SCCO Options History — September 2024

In September 2024, SCCO traded between $94.06 and $120.23. ATM implied volatility averaged 37.0%, placing in the 45.1% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 1.5% (HV 20d: 38.5%). Max pain ranged from $95.00 to $105.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.97.

Notable Days

  • 2024-09-24: Highest Volume — 2,936 contracts
  • 2024-09-24: Largest IV spike — 11.2% change
  • 2024-09-26: Highest IV Rank — 54.9%
  • 2024-09-26: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.05$94.06$120.23$96.06$115.39
Max Pain$99.25$95.00$105.00$105.00$105.00
ATM IV37.0%34.3%39.4%39.0%38.2%
Expected Move10.6%9.8%11.3%11.2%11.0%
HV 20d38.5%32.9%50.0%39.6%50.0%
HV 60d37.4%35.6%43.0%36.4%41.8%
IV Rank45.1%33.7%54.9%54.1%50.1%
IV Percentile73.2%50.8%91.3%88.5%82.9%
Term Structure3.1%-0.6%6.4%-0.6%2.2%
VWIV37.5%34.1%40.5%40.5%39.1%
Skew 25d1.4%-0.8%3.4%2.0%-0.8%
Skew 10d4.3%-1.3%16.3%4.3%-0.5%
Call IV 25d36.8%34.1%40.4%38.6%39.0%
Put IV 25d38.2%35.5%40.7%40.5%38.2%
Bid-Ask Spread %56.6547.4971.9168.5861.84
Gamma HHI0.120.090.180.110.14
Net GEX269.7K-816.4K2.2M-386.1K2.0M
Net DEX-30.0M-102.1M13.5M2.8M-81.0M
Net VEX-379.8K-401.0K-364.5K-375.3K-391.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.194.924.920.95
Total Volume1,148.153432,9362,894670
Total OI31,225.0523,25635,24931,76326,331

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-09-03$96.06$105.0039.0%11.2%39.6%54.1%40.5%2.0%-0.6%-386.1K2.8M-375.3K4.9268.584892,40518,00213,761
2024-09-04$96.37$100.0037.6%10.8%38.2%48.5%38.7%2.0%-0.2%-470.9K2.5M-389.9K0.3271.912698618,15814,545
2024-09-05$97.08$100.0038.0%10.8%37.3%49.2%40.1%2.5%3.1%-334.2K-2.8M-393.4K0.4254.2635815018,28314,569
2024-09-06$94.06$97.5038.3%11.1%36.5%50.2%39.0%2.8%5.3%-584.9K10.3M-379.5K1.7453.6746681318,42214,511
2024-09-09$95.38$97.5038.8%10.9%36.6%52.4%39.3%3.3%2.3%-644.7K6.9M-378.9K0.8549.5848841618,52414,865
2024-09-10$94.22$97.5037.9%10.7%36.5%48.7%37.8%3.4%3.0%-816.4K13.5M-367.8K0.4250.2824210118,56515,035
2024-09-11$96.62$97.5036.8%10.5%37.7%44.2%37.1%2.4%2.6%-735.4K2.4M-378.9K0.6353.0641426118,67515,085
2024-09-12$98.32$95.0036.5%10.5%38.3%43.1%36.4%2.3%2.4%-594.7K-9.3M-379.6K2.2954.7719444518,94515,233
2024-09-13$98.90$95.0035.7%10.2%33.6%39.6%36.1%2.0%2.3%-585.9K-12.0M-380.6K1.3555.0018925619,01715,285
2024-09-16$99.50$95.0036.6%10.5%33.1%43.4%37.0%1.7%3.3%-555.6K-16.6M-372.0K0.8755.7057349719,08015,368
2024-09-17$99.34$97.5036.6%10.5%32.9%43.2%36.9%1.3%4.7%-758.0K-15.1M-367.4K0.2856.7353715319,23715,627
2024-09-18$101.53$97.5035.7%10.2%33.6%39.5%35.6%1.5%5.3%-498.0K-29.2M-374.5K0.3063.6251515519,24815,661
2024-09-19$104.69$97.5034.9%10.0%35.3%36.4%35.7%1.6%4.7%812.0K-49.3M-365.1K0.3949.831,42155019,30715,578
2024-09-20$103.85$97.5034.3%9.8%34.1%33.7%34.1%1.3%6.4%817.2K-43.7M-367.8K0.3252.9559418919,91615,333
2024-09-23$106.02$100.0034.6%9.9%33.7%35.1%35.0%1.2%5.6%1.1M-43.2M-364.5K0.6347.491,00663013,7779,479
2024-09-24$113.92$100.0038.5%11.0%42.1%51.2%38.6%-0.8%1.4%1.6M-73.3M-383.2K0.1957.772,46447214,4389,689
2024-09-25$111.09$100.0035.4%10.2%43.3%38.6%35.9%-0.1%2.9%1.8M-66.0M-387.2K0.6056.4960035815,4209,824
2024-09-26$120.23$105.0039.4%11.3%48.1%54.9%39.7%-0.5%1.9%2.2M-102.1M-401.0K0.3451.542,08571315,60110,053
2024-09-27$118.38$105.0037.1%10.6%48.8%45.4%37.5%-0.2%3.2%2.1M-94.1M-399.0K1.6167.8728345615,66010,394
2024-09-30$115.39$105.0038.2%11.0%50.0%50.1%39.1%-0.8%2.2%2.0M-81.0M-391.3K0.9561.8434332715,70310,628