SCCO Options History — February 2011

In February 2011, SCCO traded between $40.16 and $46.34. ATM implied volatility averaged 35.6%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 1.0% (HV 20d: 34.6%). Max pain ranged from $39.17 to $44.07. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 1.05.

Notable Days

  • 2011-02-10: Highest Volume — 25,359 contracts
  • 2011-02-25: Largest IV drop — 9.4% change
  • 2011-02-22: Highest IV Rank — 32.8%
  • 2011-02-04: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.34$40.16$46.34$46.34$41.44
Max Pain$42.16$39.17$44.07$44.07$42.11
ATM IV35.6%31.8%37.7%36.6%32.7%
Expected Move10.3%9.1%10.8%10.5%9.4%
HV 20d34.6%30.8%38.0%37.9%30.8%
HV 60d31.9%28.7%35.6%35.6%28.7%
IV Rank27.7%18.4%32.8%30.3%20.7%
IV Percentile31.0%14.7%42.5%35.1%17.5%
Term Structure1.3%-1.3%6.5%-0.3%0.4%
VWIV36.9%31.7%59.9%34.9%31.7%
Skew 25d4.4%2.0%10.8%10.8%2.0%
Skew 10d8.5%3.8%18.4%18.4%3.8%
Call IV 25d33.7%30.6%35.8%31.8%31.5%
Put IV 25d38.1%33.5%42.6%42.6%33.5%
Bid-Ask Spread %30.0916.1755.0030.8843.69
Gamma HHI0.110.100.140.130.10
Net GEX362.5K-1.1M1.2M1.1M419.4K
Net DEX-26.5M-64.2M6.5M-64.2M-10.5M
Net VEX-393.2K-409.2K-376.0K-387.1K-388.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.023.490.270.91
Total Volume4,496.7371,56225,3594,3242,341
Total OI63,563.42156,23070,72556,23068,445

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-02-01$46.34$44.0736.6%10.5%37.9%30.3%34.9%10.8%-0.3%1.1M-64.2M-387.1K0.2730.883,39992532,90123,329
2011-02-02$45.76$44.0735.8%10.2%37.8%28.1%33.5%7.4%0.6%1.2M-61.6M-394.8K0.6737.461,30987134,41223,553
2011-02-03$45.23$44.0737.5%10.7%38.0%32.3%34.4%6.3%1.7%1.0M-52.5M-394.5K0.1930.431,65732134,88124,132
2011-02-04$45.36$39.1734.7%10.8%37.4%25.6%36.7%4.5%-1.3%1.1M-54.9M-393.1K0.8455.0085171135,27824,283
2011-02-07$45.02$39.1735.1%10.3%36.6%26.6%35.9%2.9%0.4%981.5K-50.2M-392.5K0.7030.432,0681,44135,59824,800
2011-02-08$45.17$39.1734.9%10.4%35.7%26.0%38.4%4.0%0.3%1.2M-52.0M-404.3K1.7421.461,2962,26036,99925,793
2011-02-09$43.96$39.1734.7%10.1%35.6%25.5%35.2%2.3%2.5%616.0K-35.8M-406.7K0.4326.261,61869437,72826,999
2011-02-10$43.88$40.1535.7%10.2%35.3%28.1%59.9%5.4%1.6%579.5K-32.4M-409.2K0.0222.4724,91544438,01827,253
2011-02-11$43.48$42.1137.5%10.8%34.8%32.5%37.5%4.0%-0.2%421.6K-25.6M-397.4K2.0538.115811,19136,15127,433
2011-02-14$43.75$43.0937.3%10.7%35.0%32.0%37.2%3.8%-0.3%533.7K-27.7M-394.4K3.3120.187482,47135,81328,275
2011-02-15$43.08$43.0935.1%10.1%34.0%26.6%34.9%3.5%2.8%-141.3K-14.3M-391.3K0.2427.232,02249236,11329,254
2011-02-16$43.22$43.0935.3%10.1%33.8%27.1%35.7%5.3%1.9%-58.6K-17.0M-390.9K0.4022.881,30752236,80529,457
2011-02-17$42.55$43.0936.7%10.5%32.1%30.4%38.5%4.1%1.4%-574.6K-7.0M-386.3K2.5616.171,8824,82836,83229,639
2011-02-18$41.74$43.0935.5%10.2%31.9%27.4%37.1%2.9%2.0%-1.1M5.3M-391.6K3.4919.991,5515,41237,49333,232
2011-02-22$40.16$43.0937.7%10.8%34.1%32.8%37.4%3.4%6.5%-435.9K6.5M-376.0K0.9354.782,5632,39630,61030,322
2011-02-23$40.83$43.0936.3%10.4%34.5%29.5%37.2%4.4%0.8%-218.4K2.5M-385.9K0.6926.933,7832,62431,77430,538
2011-02-24$40.91$43.0935.1%10.1%30.8%26.5%33.9%3.2%1.0%-54.0K-1.2M-387.8K0.2429.401,66140533,72732,391
2011-02-25$41.53$43.0931.8%9.1%30.9%18.4%32.2%3.5%3.3%336.4K-10.0M-399.3K0.2218.021,53534334,92532,519
2011-02-28$41.44$42.1132.7%9.4%30.8%20.7%31.7%2.0%0.4%419.4K-10.5M-388.6K0.9143.691,2281,11335,75532,690