SCCO Options History — April 2011

In April 2011, SCCO traded between $35.02 and $39.65. ATM implied volatility averaged 32.1%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 3.2% (HV 20d: 29.0%). Max pain ranged from $37.21 to $40.15. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.99.

Notable Days

  • 2011-04-14: Highest Volume — 13,990 contracts
  • 2011-04-20: Largest IV drop — 16.8% change
  • 2011-04-14: Highest IV Rank — 25.8%
  • 2011-04-14: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.95$35.02$39.65$39.01$36.68
Max Pain$38.39$37.21$40.15$39.17$37.21
ATM IV32.1%28.9%37.1%28.9%33.0%
Expected Move9.6%8.3%10.6%8.3%9.5%
HV 20d29.0%26.9%32.0%31.3%31.1%
HV 60d30.8%28.7%31.8%31.4%28.9%
IV Rank15.4%7.6%25.8%11.5%15.0%
IV Percentile17.5%3.6%42.1%3.6%23.4%
Term Structure1.3%-2.2%7.1%4.6%3.4%
VWIV33.1%28.8%35.6%28.8%32.9%
Skew 25d5.1%3.4%8.4%4.2%3.4%
Skew 10d7.0%3.9%13.9%6.0%3.9%
Call IV 25d30.9%27.6%33.0%27.6%31.5%
Put IV 25d36.0%31.7%39.5%31.7%34.9%
Bid-Ask Spread %26.4717.5943.3622.3330.54
Gamma HHI0.150.100.250.120.15
Net GEX-1.4M-4.1M-431.9K-998.5K-575.6K
Net DEX33.0M344.5K79.0M11.7M22.0M
Net VEX-404.4K-458.9K-348.7K-417.4K-458.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.102.360.740.10
Total Volume4,8221,18313,9902,05310,430
Total OI74,124.6563,43190,09863,43181,438

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$39.01$39.1728.9%8.3%31.3%11.5%28.8%4.2%4.6%-998.5K11.7M-417.4K0.7422.331,18087332,00331,428
2011-04-04$39.61$39.1730.4%9.9%29.9%15.0%33.7%4.4%-0.3%-720.7K5.1M-423.5K0.5117.5978340032,60631,904
2011-04-05$39.65$39.1730.4%9.6%29.9%15.1%32.2%7.0%-1.6%-503.4K344.5K-428.8K0.1821.701,49627333,09632,172
2011-04-06$39.40$39.1731.2%9.7%28.8%17.1%33.6%5.3%-1.6%-586.5K2.5M-416.4K1.0920.665,2915,74733,94632,151
2011-04-07$38.31$40.1530.5%9.7%28.6%15.4%33.4%4.1%0.6%-2.8M27.2M-414.6K0.9624.361,8401,77538,42337,140
2011-04-08$38.99$39.1729.3%9.7%26.9%12.4%34.2%4.3%0.7%-2.1M13.2M-437.0K0.6320.301,35885539,35637,963
2011-04-11$37.97$39.1733.3%10.0%28.5%22.1%34.8%6.5%-1.0%-3.5M32.3M-411.9K0.5228.661,59382440,13538,563
2011-04-12$37.26$39.1730.6%10.1%27.0%15.6%34.9%4.7%-0.5%-4.1M48.9M-394.2K1.6220.771,5992,58840,85039,031
2011-04-13$36.32$39.1734.4%10.0%27.2%18.5%35.0%5.7%-0.4%-3.2M65.4M-376.0K0.9222.142,0801,90441,19940,009
2011-04-14$35.12$39.1737.1%10.6%28.6%25.8%35.6%6.3%-0.8%-1.3M79.0M-348.7K0.7718.307,8846,10641,68240,504
2011-04-15$35.68$38.1933.9%9.7%29.5%17.2%33.6%4.7%1.5%-1.6M74.3M-376.7K1.8223.271,6352,98347,09543,003
2011-04-18$35.02$38.1934.5%9.9%29.4%18.9%33.9%6.6%1.4%-513.3K34.4M-363.3K1.2021.811,4291,71635,12028,689
2011-04-19$36.07$38.1936.3%10.4%32.0%23.8%34.1%8.4%-2.2%-517.3K30.8M-374.2K0.4636.993,4291,58035,58329,596
2011-04-20$35.79$37.2130.2%8.7%28.7%7.6%30.9%4.9%0.3%-431.9K28.8M-390.8K1.1638.072,4462,83437,43730,427
2011-04-21$36.09$37.2130.8%8.8%28.6%9.0%30.6%3.5%3.3%-478.2K28.7M-403.3K0.8426.532,5032,09638,04332,170
2011-04-25$35.59$37.2134.1%9.8%28.4%17.9%34.2%4.1%3.6%-518.7K31.8M-410.2K2.3639.091,3053,08639,88133,938
2011-04-26$35.20$37.2131.5%9.0%27.5%11.0%33.0%4.5%4.4%-930.1K42.0M-399.7K1.6721.412,0013,33740,25536,191
2011-04-27$35.06$37.2131.9%9.2%27.2%12.1%32.0%5.0%2.8%-1.1M47.6M-404.9K1.7331.431,3602,34741,06737,992
2011-04-28$36.24$37.2130.2%8.7%30.6%7.6%31.4%3.8%7.1%-910.7K33.9M-437.0K0.5243.362,2921,18241,59338,814
2011-04-29$36.68$37.2133.0%9.5%31.1%15.0%32.9%3.4%3.4%-575.6K22.0M-458.9K0.1030.549,44099042,38339,055