SCCO Options History — April 2010

In April 2010, SCCO traded between $29.93 and $34.38. ATM implied volatility averaged 34.5%. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 0.2% (HV 20d: 34.3%). Max pain ranged from $29.38 to $34.27. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2010-04-27: Highest Volume — 7,351 contracts
  • 2010-04-15: Largest IV spike — 49.1% change
  • 2010-04-29: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.26$29.93$34.38$32.34$29.94
Max Pain$30.54$29.38$34.27$29.38$29.38
ATM IV34.5%24.3%41.1%28.4%38.6%
Expected Move10.7%8.2%11.8%8.2%11.1%
HV 20d34.3%30.8%36.5%35.1%30.8%
HV 60d31.5%30.8%32.2%31.2%31.9%
Term Structure-0.0%-2.5%4.4%4.4%0.3%
VWIV36.9%29.5%41.1%29.5%35.5%
Skew 25d5.7%0.9%15.5%6.2%15.5%
Skew 10d10.2%-0.6%24.4%8.6%24.4%
Call IV 25d34.6%27.4%41.0%28.2%27.4%
Put IV 25d40.4%34.4%45.9%34.4%43.0%
Bid-Ask Spread %9.944.8017.5010.195.52
Gamma HHI0.420.250.630.450.32
Net GEX652.6K-115.7K2.2M559.0K-109.1K
Net DEX-12.9M-37.7M12.2M-19.3M11.2M
Net VEX-294.0K-315.1K-270.5K-283.1K-270.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.236.240.341.13
Total Volume3,473.9529027,3511,6992,569
Total OI58,941.61950,92364,18250,92364,182

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$32.34$29.3828.4%8.2%35.1%0.0%29.5%6.2%4.4%559.0K-19.3M-283.1K0.3410.191,26843127,28723,636
2010-04-05$33.56$29.3831.3%10.1%36.0%0.0%35.3%6.4%0.3%908.3K-30.5M-281.6K0.319.874,2411,33427,78223,736
2010-04-06$33.77$29.3831.5%10.4%36.0%0.0%38.7%6.8%0.7%1.1M-34.2M-294.1K0.419.443,3641,36629,84424,230
2010-04-07$33.32$29.3832.6%10.4%36.4%0.0%37.3%6.0%0.6%1.0M-28.6M-298.1K1.558.339281,43730,70924,977
2010-04-08$33.77$29.3829.6%10.6%36.5%0.0%36.6%6.5%0.2%1.2M-32.2M-299.6K0.3617.501,59256830,70924,977
2010-04-09$34.17$29.3827.1%10.3%36.2%0.0%37.2%5.5%-0.2%1.4M-36.2M-315.1K0.388.901,19445931,40126,299
2010-04-12$34.18$29.3830.5%10.6%35.5%0.0%37.0%4.4%-0.6%1.5M-36.1M-310.4K0.248.641,61839231,60426,483
2010-04-13$34.30$29.3826.3%10.5%33.9%0.0%35.7%4.9%-0.6%1.9M-35.8M-312.7K0.239.1773117131,97826,715
2010-04-14$34.38$29.3824.3%10.4%33.0%0.0%36.5%6.6%-0.1%2.2M-37.7M-310.3K2.916.871,1263,27632,11326,746
2010-04-15$33.59$34.2736.2%10.4%34.4%0.0%36.2%6.3%0.0%1.1M-20.7M-314.0K0.4113.711,59566231,96029,673
2010-04-16$32.58$34.2735.7%10.2%35.2%0.0%35.9%4.3%0.6%188.0K-9.8M-308.3K0.364.895,3131,91932,37329,884
2010-04-19$31.95$34.2735.2%10.1%33.9%0.0%35.4%5.2%1.4%185.7K-2.6M-299.6K0.734.803,6842,70029,39128,279
2010-04-20$31.34$34.2739.1%11.2%34.6%0.0%37.2%0.9%0.4%241.8K-350.4K-294.1K0.767.181,14887430,86428,216
2010-04-21$30.89$34.2737.8%10.8%34.1%0.0%34.7%5.5%0.1%140.8K4.8M-285.3K1.559.341,8542,86831,23328,447
2010-04-22$30.88$29.3838.0%10.9%32.7%0.0%36.6%6.6%-0.4%169.0K4.0M-284.9K0.617.591,11267931,33528,194
2010-04-23$30.81$29.3838.6%11.1%32.2%0.0%38.5%5.9%0.3%168.1K4.2M-283.3K6.249.518555,33331,90328,420
2010-04-26$31.32$29.3840.7%11.7%32.4%0.0%38.7%2.9%-2.5%114.5K739.6K-291.1K0.806.962,1101,69832,27730,417
2010-04-27$29.94$29.3840.9%11.7%33.3%0.0%40.5%3.3%-1.8%-112.5K12.2M-279.3K0.3717.045,3821,96932,62730,219
2010-04-28$29.93$29.3841.1%11.8%33.3%0.0%41.1%3.4%-1.8%-115.7K11.2M-274.4K0.8316.9493777832,59630,235
2010-04-29$30.54$29.3841.1%11.8%34.2%0.0%39.8%7.4%-1.7%33.5K5.9M-284.0K0.3516.441,05236633,55430,269
2010-04-30$29.94$29.3838.6%11.1%30.8%0.0%35.5%15.5%0.3%-109.1K11.2M-270.5K1.135.521,2061,36333,78530,397