SCCO Options History — November 2010

In November 2010, SCCO traded between $41.06 and $45.76. ATM implied volatility averaged 40.7%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 0.6% (HV 20d: 40.1%). Max pain ranged from $34.27 to $42.11. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.64.

Notable Days

  • 2010-11-11: Highest Volume — 184,623 contracts
  • 2010-11-23: Largest IV spike — 22.5% change
  • 2010-11-23: Highest IV Rank — 54.6%
  • 2010-11-23: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.02$41.06$45.76$42.04$41.06
Max Pain$39.45$34.27$42.11$39.17$42.11
ATM IV40.7%34.7%46.6%39.5%45.6%
Expected Move11.6%10.0%13.3%11.3%13.1%
HV 20d40.1%29.4%47.9%33.9%47.9%
HV 60d32.7%29.7%35.5%30.0%35.1%
IV Rank40.3%25.6%54.6%37.3%52.3%
IV Percentile56.8%25.3%85.6%48.6%83.4%
Term Structure-0.5%-8.3%3.7%1.9%-2.2%
VWIV42.8%36.8%47.9%46.2%47.9%
Skew 25d8.9%3.1%12.8%12.8%8.0%
Skew 10d20.4%7.2%31.2%25.7%25.0%
Call IV 25d37.0%31.5%43.2%35.4%43.2%
Put IV 25d45.9%42.0%51.2%48.2%51.2%
Bid-Ask Spread %32.0221.8142.6433.2527.49
Gamma HHI0.120.070.340.150.08
Net GEX491.3K-1.0M2.7M42.0K169.1K
Net DEX-84.9M-151.0M-39.2M-96.8M-45.3M
Net VEX-375.9K-441.5K-329.9K-428.4K-390.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.008.578.570.43
Total Volume12,480.4291,048184,6239,8172,094
Total OI93,647.66762,268111,214101,84972,802

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$42.04$39.1739.5%11.3%33.9%37.3%46.2%12.8%1.9%42.0K-96.8M-428.4K8.5733.251,0278,79043,26558,584
2010-11-02$41.94$39.1738.6%11.1%31.7%35.2%43.0%12.5%0.8%-381.3K-91.9M-441.5K1.0028.4754153943,44460,518
2010-11-03$41.67$39.1740.1%11.5%29.4%38.7%43.5%12.8%-0.0%-597.8K-86.7M-441.3K3.9941.156052,41443,69560,765
2010-11-04$44.19$39.1734.7%10.0%34.7%25.6%39.8%11.9%1.4%520.7K-126.4M-394.6K0.4621.812,4851,14843,81960,997
2010-11-05$45.66$34.2740.2%10.9%35.8%39.0%36.8%10.5%2.2%764.2K-146.4M-356.2K0.2527.805,1881,27644,41661,313
2010-11-08$45.52$34.2738.1%10.6%35.9%33.9%39.3%7.9%0.6%1.2M-150.2M-339.7K1.4027.352,2423,13946,62461,930
2010-11-09$44.21$34.2737.9%11.4%38.3%33.5%39.8%3.1%-2.2%917.7K-136.8M-350.4K0.7134.553,3692,40445,99763,699
2010-11-10$44.55$35.2539.7%11.1%36.6%37.9%40.7%6.8%1.2%1.3M-134.9M-360.7K0.4634.612,3221,06146,43964,497
2010-11-11$45.76$35.2540.4%11.6%36.7%39.4%40.6%9.0%-4.2%1.5M-151.0M-335.9K0.0027.96183,82280146,81564,399
2010-11-12$43.21$41.1339.5%11.3%42.8%37.4%42.8%8.1%2.9%-233.3K-59.4M-380.8K0.8640.702,3181,98932,72464,698
2010-11-15$42.79$41.1343.4%12.4%43.0%46.8%43.5%9.3%-1.8%-312.4K-57.6M-379.3K0.6029.0397358333,87665,403
2010-11-16$41.55$41.1344.0%12.6%42.7%48.4%45.7%7.8%-0.3%-1.0M-39.2M-378.1K5.3234.551,2016,38734,37965,420
2010-11-17$41.65$41.1343.9%12.6%39.6%48.0%45.6%7.5%-2.2%-521.3K-45.3M-379.2K1.2532.2156170134,69064,943
2010-11-18$43.42$41.1340.7%11.7%41.8%40.3%43.1%7.6%2.0%1.4M-68.5M-368.2K0.3035.901,34540134,81365,236
2010-11-19$43.74$41.1339.4%11.3%41.6%37.1%40.9%6.7%1.1%2.7M-73.0M-357.4K0.8024.961,4201,13535,43265,377
2010-11-22$43.37$41.1338.0%10.9%41.4%33.6%39.5%7.5%3.7%972.7K-68.5M-329.9K2.0136.921,4072,83532,09830,170
2010-11-23$41.07$42.1146.6%13.3%45.8%54.6%45.6%7.0%-8.3%715.1K-48.3M-359.6K3.5128.981,2934,53232,85830,835
2010-11-24$42.64$42.1141.6%11.9%47.6%42.5%44.1%11.1%-2.4%606.2K-58.7M-379.1K1.7342.641,5162,61533,52534,323
2010-11-26$41.78$42.1141.7%11.9%47.7%42.6%45.1%10.7%-2.8%315.7K-50.3M-376.6K0.2127.6686418434,28536,312
2010-11-29$41.63$42.1141.8%12.0%47.7%42.9%45.7%7.7%-2.2%216.3K-47.4M-367.5K0.6734.481,5301,03234,85236,334
2010-11-30$41.06$42.1145.6%13.1%47.9%52.3%47.9%8.0%-2.2%169.1K-45.3M-390.1K0.4327.491,46862635,77437,028