SCCO Options History — December 2010

In December 2010, SCCO traded between $42.24 and $47.83. ATM implied volatility averaged 35.2%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 0.1% (HV 20d: 35.1%). Max pain ranged from $34.27 to $42.11. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.62.

Notable Days

  • 2010-12-13: Highest Volume — 6,237 contracts
  • 2010-12-13: Largest IV spike — 25.2% change
  • 2010-12-01: Highest IV Rank — 49.3%
  • 2010-12-01: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.84$42.24$47.83$42.24$47.73
Max Pain$37.79$34.27$42.11$42.11$39.17
ATM IV35.2%27.4%44.4%44.4%31.2%
Expected Move9.8%7.8%12.7%12.7%8.9%
HV 20d35.1%20.4%49.2%49.0%20.4%
HV 60d36.0%34.6%36.6%35.4%34.6%
IV Rank26.7%7.6%49.3%49.3%16.9%
IV Percentile29.1%1.4%80.0%80.0%11.3%
Term Structure3.0%-2.2%6.7%-2.2%4.8%
VWIV34.6%28.7%43.5%43.5%30.6%
Skew 25d6.1%2.5%11.3%8.0%11.3%
Skew 10d13.7%5.8%21.4%19.1%20.6%
Call IV 25d31.2%22.8%39.3%39.3%24.4%
Put IV 25d37.2%31.2%47.3%47.3%35.8%
Bid-Ask Spread %38.8518.2964.9330.6318.29
Gamma HHI0.130.080.200.080.20
Net GEX1.9M490.5K2.7M490.5K2.2M
Net DEX-103.5M-122.2M-60.4M-60.4M-116.9M
Net VEX-382.7K-396.1K-357.0K-394.7K-394.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.242.030.602.03
Total Volume2,314.6829276,2371,8922,330
Total OI73,358.90961,53183,78274,04568,384

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$42.24$42.1144.4%12.7%49.0%49.3%43.5%8.0%-2.2%490.5K-60.4M-394.7K0.6030.631,18570736,81837,227
2010-12-02$42.87$42.1139.6%11.4%49.2%37.7%40.8%9.4%0.1%711.1K-67.2M-390.7K0.4628.961,06349436,95337,262
2010-12-03$43.54$42.1139.1%11.2%44.7%36.3%37.6%5.7%0.6%963.1K-77.8M-370.0K0.4723.661,04949737,19837,364
2010-12-06$44.40$34.2738.9%11.1%43.6%35.9%38.4%8.9%0.0%1.3M-87.2M-367.8K0.4528.121,58971337,54637,577
2010-12-07$45.58$34.2736.7%10.3%44.7%30.4%37.3%5.5%0.6%1.8M-105.8M-357.0K0.4526.333,1371,41838,05837,536
2010-12-08$44.78$35.2538.5%10.5%43.9%34.8%37.9%4.0%1.5%1.7M-95.9M-363.2K0.3229.793,11799038,59937,891
2010-12-09$44.77$35.2539.1%10.1%43.8%36.3%35.8%4.4%1.2%1.8M-100.1M-390.3K0.6248.5384352040,66038,055
2010-12-10$45.17$35.2534.7%10.3%42.8%25.6%35.7%4.9%2.3%2.2M-105.8M-388.8K0.4934.5276037140,93438,146
2010-12-13$46.34$35.2543.5%10.3%38.1%47.0%36.8%2.5%1.0%2.6M-122.2M-377.8K0.6234.633,8532,38441,32638,286
2010-12-14$46.14$36.2343.8%10.0%37.9%47.9%36.8%5.2%2.4%2.7M-117.7M-385.2K0.9164.571,1811,07942,67240,066
2010-12-15$45.83$36.2335.0%10.0%36.1%26.3%34.8%2.8%1.5%2.6M-114.8M-386.9K0.5564.9364435542,61040,665
2010-12-16$45.31$36.2336.2%10.4%36.6%29.3%37.9%3.4%3.6%2.4M-107.1M-381.6K0.2763.671,51040242,62440,740
2010-12-17$45.59$36.2334.2%9.8%33.8%24.4%34.3%5.0%2.0%1.7M-111.0M-386.5K0.8659.551,3921,19643,04840,734
2010-12-20$46.04$37.2129.9%8.6%33.9%13.9%31.0%2.9%5.8%1.8M-96.8M-379.9K1.2442.451,8962,35836,44525,086
2010-12-21$47.16$39.1729.4%8.4%34.4%12.7%29.7%4.0%5.6%2.0M-110.4M-375.8K0.7236.792,2701,63237,54025,980
2010-12-22$47.55$39.1729.2%8.4%26.5%12.1%29.1%7.7%5.7%2.0M-112.7M-377.1K0.4141.611,37656938,03326,818
2010-12-23$47.65$39.1727.4%7.8%24.0%7.6%28.7%8.6%6.7%2.1M-114.1M-396.1K0.4532.371,16151638,80927,165
2010-12-27$46.97$39.1731.4%9.0%23.3%17.5%32.2%3.4%5.6%2.1M-108.9M-388.2K0.7362.4353739039,02427,548
2010-12-28$47.13$39.1731.9%9.2%23.0%18.8%32.0%6.8%5.5%2.1M-110.4M-392.9K0.2432.2581219739,21627,800
2010-12-29$47.75$39.1729.2%8.4%21.9%12.1%29.4%10.5%6.4%2.3M-116.8M-386.8K0.3524.5281328839,58727,933
2010-12-30$47.83$39.1730.2%8.7%20.5%14.5%31.6%8.9%5.6%2.2M-117.8M-388.8K0.4626.0791241739,80228,131
2010-12-31$47.73$39.1731.2%8.9%20.4%16.9%30.6%11.3%4.8%2.2M-116.9M-394.3K2.0318.297701,56040,05428,330