SCCO Options History — March 2024

In March 2024, SCCO traded between $79.24 and $105.79. ATM implied volatility averaged 33.5%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 7.4% (HV 20d: 40.9%). Max pain ranged from $79.18 to $94.02. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.67.

Notable Days

  • 2024-03-13: Highest Volume — 11,423 contracts
  • 2024-03-11: Largest IV spike — 14.4% change
  • 2024-03-15: Highest IV Rank — 51.1%
  • 2024-03-13: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.76$79.24$105.79$79.93$105.79
Max Pain$86.10$79.18$94.02$79.18$94.02
ATM IV33.5%30.1%39.1%30.7%31.3%
Expected Move9.3%8.6%10.2%8.8%9.0%
HV 20d40.9%29.6%48.8%32.4%46.4%
HV 60d34.3%30.2%37.2%31.4%37.1%
IV Rank35.0%18.2%51.1%18.2%31.1%
IV Percentile61.0%27.8%94.4%35.7%44.4%
Term Structure2.2%0.5%5.0%0.6%4.6%
VWIV32.9%30.7%35.8%30.7%31.7%
Skew 25d-0.2%-1.5%2.1%0.4%-0.4%
Skew 10d0.1%-2.7%7.1%2.9%-2.0%
Call IV 25d33.1%30.6%36.7%30.6%32.0%
Put IV 25d32.9%30.3%35.8%31.0%31.6%
Bid-Ask Spread %52.7039.6882.2282.2256.42
Gamma HHI0.180.110.270.110.26
Net GEX1.3M160.3K2.3M359.0K2.0M
Net DEX-65.0M-124.6M-5.8M-9.0M-110.4M
Net VEX-365.8K-457.8K-245.4K-247.5K-438.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.152.030.920.15
Total Volume2,713.337911,4233792,714
Total OI25,573.7519,06632,48819,06629,351

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-03-01$79.93$79.1830.7%8.8%32.4%18.2%30.7%0.4%0.6%359.0K-9.0M-247.5K0.9282.2219718210,1508,916
2024-03-04$80.83$79.1833.5%9.2%32.1%28.5%32.0%1.6%0.7%461.6K-12.2M-249.9K0.3551.7930310610,2389,085
2024-03-05$79.24$79.1835.2%9.4%31.0%34.9%33.2%2.1%0.7%160.3K-5.8M-245.4K1.7648.9619534310,4019,145
2024-03-06$80.73$79.1835.2%9.2%29.6%34.7%32.1%1.8%1.2%397.8K-12.2M-252.8K2.0350.427711,56410,5059,370
2024-03-07$83.99$79.1834.9%9.3%32.8%33.6%32.9%0.0%1.8%908.7K-26.2M-299.7K0.2947.572,92484711,05511,171
2024-03-08$85.34$79.1834.2%9.4%32.6%31.2%34.2%0.2%1.1%1.4M-38.5M-349.0K1.0548.6990395113,13811,435
2024-03-11$85.39$79.1839.1%9.4%32.3%49.2%34.3%0.2%2.2%1.0M-37.8M-346.9K1.3051.6651967713,50312,245
2024-03-12$86.41$81.6535.4%8.9%32.5%35.7%31.4%0.0%3.2%1.0M-42.8M-341.2K0.5152.9754327613,52312,759
2024-03-13$95.45$81.6535.7%10.2%44.7%36.7%35.5%-1.5%1.1%1.3M-84.5M-329.4K0.1946.869,6321,79113,67812,898
2024-03-14$95.84$86.6033.6%9.6%44.3%34.5%34.1%-0.3%1.4%2.3M-93.1M-380.1K0.4051.083,8171,52117,12413,766
2024-03-15$101.60$89.0735.3%10.1%46.8%51.1%35.8%-0.9%2.3%1.4M-124.6M-385.1K0.2239.686,6601,48517,70814,780
2024-03-18$101.39$89.0733.2%9.5%47.0%42.0%33.8%-1.0%3.0%1.7M-85.1M-404.9K0.7444.182,0691,52614,8019,135
2024-03-19$98.56$91.5531.6%9.0%48.1%32.7%31.8%-0.7%2.5%1.4M-69.2M-428.9K0.6450.871,38888615,28610,349
2024-03-20$102.00$91.5533.4%9.6%48.8%42.8%33.9%-0.5%0.5%1.6M-87.5M-423.3K0.5157.001,42472315,71210,376
2024-03-21$102.18$91.5531.5%9.0%48.8%32.3%31.5%-1.0%3.1%1.8M-89.8M-424.8K0.2746.291,03628116,05510,772
2024-03-22$103.87$91.5531.8%9.1%47.9%33.9%32.1%-0.8%3.3%1.9M-97.5M-420.2K0.2854.571,66346316,18410,912
2024-03-25$103.04$91.5533.1%9.5%46.4%41.1%33.6%-1.1%2.7%1.9M-96.0M-435.9K0.7955.4789971416,79011,199
2024-03-26$100.98$94.0231.4%9.0%47.9%31.6%31.8%-1.0%3.2%1.8M-84.8M-457.8K0.7359.2658442417,17711,658
2024-03-27$102.61$94.0230.1%8.6%46.2%24.9%31.0%-0.7%5.0%1.9M-92.7M-455.2K0.3358.0895131417,26811,857
2024-03-28$105.79$94.0231.3%9.0%46.4%31.1%31.7%-0.4%4.6%2.0M-110.4M-438.3K0.1556.422,36934517,38211,969