SCCO Options History — January 2011

In January 2011, SCCO traded between $42.94 and $48.56. ATM implied volatility averaged 36.6%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 11.2% (HV 20d: 25.4%). Max pain ranged from $39.17 to $47.98. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.32.

Notable Days

  • 2011-01-20: Highest Volume — 6,384 contracts
  • 2011-01-13: Largest IV spike — 34.3% change
  • 2011-01-21: Highest IV Rank — 51.4%
  • 2011-01-21: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.29$42.94$48.56$48.56$43.89
Max Pain$44.80$39.17$47.98$39.17$44.07
ATM IV36.6%28.3%45.3%32.9%39.1%
Expected Move10.8%9.4%13.0%9.4%11.2%
HV 20d25.4%19.4%32.4%20.6%32.4%
HV 60d34.9%33.6%35.9%34.7%35.9%
IV Rank30.3%10.0%51.4%21.1%36.4%
IV Percentile37.8%2.6%84.7%18.5%50.6%
Term Structure-0.3%-9.8%4.2%3.1%-2.6%
VWIV37.7%33.0%42.7%33.0%39.4%
Skew 25d5.8%3.2%11.2%9.2%4.7%
Skew 10d8.3%-5.5%19.3%19.3%4.2%
Call IV 25d34.2%24.9%39.3%24.9%36.5%
Put IV 25d40.0%34.1%44.3%34.1%41.1%
Bid-Ask Spread %28.8816.6442.5416.6434.87
Gamma HHI0.150.100.230.230.11
Net GEX1.2M337.2K2.2M2.1M596.3K
Net DEX-71.2M-126.0M-27.9M-126.0M-38.7M
Net VEX-394.1K-416.4K-367.7K-383.7K-385.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.295.350.390.29
Total Volume2,712.97296,3842,818729
Total OI69,575.950,31581,72869,87855,937

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$48.56$39.1732.9%9.4%20.6%21.1%33.0%9.2%3.1%2.1M-126.0M-383.7K0.3916.642,03278640,37629,502
2011-01-04$47.93$39.1735.3%10.1%20.9%27.1%33.6%11.2%3.3%2.2M-115.7M-411.4K1.1922.341,7132,03540,76829,802
2011-01-05$47.59$40.1533.1%9.5%19.4%21.6%33.8%9.6%3.7%2.1M-111.4M-415.2K1.5921.048071,28141,53431,204
2011-01-06$46.64$41.1333.9%9.7%19.7%23.5%34.6%6.8%4.2%1.8M-97.9M-414.4K1.6325.568541,39141,59331,776
2011-01-07$45.56$47.9832.0%10.6%21.7%18.9%38.6%6.1%0.6%1.6M-83.4M-416.4K1.7635.071,2182,13841,89732,559
2011-01-10$44.55$47.9834.9%11.3%23.0%26.1%39.6%5.0%-0.3%1.1M-66.6M-404.4K0.7338.691,19887641,93833,936
2011-01-11$45.75$47.9830.6%10.4%23.1%15.6%37.4%5.5%1.7%1.4M-84.0M-406.9K1.3135.671,4101,84842,28033,987
2011-01-12$46.28$47.0028.3%10.5%23.5%10.0%35.2%5.8%0.1%1.3M-92.8M-397.5K0.9428.751,06399842,61935,023
2011-01-13$45.41$47.0038.0%10.9%24.3%33.7%36.6%5.0%-0.9%989.2K-78.0M-402.4K1.1138.639431,04943,06035,372
2011-01-14$45.49$47.0038.3%11.0%24.0%34.3%36.9%3.8%0.3%947.5K-77.6M-398.0K5.3527.479124,88143,51035,040
2011-01-18$46.52$46.0236.1%10.3%25.2%29.0%36.3%4.5%-0.2%1.5M-95.1M-390.3K0.4123.9389637143,81035,619
2011-01-19$45.75$46.0236.9%10.6%25.7%31.0%37.0%4.8%-1.1%1.2M-83.4M-390.3K1.0822.339391,01743,85935,636
2011-01-20$44.21$46.0241.9%12.0%26.7%43.3%42.7%4.6%-2.9%856.6K-51.7M-370.1K2.8721.071,6504,73443,90436,059
2011-01-21$43.27$46.0245.3%13.0%27.1%51.4%41.3%7.3%-9.8%900.8K-38.0M-376.4K1.3127.981,2351,61244,26937,459
2011-01-24$43.72$46.0238.7%11.1%27.5%35.4%38.8%6.3%-1.5%337.2K-35.5M-367.7K0.3124.622,29171029,00621,309
2011-01-25$42.94$45.0442.3%12.1%27.8%44.2%40.0%3.7%-2.4%445.4K-27.9M-371.5K1.1230.171,9982,23530,78921,681
2011-01-26$44.66$44.0739.3%11.3%31.8%36.9%39.8%3.7%-3.6%687.8K-45.0M-394.1K0.4224.061,35156931,71822,366
2011-01-27$43.74$44.0737.3%10.7%31.8%31.8%39.1%3.2%0.7%656.7K-40.6M-392.7K1.4336.1052174832,35522,518
2011-01-28$43.32$44.0738.2%11.0%31.8%34.2%39.4%5.0%1.7%554.1K-34.6M-392.7K1.0742.5459062932,53922,909
2011-01-31$43.89$44.0739.1%11.2%32.4%36.4%39.4%4.7%-2.6%596.3K-38.7M-385.6K0.2934.8756416532,66523,272