SCCO Options History — September 2010

In September 2010, SCCO traded between $30.98 and $34.44. ATM implied volatility averaged 31.1%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 1.8% (HV 20d: 29.4%). Max pain ranged from $29.38 to $31.34. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2010-09-24: Highest Volume — 5,289 contracts
  • 2010-09-09: Largest IV spike — 12.9% change
  • 2010-09-09: Highest IV Rank — 28.8%
  • 2010-09-09: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.59$30.98$34.44$30.98$34.39
Max Pain$29.94$29.38$31.34$29.38$31.34
ATM IV31.1%27.6%36.0%31.6%32.4%
Expected Move9.1%7.9%10.3%9.1%9.3%
HV 20d29.4%12.6%37.4%37.4%12.6%
HV 60d36.9%31.0%41.0%41.0%31.0%
IV Rank16.8%8.1%28.8%17.9%19.8%
IV Percentile7.5%2.0%23.2%5.8%14.6%
Term Structure1.4%-1.4%3.8%0.4%2.6%
VWIV32.0%28.1%38.9%32.4%33.0%
Skew 25d6.9%3.8%8.4%6.6%5.6%
Skew 10d19.2%13.6%27.0%27.0%21.7%
Call IV 25d28.5%24.8%32.7%29.0%27.9%
Put IV 25d35.4%30.4%40.4%35.6%33.5%
Bid-Ask Spread %22.0012.3532.3523.2728.81
Gamma HHI0.170.130.330.130.19
Net GEX1.5M981.5K1.9M981.5K1.8M
Net DEX-31.6M-50.6M-13.5M-13.5M-50.2M
Net VEX-277.9K-349.2K-252.9K-253.0K-349.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.151.920.261.92
Total Volume2,562.2389195,2893,1201,555
Total OI61,578.90546,18770,70062,05460,858

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$30.98$29.3831.6%9.1%37.4%17.9%32.4%6.6%0.4%981.5K-13.5M-253.0K0.2623.272,48363734,25727,797
2010-09-02$31.14$29.3831.3%9.0%36.9%17.2%31.7%7.3%3.0%1.2M-16.4M-252.9K0.3325.613,5131,15134,95527,879
2010-09-03$31.52$29.3829.7%9.8%36.6%13.3%33.6%5.9%1.5%1.4M-21.7M-264.7K0.2532.351,55338436,70328,617
2010-09-07$31.27$29.3832.6%10.1%36.6%20.5%38.9%8.0%0.9%1.3M-18.0M-253.3K1.5622.707781,21136,81528,688
2010-09-08$31.22$29.3831.9%10.3%35.8%18.7%35.5%7.5%0.3%1.3M-18.3M-254.5K0.9117.011,7041,54436,92929,187
2010-09-09$31.30$29.3836.0%10.3%32.6%28.8%35.3%6.8%-0.0%1.3M-19.6M-273.6K0.5720.4258733238,05330,494
2010-09-10$31.64$29.3834.3%9.8%32.7%24.7%36.0%7.3%0.1%1.5M-23.3M-271.7K0.2221.7080617438,23630,565
2010-09-13$32.37$29.3833.1%9.5%32.8%21.6%30.9%8.3%0.0%1.8M-33.9M-266.4K0.2515.792,01249738,42330,596
2010-09-14$32.33$29.3833.7%9.6%32.8%23.0%32.9%6.9%-1.4%1.8M-33.3M-265.4K0.3524.501,16040439,06430,746
2010-09-15$32.15$29.3830.9%8.8%32.5%16.2%33.1%6.3%2.5%1.6M-30.6M-263.4K0.3818.7590734639,23830,948
2010-09-16$32.31$29.3831.4%9.0%32.2%17.6%31.8%8.4%1.2%1.7M-33.3M-263.5K0.1520.8786612839,61530,956
2010-09-17$32.45$29.3830.5%8.8%30.8%15.4%29.4%8.2%0.8%1.9M-35.7M-261.1K0.2817.811,59444439,74830,952
2010-09-20$32.89$29.3828.4%8.1%30.8%10.1%29.2%7.2%3.3%1.0M-26.9M-259.5K0.4618.112,6521,23126,40119,786
2010-09-21$32.76$30.3630.6%8.8%30.4%15.5%30.1%7.1%1.5%1.2M-27.3M-265.5K0.6823.162,0171,36428,16420,004
2010-09-22$33.15$30.3628.3%8.1%25.6%10.0%28.7%7.0%1.7%1.3M-31.5M-275.4K0.1812.352,64947029,53320,871
2010-09-23$33.47$30.3629.2%8.4%25.6%12.1%29.7%7.7%3.3%1.5M-36.2M-288.0K0.3025.442,06162831,01221,100
2010-09-24$33.97$30.3627.6%7.9%25.6%8.1%28.1%3.8%1.3%1.6M-42.9M-293.0K0.2224.364,33295732,07421,375
2010-09-27$34.30$31.3430.6%8.8%19.3%15.4%31.0%5.0%0.2%1.8M-50.6M-315.8K0.4419.761,57268935,00921,867
2010-09-28$34.44$31.3429.2%8.4%18.6%12.2%31.0%7.4%3.8%1.9M-49.8M-317.9K1.1731.501,2691,48335,00521,987
2010-09-29$34.36$31.3430.6%8.8%19.0%15.5%30.3%6.4%3.4%1.8M-49.8M-328.9K0.4617.812,5041,15935,51523,135
2010-09-30$34.39$31.3432.4%9.3%12.6%19.8%33.0%5.6%2.6%1.8M-50.2M-349.2K1.9228.815321,02336,92523,933