SCCO Options History — October 2010

In October 2010, SCCO traded between $34.68 and $42.19. ATM implied volatility averaged 37.2%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 10.4% (HV 20d: 26.8%). Max pain ranged from $31.34 to $39.17. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.36.

Notable Days

  • 2010-10-07: Highest Volume — 14,317 contracts
  • 2010-10-13: Largest IV spike — 21.5% change
  • 2010-10-15: Highest IV Rank — 49.6%
  • 2010-10-15: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.54$34.68$42.19$35.13$41.91
Max Pain$36.70$31.34$39.17$31.34$39.17
ATM IV37.2%27.4%44.5%27.4%36.8%
Expected Move11.1%7.9%12.8%7.9%10.6%
HV 20d26.8%13.9%34.8%13.9%34.8%
HV 60d30.4%29.4%31.1%31.1%30.3%
IV Rank31.8%7.8%49.6%7.8%30.8%
IV Percentile40.7%1.9%78.0%1.9%35.4%
Term Structure-1.2%-5.2%6.0%6.0%1.4%
VWIV41.8%29.8%48.4%29.8%44.3%
Skew 25d10.3%7.2%13.1%7.8%13.0%
Skew 10d20.5%13.7%27.9%22.8%24.9%
Call IV 25d34.3%24.0%38.5%24.0%31.2%
Put IV 25d44.5%31.9%50.3%31.9%44.2%
Bid-Ask Spread %25.0815.1438.6019.1033.45
Gamma HHI0.160.130.190.190.14
Net GEX303.0K-714.1K1.8M1.8M54.2K
Net DEX-84.9M-115.5M-51.6M-58.6M-93.8M
Net VEX-416.0K-485.0K-339.7K-345.2K-437.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.364.362.441.54
Total Volume5,204.61972414,3175,4991,563
Total OI87,546.8161,718101,88761,718101,382

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$35.13$31.3427.4%7.9%13.9%7.8%29.8%7.8%6.0%1.8M-58.6M-345.2K2.4419.101,6003,89937,04024,678
2010-10-04$34.68$34.2731.7%9.9%15.2%18.2%33.9%9.1%-1.7%1.6M-51.6M-357.2K0.5515.1446725737,34128,191
2010-10-05$36.23$34.2729.2%9.2%19.8%12.1%31.3%7.6%-2.1%1.5M-71.3M-341.4K0.5418.252,5501,38737,37128,200
2010-10-06$37.75$34.2731.7%10.2%22.8%18.2%35.9%8.2%-2.9%1.2M-86.9M-339.7K0.5920.175,8483,47437,82929,103
2010-10-07$37.50$36.2334.6%10.8%23.4%25.4%41.3%8.3%-1.2%1.2M-83.4M-371.0K2.0916.324,6269,69139,98031,489
2010-10-08$37.95$36.2332.8%10.9%23.4%20.8%41.4%7.2%-1.9%683.0K-87.8M-389.0K4.3620.681,6287,09642,04938,011
2010-10-11$37.94$36.2333.3%11.5%23.0%22.2%44.0%9.7%-2.7%304.7K-79.3M-429.7K1.1817.891,2241,44442,57243,491
2010-10-12$38.00$36.2331.7%11.2%22.9%18.2%41.7%10.1%-3.3%215.4K-79.9M-422.9K0.7223.121,9111,37942,69644,395
2010-10-13$39.46$36.2338.5%11.4%24.5%34.9%46.0%11.8%-2.1%324.4K-99.7M-417.0K2.5218.843,2868,26942,96744,985
2010-10-14$40.47$36.2343.3%12.4%25.0%46.5%48.4%12.5%-5.2%127.2K-107.0M-429.4K1.1727.295,7086,69543,86450,175
2010-10-15$41.14$37.2144.5%12.8%24.9%49.6%47.2%13.1%-2.6%498.1K-115.5M-443.2K1.9333.482,8685,52446,85055,037
2010-10-18$41.29$37.2142.0%12.0%25.1%43.4%47.5%11.8%1.0%-273.3K-82.5M-441.8K1.3626.581,1741,59738,81751,521
2010-10-19$39.96$37.2141.3%11.8%29.1%41.8%46.4%10.6%-0.6%-714.1K-64.0M-485.0K1.3838.601,9812,73539,20353,732
2010-10-20$41.80$38.1941.3%11.8%31.7%41.7%47.1%12.0%-1.0%-329.6K-90.7M-434.4K1.1124.861,7251,91339,79955,354
2010-10-21$41.17$38.1941.4%11.9%33.1%41.9%42.2%10.0%-0.9%-518.8K-81.6M-453.5K0.9332.082,1592,01040,12156,307
2010-10-22$40.80$38.1940.0%11.5%33.7%38.5%43.8%10.4%1.2%-593.1K-77.2M-465.7K1.2624.0771089640,84456,375
2010-10-25$41.59$38.1940.8%11.7%33.9%40.6%43.6%11.4%-0.1%-278.3K-90.2M-452.1K0.6427.281,54198141,11156,825
2010-10-26$41.98$38.1938.8%11.1%33.9%35.6%37.1%10.1%-2.0%-243.1K-95.6M-419.9K0.4526.711,89285941,24757,028
2010-10-27$41.42$38.1940.8%11.7%34.6%40.5%44.0%11.9%-1.1%-252.9K-86.5M-442.2K1.4331.101,0821,54542,40257,525
2010-10-28$42.19$39.1740.1%11.5%34.6%38.7%40.8%9.0%-2.4%-5.6K-99.8M-417.7K0.3631.661,55055342,62357,953
2010-10-29$41.91$39.1736.8%10.6%34.8%30.8%44.3%13.0%1.4%54.2K-93.8M-437.7K1.5433.4561594843,14058,242