SCCO Options History — August 2010

In August 2010, SCCO traded between $27.46 and $31.72. ATM implied volatility averaged 37.9%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 4.9% (HV 20d: 33.1%). Max pain ranged from $29.38 to $29.38. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.70.

Notable Days

  • 2010-08-09: Highest Volume — 19,695 contracts
  • 2010-08-27: Largest IV drop — 15.9% change
  • 2010-08-19: Highest IV Rank — 47.0%
  • 2010-08-19: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.39$27.46$31.72$31.72$29.60
Max Pain$29.38$29.38$29.38$29.38$29.38
ATM IV37.9%32.9%43.5%38.8%35.5%
Expected Move11.0%9.4%12.5%11.1%10.2%
HV 20d33.1%27.4%41.8%41.2%33.3%
HV 60d48.1%41.8%52.9%52.7%41.8%
IV Rank35.0%24.7%47.0%34.9%27.4%
IV Percentile34.1%9.0%64.1%31.0%17.6%
Term Structure1.2%-2.9%4.7%0.5%1.9%
VWIV39.1%34.1%59.5%38.2%34.8%
Skew 25d6.5%3.9%9.6%9.6%4.5%
Skew 10d12.9%2.4%20.7%20.7%15.2%
Call IV 25d35.4%32.4%41.1%32.6%34.2%
Put IV 25d41.9%38.0%45.1%42.1%38.7%
Bid-Ask Spread %30.2615.7161.6452.8461.64
Gamma HHI0.140.110.200.200.12
Net GEX411.2K-141.8K1.2M1.2M502.3K
Net DEX3.8M-22.8M18.8M-22.8M-1.2M
Net VEX-240.1K-271.0K-211.2K-270.0K-236.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.023.400.820.42
Total Volume2,676.27368519,6952,6023,186
Total OI63,882.45555,67770,32863,04360,162

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$31.72$29.3838.8%11.1%41.2%0.0%38.2%9.6%0.5%1.2M-22.8M-270.0K0.8252.841,4271,17534,78628,257
2010-08-03$31.11$29.3836.1%10.3%41.8%0.0%38.1%7.6%2.1%1.1M-16.1M-271.0K0.5830.0774543435,25228,665
2010-08-04$31.06$29.3832.9%9.4%37.2%0.0%34.1%7.3%4.7%1.1M-15.4M-265.2K0.8819.971,3001,14735,37129,114
2010-08-05$30.53$29.3835.0%10.0%37.5%0.0%35.9%7.2%2.3%868.1K-7.4M-259.5K0.4617.1852624135,77829,859
2010-08-06$30.04$29.3834.3%10.9%37.0%0.0%36.8%6.9%-0.5%737.3K-1.5M-249.8K0.6223.871,7851,09935,85329,662
2010-08-09$30.38$29.3834.7%10.4%33.8%0.0%59.5%6.2%1.1%843.3K-4.8M-250.9K0.0242.8419,31538036,10630,337
2010-08-10$29.80$29.3838.0%11.2%32.1%0.0%38.7%7.8%-0.9%671.3K1.2M-251.5K0.9925.3194093135,62930,468
2010-08-11$28.71$29.3840.7%11.4%34.7%0.0%39.8%5.8%0.1%176.4K13.3M-236.7K0.9916.871,1531,14235,67630,928
2010-08-12$28.98$29.3839.7%11.4%34.8%0.0%41.4%7.4%0.0%281.8K10.9M-240.9K1.0736.1750754635,72231,021
2010-08-13$28.67$29.3840.9%11.7%33.3%0.0%41.6%6.8%0.0%115.7K14.2M-238.1K3.4034.275701,93635,86131,342
2010-08-16$29.02$29.3839.6%11.4%33.3%0.0%37.8%8.2%1.9%106.2K13.0M-239.0K0.1450.036008536,10232,375
2010-08-17$29.65$29.3838.5%11.0%30.1%34.9%36.7%6.6%1.1%501.1K5.0M-243.3K0.2119.121,55232836,30632,290
2010-08-18$29.43$29.3838.3%11.0%29.6%34.3%37.0%6.0%1.7%507.1K6.2M-244.5K0.0919.441,47613437,07032,277
2010-08-19$28.84$29.3843.5%12.5%27.6%47.0%39.3%7.2%-2.9%148.4K13.5M-236.5K0.4821.7384640237,71032,324
2010-08-20$28.79$29.3838.9%11.2%27.4%35.9%39.4%6.4%2.3%-20.1K18.8M-229.7K0.7621.1376057937,77832,550
2010-08-23$28.50$29.3836.2%10.4%27.4%29.2%36.5%7.8%3.2%2.7K9.4M-221.5K0.4422.741,61070029,32026,357
2010-08-24$27.46$29.3841.9%12.0%28.5%43.1%42.3%4.0%2.7%-141.8K15.4M-211.7K0.6045.931,07665130,20926,534
2010-08-25$27.76$29.3840.5%11.6%28.7%39.9%39.4%3.9%0.0%-128.9K14.8M-211.2K0.3838.4190934330,50326,482
2010-08-26$27.89$29.3840.8%11.7%28.9%40.5%41.2%5.2%1.9%-74.5K12.4M-213.9K1.0015.7179179330,39226,439
2010-08-27$29.47$29.3834.3%9.8%35.6%24.7%34.9%5.0%1.8%254.9K3.4M-231.0K0.3430.342,03969830,79926,890
2010-08-30$29.29$29.3835.7%10.2%33.5%28.0%37.0%5.7%1.6%349.3K2.0M-230.1K0.6220.141,24977231,97726,881
2010-08-31$29.60$29.3835.5%10.2%33.3%27.4%34.8%4.5%1.9%502.3K-1.2M-236.0K0.4261.642,24294432,81827,344