12-26$86.74$71.7530.7%8.8%40.7%18.3%31.1%2.4%2.9%941.9K-70.6M-240.8K0.7918.0947837614,73612,031
2023-12-27$87.02$71.7529.7%8.5%40.7%14.8%30.2%1.9%3.3%956.6K-72.1M-240.1K1.2117.1030236614,89812,263
2023-12-28$86.63$71.7529.4%8.4%40.9%13.5%29.6%1.9%3.0%962.6K-69.2M-246.5K0.3214.822768814,97912,429
2023-12-29$85.19$71.7529.0%8.3%41.9%12.0%28.9%1.6%3.4%966.3K-63.8M-246.3K1.2020.0725130015,07712,448