SCCO Options History — March 2010

In March 2010, SCCO traded between $29.46 and $31.80. ATM implied volatility averaged 36.6%. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 7.2% (HV 20d: 29.3%). Max pain ranged from $24.48 to $29.38. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.78.

Notable Days

  • 2010-03-03: Highest Volume — 9,728 contracts
  • 2010-03-08: Largest IV spike — 13.2% change
  • 2010-03-01: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.63$29.46$31.80$29.46$31.01
Max Pain$28.95$24.48$29.38$29.38$29.38
ATM IV36.6%33.7%41.1%41.1%35.0%
Expected Move10.5%9.7%11.8%11.8%10.0%
HV 20d29.3%26.0%32.2%26.5%32.2%
Term Structure2.8%-1.5%5.4%-1.5%4.6%
VWIV35.5%32.1%41.6%41.6%33.9%
Skew 25d4.4%-3.6%7.5%7.5%2.0%
Skew 10d8.7%-7.0%20.1%12.4%0.5%
Call IV 25d33.8%26.4%41.8%41.8%32.5%
Put IV 25d38.1%31.1%49.3%49.3%34.6%
Bid-Ask Spread %9.714.0416.977.705.09
Gamma HHI0.320.260.390.360.38
Net GEX194.3K-70.6K612.2K-70.6K303.6K
Net DEX-14.0M-29.8M3.3M3.3M-10.0M
Net VEX-238.7K-275.0K-210.3K-254.7K-275.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.222.680.530.90
Total Volume2,662.879739,7282,0441,253
Total OI61,590.73939,15474,37168,17150,771

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-01$29.46$29.3841.1%11.8%0.0%0.0%41.6%7.5%-1.5%-70.6K3.3M-254.7K0.537.701,33870632,59435,577
2010-03-02$29.48$29.3839.4%11.3%0.0%0.0%38.7%3.7%-0.3%141.7K1.4M-249.1K0.575.151,02758933,03635,822
2010-03-03$29.56$29.3837.9%10.9%0.0%0.0%37.9%6.2%0.8%44.8K-461.9K-240.3K0.574.046,1933,53533,16235,884
2010-03-04$29.86$29.3836.7%10.5%0.0%0.0%36.7%7.0%1.4%612.2K-9.2M-247.9K0.584.4999257135,56634,953
2010-03-05$30.72$24.4835.0%10.6%0.0%0.0%37.6%5.5%2.8%419.7K-17.4M-238.5K0.3110.643,10995934,23134,508
2010-03-08$30.94$24.4839.6%11.1%0.0%0.0%36.5%7.4%2.3%128.2K-27.9M-210.3K0.6811.301,03270134,19934,354
2010-03-09$30.81$29.3836.2%11.0%0.0%0.0%36.9%7.2%1.7%121.3K-26.8M-214.8K2.6514.797471,97934,53535,086
2010-03-10$30.86$29.3837.9%11.0%26.5%0.0%36.1%5.4%1.9%117.6K-26.5M-216.5K0.3213.961,12836134,68735,468
2010-03-11$30.57$29.3837.6%10.8%26.0%0.0%35.8%7.0%1.4%382.4K-15.4M-237.2K2.6813.446351,69834,78935,478
2010-03-12$31.37$29.3837.6%10.8%26.8%0.0%35.4%5.3%2.2%48.9K-23.2M-238.3K0.6115.041,59697634,64236,470
2010-03-15$30.65$29.3838.5%11.0%27.9%0.0%35.3%5.8%1.3%104.4K-23.9M-218.1K0.3916.971,35052734,68436,568
2010-03-16$31.48$29.3838.6%11.1%28.6%0.0%35.6%6.1%2.2%194.1K-27.9M-225.5K0.4816.5988442435,08336,709
2010-03-17$31.80$29.3837.0%10.6%27.9%0.0%35.4%2.8%4.0%286.0K-29.8M-230.3K0.396.462,7381,06935,36836,841
2010-03-18$31.08$29.3836.3%10.4%28.9%0.0%35.0%1.7%3.4%240.4K-25.9M-236.9K0.688.771,08273736,38837,502
2010-03-19$30.11$29.3835.6%10.2%31.1%0.0%35.6%2.9%3.9%136.6K-18.9M-233.0K0.498.241,78486736,42137,950
2010-03-22$30.49$29.3834.5%9.9%30.8%0.0%34.3%4.7%3.7%103.5K-3.7M-228.0K0.467.881,36162920,37018,784
2010-03-23$31.16$29.3834.9%10.0%28.4%0.0%33.4%3.5%3.6%226.5K-7.3M-235.1K0.5812.291,52387921,18318,871
2010-03-24$30.34$29.3833.9%9.7%29.9%0.0%32.5%0.3%5.4%120.0K-3.9M-233.3K0.474.451,20956621,78119,266
2010-03-25$29.88$29.3834.4%9.9%30.4%0.0%33.6%-3.6%4.4%75.0K-1.5M-233.9K0.905.963,1852,86722,55819,657
2010-03-26$30.26$29.3833.7%9.7%30.1%0.0%33.7%6.7%4.9%90.6K-3.6M-253.8K1.965.3032864524,89222,105
2010-03-29$31.44$29.3834.7%9.9%31.8%0.0%32.1%2.8%4.9%288.6K-11.4M-266.1K0.228.692,53956825,08122,623
2010-03-30$31.25$29.3835.2%10.1%32.0%0.0%33.3%2.2%4.5%353.9K-11.6M-273.3K0.4216.081,66569527,04423,046
2010-03-31$31.01$29.3835.0%10.0%32.2%0.0%33.9%2.0%4.6%303.6K-10.0M-275.0K0.905.0966159227,45823,313