SCCO Options History — March 2011

In March 2011, SCCO traded between $37.85 and $41.82. ATM implied volatility averaged 35.1%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 4.7% (HV 20d: 30.5%). Max pain ranged from $39.17 to $42.11. Net GEX was positive for 7 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 1.26.

Notable Days

  • 2011-03-25: Highest Volume — 7,368 contracts
  • 2011-03-10: Largest IV spike — 14.5% change
  • 2011-03-16: Highest IV Rank — 42.7%
  • 2011-03-16: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.81$37.85$41.82$40.44$39.43
Max Pain$39.85$39.17$42.11$42.11$39.17
ATM IV35.1%29.8%41.7%34.1%30.0%
Expected Move10.2%8.5%12.0%9.8%8.6%
HV 20d30.5%23.6%33.9%31.2%31.5%
HV 60d30.2%28.5%31.7%28.9%31.4%
IV Rank26.6%13.6%42.7%24.2%14.1%
IV Percentile32.2%7.1%72.2%21.8%7.9%
Term Structure1.3%-3.2%4.6%1.3%4.6%
VWIV35.3%29.8%42.6%36.1%29.8%
Skew 25d5.1%1.8%10.5%4.3%3.2%
Skew 10d9.0%3.0%18.3%7.5%6.0%
Call IV 25d32.6%26.6%39.2%33.2%28.7%
Put IV 25d37.6%31.3%46.9%37.4%31.9%
Bid-Ask Spread %28.1917.6744.1426.6228.06
Gamma HHI0.120.080.360.100.11
Net GEX-377.0K-1.8M748.9K-94.5K-603.7K
Net DEX5.9M-17.1M37.3M2.8M4.2M
Net VEX-391.0K-422.1K-362.4K-386.0K-416.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.094.302.274.30
Total Volume2,678.5229957,3682,9202,149
Total OI66,723.91345,95279,37569,42061,582

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$40.44$42.1134.1%9.8%31.2%24.2%36.1%4.3%1.3%-94.5K2.8M-386.0K2.2726.628932,02736,19133,229
2011-03-02$41.04$42.1134.8%10.0%23.6%25.9%33.8%4.0%1.7%54.9K-2.4M-389.8K0.3417.671,20941036,52233,845
2011-03-03$41.82$42.1132.8%9.4%25.0%20.9%30.5%2.7%2.8%530.7K-13.8M-393.4K0.2619.631,15930237,17933,978
2011-03-04$41.18$41.1333.0%10.0%25.2%21.4%35.9%1.8%4.5%431.1K-8.9M-390.6K0.0923.881,43612637,94533,979
2011-03-07$39.88$40.1535.8%11.0%26.8%28.2%38.5%6.0%1.0%-278.2K8.9M-366.1K1.5822.351,4002,21138,40834,029
2011-03-08$39.88$40.1532.4%11.0%26.9%20.0%38.9%6.2%-3.2%-383.0K10.0M-376.6K3.6524.828192,99138,86434,867
2011-03-09$38.98$40.1534.0%10.4%27.3%23.9%37.9%5.7%0.9%-851.3K23.0M-366.6K1.2218.411,2451,51839,10935,593
2011-03-10$37.85$40.1538.9%11.2%27.5%36.0%38.2%4.7%0.1%-1.4M37.3M-362.4K1.2825.441,8432,35339,50736,747
2011-03-11$39.09$39.1739.8%11.4%30.9%38.0%37.9%4.0%-1.7%-1.2M26.8M-381.9K0.4835.1483739839,60437,419
2011-03-14$38.97$39.1737.5%10.7%30.9%32.4%37.3%2.3%-1.0%-1.2M23.7M-373.5K0.6122.3362238139,67936,932
2011-03-15$40.05$39.1738.5%11.0%32.8%34.8%39.3%10.5%1.7%-530.1K9.8M-387.5K1.0437.281,4901,54639,85037,044
2011-03-16$39.09$39.1741.7%12.0%33.3%42.7%42.6%6.8%1.5%-1.1M19.5M-384.9K2.4144.149562,30140,28637,347
2011-03-17$39.49$39.1740.3%11.5%33.6%39.2%38.6%6.1%0.3%-957.8K11.5M-392.6K0.4922.541,31964340,80538,244
2011-03-18$39.05$39.1738.0%10.9%33.5%33.8%37.6%6.8%-0.2%-1.8M16.8M-382.8K1.0030.701,5671,57341,08038,295
2011-03-21$39.43$40.1535.0%10.0%33.3%26.3%33.4%5.9%4.3%-64.7K1.8M-374.6K0.2226.672,11146924,57821,374
2011-03-22$39.35$39.1734.3%9.8%30.5%24.5%34.5%5.9%1.3%92.0K913.9K-383.7K0.3727.701,49655026,33921,733
2011-03-23$40.69$39.1732.3%9.2%32.4%19.6%33.8%4.3%3.7%395.5K-9.3M-400.2K0.5329.872,4621,29427,10822,025
2011-03-24$41.13$39.1731.8%9.1%32.6%18.5%30.9%4.5%3.3%748.9K-17.1M-422.1K0.2626.701,86347628,61422,980
2011-03-25$40.41$39.1734.3%9.8%32.7%24.5%32.8%6.3%-1.8%746.1K-14.8M-410.5K4.2638.651,4015,96729,66523,137
2011-03-28$39.37$39.1736.5%10.5%33.9%30.0%33.5%7.8%-1.1%-315.4K-848.9K-417.6K1.3739.379841,34530,40628,574
2011-03-29$39.59$39.1732.3%9.3%33.0%19.7%31.0%4.5%1.7%-470.7K2.7M-417.8K0.4332.5869530030,80628,960
2011-03-30$39.41$39.1729.8%8.5%32.4%13.6%30.3%2.1%3.1%-543.2K3.2M-415.0K0.6627.941,49097931,08329,109
2011-03-31$39.43$39.1730.0%8.6%31.5%14.1%29.8%3.2%4.6%-603.7K4.2M-416.0K4.3028.064051,74431,79129,791