SCCO Options History — May 2010

In May 2010, SCCO traded between $25.65 and $29.45. ATM implied volatility averaged 49.7%. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 5.3% (HV 20d: 44.5%). Max pain ranged from $29.38 to $29.38. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2010-05-06: Highest Volume — 5,429 contracts
  • 2010-05-17: Largest IV spike — 18.9% change
  • 2010-05-20: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.74$25.65$29.45$29.45$28.87
Max Pain$29.38$29.38$29.38$29.38$29.38
ATM IV49.7%40.4%63.6%40.4%42.8%
Expected Move14.1%11.6%18.2%11.6%12.3%
HV 20d44.5%27.0%58.5%27.0%58.2%
HV 60d37.3%31.8%42.7%31.8%42.7%
Term Structure-1.7%-5.8%1.1%-0.2%1.1%
VWIV49.5%40.6%61.5%40.6%43.7%
Skew 25d9.3%3.6%18.9%15.7%8.2%
Skew 10d18.8%12.2%30.4%25.5%12.4%
Call IV 25d45.0%30.3%56.8%30.3%42.7%
Put IV 25d54.4%46.0%66.6%46.0%50.8%
Bid-Ask Spread %15.8210.3426.0314.1216.91
Gamma HHI0.270.240.320.320.27
Net GEX-164.7K-351.8K94.5K-244.0K94.0K
Net DEX21.3M2.3M35.5M16.7M2.9M
Net VEX-246.7K-278.9K-226.3K-264.3K-247.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.152.750.830.56
Total Volume2,7698725,4292,944916
Total OI66,290.6556,22672,67964,66258,229

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$29.45$29.3840.4%11.6%27.0%0.0%40.6%15.7%-0.2%-244.0K16.7M-264.3K0.8314.121,6111,33333,79530,867
2010-05-04$28.26$29.3844.6%12.8%29.2%0.0%44.8%8.5%-1.8%-351.8K25.5M-246.7K0.3010.504,0121,20334,27031,087
2010-05-05$28.38$29.3845.6%13.1%29.5%0.0%46.4%10.3%-1.8%-186.7K23.9M-258.2K0.7811.541,6091,25036,24531,518
2010-05-06$26.96$29.3851.2%14.7%32.1%0.0%57.4%3.6%-4.2%-231.9K30.7M-243.3K0.6626.033,2792,15035,83331,737
2010-05-07$26.85$29.3858.6%15.9%31.1%0.0%53.9%6.1%-3.6%-239.6K32.2M-241.7K0.7017.202,6931,89336,54032,376
2010-05-10$29.10$29.3850.0%13.2%45.1%0.0%47.0%9.2%-0.6%-36.2K12.0M-278.9K0.6312.331,9321,21536,59432,792
2010-05-11$28.58$29.3848.7%13.2%45.1%0.0%48.1%6.8%-0.5%-79.9K16.5M-270.3K0.1910.862,69051136,66332,549
2010-05-12$29.18$29.3844.0%12.5%46.1%0.0%41.5%9.1%0.1%-45.9K10.9M-273.2K0.3911.0262524737,15032,335
2010-05-13$28.59$29.3844.1%12.7%46.0%0.0%42.4%7.6%-0.4%-131.1K16.7M-262.7K0.1515.4979312136,95432,329
2010-05-14$27.72$29.3846.1%13.2%46.1%0.0%47.4%7.0%-0.7%-198.0K25.5M-246.8K0.7021.661,14279637,05532,310
2010-05-17$26.91$29.3854.8%15.7%46.5%0.0%54.0%6.9%-4.7%-230.3K31.6M-226.4K2.7515.006631,82437,05532,310
2010-05-18$26.54$29.3855.3%15.9%46.4%0.0%55.0%9.3%-5.0%-253.2K33.9M-226.3K1.0410.341,5051,56837,75633,136
2010-05-19$26.40$29.3856.1%16.1%46.4%0.0%53.4%7.6%-4.0%-271.6K33.7M-227.4K1.8016.668541,54037,98033,946
2010-05-20$25.65$29.3863.6%18.2%46.9%0.0%61.5%9.8%-5.8%-308.9K35.5M-229.4K1.9222.011,4442,77638,01634,514
2010-05-21$27.27$29.3852.8%15.1%53.2%0.0%53.7%9.7%-1.4%-151.3K29.5M-244.7K0.7520.581,8051,36137,75534,924
2010-05-24$26.64$29.3858.2%16.7%52.8%0.0%52.9%10.2%-1.5%-209.3K16.2M-228.6K0.6718.941,9451,31028,92527,301
2010-05-25$27.19$29.3848.4%13.9%51.8%0.0%55.1%11.3%-0.4%-176.5K15.0M-234.1K1.0616.059551,00929,76227,482
2010-05-26$27.05$29.3847.7%13.7%51.8%0.0%48.7%10.8%0.2%-137.5K14.3M-233.9K0.3011.991,01230230,22727,373
2010-05-27$29.14$29.3842.0%12.0%58.5%0.0%42.2%18.9%0.4%94.5K2.3M-250.4K0.1817.241,25922730,71627,407
2010-05-28$28.87$29.3842.8%12.3%58.2%0.0%43.7%8.2%1.1%94.0K2.9M-247.4K0.5616.9158832830,89427,335