SCCO Options History — July 2010

In July 2010, SCCO traded between $25.89 and $31.59. ATM implied volatility averaged 43.8%. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 4.0% (HV 20d: 47.8%). Max pain ranged from $26.44 to $29.38. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2010-07-21: Highest Volume — 6,037 contracts
  • 2010-07-12: Largest IV spike — 25.7% change
  • 2010-07-01: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.36$25.89$31.59$25.98$30.76
Max Pain$29.00$26.44$29.38$29.38$29.38
ATM IV43.8%38.7%54.1%54.1%39.3%
Expected Move12.7%11.3%15.5%15.5%11.3%
HV 20d47.8%40.8%54.4%54.4%40.8%
HV 60d53.3%50.5%54.6%50.6%53.5%
Term Structure0.0%-4.5%3.8%1.3%1.3%
VWIV44.1%37.6%50.7%50.7%37.6%
Skew 25d8.4%3.4%10.7%4.5%7.4%
Skew 10d16.5%7.2%27.1%12.9%12.1%
Call IV 25d40.0%35.3%50.7%50.7%35.3%
Put IV 25d48.5%42.7%55.2%55.2%42.7%
Bid-Ask Spread %22.4113.6352.4919.6452.49
Gamma HHI0.230.180.310.280.18
Net GEX479.4K-124.0K909.6K-66.1K857.2K
Net DEX-3.4M-22.9M17.2M16.3M-12.3M
Net VEX-242.1K-277.4K-198.9K-204.7K-268.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.162.690.240.36
Total Volume2,395.5247806,0372,6231,832
Total OI56,499.1947,80862,39253,99162,392

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$25.98$29.3854.1%15.5%54.4%0.0%50.7%4.5%1.3%-66.1K16.3M-204.7K0.2419.642,11750630,11823,873
2010-07-02$25.89$29.3851.5%14.8%49.9%0.0%49.5%3.4%2.7%-124.0K17.2M-198.9K0.5227.3051226829,62924,097
2010-07-06$26.69$29.3853.0%14.9%49.2%0.0%49.4%9.3%-1.6%-44.2K14.3M-204.9K0.3815.2082431029,63624,136
2010-07-07$28.31$29.3844.3%13.3%48.9%0.0%47.5%9.7%0.0%239.4K5.0M-226.7K0.1613.631,86530629,98124,216
2010-07-08$28.89$26.4442.9%13.4%49.2%0.0%46.8%9.3%0.0%426.3K-807.4K-235.8K0.8715.9988877530,95024,256
2010-07-09$29.66$26.4438.7%12.6%45.0%0.0%43.8%8.6%0.1%592.7K-7.2M-244.8K0.2215.471,83140431,13424,611
2010-07-12$28.49$27.4248.7%13.4%46.8%0.0%47.7%9.0%-0.2%412.6K3.1M-229.6K2.6917.144771,28331,29124,779
2010-07-13$29.58$29.3843.2%12.8%48.9%0.0%44.8%8.1%-0.1%650.3K-6.0M-240.4K1.1016.6184692731,48025,323
2010-07-14$29.45$29.3840.1%12.8%47.4%0.0%44.5%8.1%-0.1%670.0K-4.5M-239.7K0.8615.3858350031,61225,869
2010-07-15$29.17$29.3843.9%12.6%47.3%0.0%45.8%8.8%0.8%653.6K423.1K-232.6K0.2816.951,33837131,86726,212
2010-07-16$28.33$29.3845.9%13.2%47.9%0.0%46.5%9.2%0.7%-90.7K9.8M-221.6K1.5518.479521,47232,18526,321
2010-07-19$28.66$29.3843.6%12.5%48.2%0.0%42.2%9.2%0.3%98.6K4.2M-219.0K0.3516.251,38748524,97022,838
2010-07-20$29.97$29.3840.9%11.7%50.3%0.0%41.7%10.6%0.6%317.0K-2.7M-231.2K0.5321.623,7031,94825,89622,967
2010-07-21$30.43$29.3843.2%12.4%49.5%0.0%43.5%9.8%-1.0%498.8K-9.4M-253.8K0.6215.203,7202,31728,20624,253
2010-07-22$31.38$29.3840.5%11.6%50.5%0.0%40.5%10.7%0.1%716.3K-18.7M-271.1K0.4521.293,3371,51130,33025,487
2010-07-23$31.59$29.3839.4%11.3%48.7%0.0%38.8%9.8%-1.5%909.6K-22.9M-261.5K0.4328.554,0961,76332,03926,164
2010-07-26$31.47$29.3843.2%12.4%48.6%0.0%42.0%6.8%-4.5%904.7K-19.9M-277.4K0.5547.281,35274733,69127,164
2010-07-27$30.57$29.3840.7%11.7%49.0%0.0%43.8%9.3%-1.2%802.5K-12.0M-275.1K1.5218.5537256434,26627,712
2010-07-28$30.83$29.3841.8%12.0%41.5%0.0%39.6%8.0%-1.5%827.7K-13.7M-275.8K0.3622.0657620934,28728,044
2010-07-29$30.54$29.3840.0%11.5%40.9%0.0%38.9%7.5%3.8%815.0K-12.3M-271.2K0.4535.5371331934,19428,007
2010-07-30$30.76$29.3839.3%11.3%40.8%0.0%37.6%7.4%1.3%857.2K-12.3M-268.3K0.3652.491,34548734,37728,015