SCCO Options History — June 2010

In June 2010, SCCO traded between $25.70 and $30.73. ATM implied volatility averaged 47.7%. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 14.9% (HV 20d: 62.6%). Max pain ranged from $29.38 to $29.38. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.78.

Notable Days

  • 2010-06-21: Highest Volume — 6,927 contracts
  • 2010-06-04: Largest IV spike — 34.9% change
  • 2010-06-07: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.61$25.70$30.73$27.33$25.99
Max Pain$29.38$29.38$29.38$29.38$29.38
ATM IV47.7%40.6%65.1%48.4%54.9%
Expected Move13.5%11.6%16.6%13.9%15.7%
HV 20d62.6%54.6%66.7%61.0%54.6%
HV 60d49.1%43.6%50.6%43.6%50.6%
Term Structure0.3%-4.1%3.3%0.5%-0.3%
VWIV47.0%41.3%57.0%57.0%50.9%
Skew 25d9.0%5.3%19.1%12.3%6.8%
Skew 10d15.7%5.2%31.1%11.2%15.5%
Call IV 25d43.6%34.3%51.3%45.5%48.9%
Put IV 25d52.6%47.2%61.7%57.8%55.7%
Bid-Ask Spread %20.4010.6029.6822.8620.56
Gamma HHI0.270.230.360.290.28
Net GEX209.5K-268.6K516.2K-81.2K-43.6K
Net DEX1.2M-17.1M22.5M12.3M15.5M
Net VEX-240.0K-262.7K-197.0K-228.0K-206.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.082.902.330.54
Total Volume2,439.4097036,9271,582703
Total OI58,719.31846,18168,86158,51953,995

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$27.33$29.3848.4%13.9%61.0%0.0%57.0%12.3%0.5%-81.2K12.3M-228.0K2.3322.864751,10731,04627,473
2010-06-02$28.99$29.3845.2%13.0%63.1%0.0%45.4%19.1%0.6%91.7K3.0M-241.0K0.1510.6090713131,22227,456
2010-06-03$28.42$29.3845.5%13.0%63.6%0.0%46.2%13.9%-0.6%54.2K6.8M-236.7K0.3012.291,04931031,62527,429
2010-06-04$26.70$29.3861.4%16.3%64.8%0.0%54.0%10.2%-2.2%-113.2K17.0M-217.5K0.7022.022,1481,50532,19327,480
2010-06-07$25.70$29.3865.1%16.6%66.2%0.0%54.2%10.4%-4.1%-268.6K22.5M-197.0K0.7112.281,9051,35631,63727,973
2010-06-08$27.31$29.3849.4%14.3%63.2%0.0%51.4%8.2%-1.6%-122.0K14.3M-217.7K0.3821.071,55859932,28828,687
2010-06-09$27.67$29.3849.0%13.8%63.2%0.0%50.6%9.9%0.4%-30.0K10.4M-226.8K0.5220.641,12058232,87528,627
2010-06-10$29.43$29.3847.5%13.6%66.7%0.0%52.0%9.4%0.2%307.3K-3.9M-240.2K0.8424.263,0342,55233,12128,510
2010-06-11$29.93$29.3847.5%13.6%66.4%0.0%46.6%10.3%-0.1%389.7K-8.9M-258.6K0.3321.401,07635834,55430,318
2010-06-14$29.78$29.3847.7%13.7%65.4%0.0%47.3%9.3%-0.2%364.7K-8.7M-250.1K0.5923.601,23472634,59230,278
2010-06-15$30.73$29.3846.0%13.2%64.8%0.0%43.6%8.7%0.5%401.0K-17.1M-252.9K0.8021.001,07386134,53630,641
2010-06-16$30.31$29.3845.3%13.0%64.8%0.0%43.4%7.3%0.6%430.8K-13.2M-253.0K0.0824.183,21924834,90530,677
2010-06-17$29.73$29.3844.4%12.7%65.3%0.0%44.5%10.4%1.5%504.2K-9.2M-255.2K2.9029.685531,60436,94030,836
2010-06-18$29.69$29.3842.1%12.1%64.1%0.0%42.2%9.1%1.3%516.2K-12.5M-251.6K0.6122.062,3931,45137,11331,748
2010-06-21$30.37$29.3843.4%12.4%61.2%0.0%41.7%7.3%1.8%459.0K-10.2M-262.7K0.4017.064,9461,98125,24720,934
2010-06-22$29.52$29.3843.7%12.5%61.5%0.0%43.1%5.3%-0.5%452.6K-5.6M-260.9K0.5117.721,37670328,52722,061
2010-06-23$29.49$29.3842.2%12.1%61.3%0.0%42.0%7.7%1.6%426.2K-4.0M-259.5K0.4826.711,18156229,10822,489
2010-06-24$28.53$29.3843.2%12.4%62.6%0.0%43.5%6.6%1.6%308.5K1.4M-249.6K2.0819.996331,31429,65522,890
2010-06-25$28.98$29.3840.6%11.6%56.8%0.0%41.3%5.7%3.3%315.1K-198.6K-255.5K0.7816.8697675929,60523,517
2010-06-28$28.27$29.3842.9%12.3%57.4%0.0%42.8%5.4%1.2%224.7K3.9M-243.3K0.4115.8357523229,86423,739
2010-06-29$26.47$29.3854.3%15.6%58.9%0.0%50.8%5.5%0.7%22.5K13.0M-215.8K0.6426.071,5821,01030,03223,382
2010-06-30$25.99$29.3854.9%15.7%54.6%0.0%50.9%6.8%-0.3%-43.6K15.5M-206.6K0.5420.5645724630,18123,814