SCCO Options History — May 2011

In May 2011, SCCO traded between $32.96 and $35.73. ATM implied volatility averaged 37.3%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 1.1% (HV 20d: 36.2%). Max pain ranged from $36.23 to $38.19. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2011-05-27: Highest Volume — 7,009 contracts
  • 2011-05-04: Largest IV spike — 20.0% change
  • 2011-05-31: Highest IV Rank — 37.2%
  • 2011-05-31: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.48$32.96$35.73$35.40$33.84
Max Pain$37.21$36.23$38.19$37.21$37.21
ATM IV37.3%32.7%41.4%34.1%41.4%
Expected Move11.0%9.5%11.9%9.8%11.9%
HV 20d36.2%31.9%42.5%33.0%42.5%
HV 60d32.0%29.6%35.4%29.6%35.4%
IV Rank26.3%14.0%37.2%17.8%37.2%
IV Percentile49.1%21.0%78.6%27.0%78.6%
Term Structure-0.7%-10.2%7.0%5.7%-2.2%
VWIV37.8%33.5%41.5%35.4%41.5%
Skew 25d3.2%-1.4%8.4%1.4%3.6%
Skew 10d4.5%-9.0%12.1%-9.0%5.3%
Call IV 25d36.8%33.4%41.3%34.5%41.3%
Put IV 25d40.0%35.9%45.0%35.9%45.0%
Bid-Ask Spread %21.2713.8033.2424.9929.99
Gamma HHI0.230.160.340.160.25
Net GEX-1.2M-2.2M-508.3K-508.3K-1.2M
Net DEX46.4M17.2M75.9M27.8M46.5M
Net VEX-417.0K-459.8K-364.1K-459.1K-411.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.115.080.451.04
Total Volume3,575.2381,0977,0092,3574,223
Total OI90,017.71481,04897,19385,10093,786

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$35.40$37.2134.1%9.8%33.0%17.8%35.4%1.4%5.7%-508.3K27.8M-459.1K0.4524.991,62673145,60039,500
2011-05-03$34.82$37.2133.2%9.5%32.4%15.6%33.5%0.9%7.0%-719.6K39.3M-439.9K0.5425.382,1761,18246,08839,824
2011-05-04$35.59$36.2339.9%11.4%33.8%33.2%37.6%-1.4%-0.7%-511.7K27.7M-459.8K0.6626.8999065146,50040,372
2011-05-05$34.46$36.2337.8%10.8%35.1%27.6%37.7%1.3%3.8%-758.0K41.6M-437.3K0.9220.0357052746,76140,657
2011-05-06$34.75$38.1935.8%11.5%34.5%22.3%39.1%3.2%-2.5%-851.7K41.7M-430.9K0.4021.061,05241546,98140,813
2011-05-09$35.54$38.1932.7%11.4%35.0%14.0%40.0%8.4%-2.2%-738.5K31.7M-439.7K5.0833.247503,81047,29741,005
2011-05-10$35.28$37.2133.5%11.0%34.0%16.3%38.3%3.5%0.3%-1.1M37.1M-453.2K1.0319.6396899247,55344,105
2011-05-11$34.17$37.2134.0%11.1%35.1%17.7%38.5%3.0%-1.3%-1.4M55.7M-413.8K0.8517.271,2521,06947,96144,209
2011-05-12$33.51$37.2139.1%11.2%34.7%31.2%39.1%3.5%-1.7%-1.4M65.4M-392.1K2.6019.531,3393,47848,13144,222
2011-05-13$33.55$37.2139.1%11.2%32.9%31.0%37.9%3.1%-1.2%-1.6M66.0M-396.3K1.9120.831,6723,18648,44045,473
2011-05-16$33.40$37.2140.9%11.7%32.2%35.8%36.5%2.2%-10.2%-1.9M72.0M-388.9K0.3722.891,29848549,05247,564
2011-05-17$32.96$37.2138.0%10.9%31.9%28.2%37.8%3.0%-1.4%-1.7M75.9M-364.1K0.9514.861,6501,56149,56545,535
2011-05-18$35.04$37.2138.2%11.0%37.6%28.7%37.8%2.1%-1.1%-1.6M45.5M-416.4K0.8920.231,7901,59049,82546,010
2011-05-19$34.64$37.2138.1%10.9%37.7%28.3%38.4%2.5%-1.9%-1.7M51.8M-398.6K2.1519.261,1922,57048,91145,876
2011-05-20$34.32$37.2137.1%10.6%37.6%25.8%37.5%4.2%0.3%-2.2M57.8M-401.6K1.6813.802,2403,76349,47147,722
2011-05-23$33.13$37.2138.4%11.0%39.2%29.1%38.6%4.0%-0.3%-1.4M56.0M-369.2K0.4919.202,5571,24140,38540,663
2011-05-24$34.02$37.2135.9%10.3%40.5%22.6%35.7%5.2%0.2%-1.4M47.5M-388.0K0.2619.702,23257441,22841,148
2011-05-25$34.72$37.2138.2%11.0%41.3%28.7%37.4%3.2%-0.8%-1.1M36.4M-408.1K1.4522.362,6403,83342,43241,311
2011-05-26$35.13$37.2137.7%10.8%39.6%27.5%37.0%6.7%-2.3%-1.3M34.4M-431.5K0.1117.053,77542143,60144,788
2011-05-27$35.73$37.2140.1%11.5%39.9%33.6%39.1%3.0%-1.7%-693.5K17.2M-457.0K0.2518.445,5881,42145,87444,133
2011-05-31$33.84$37.2141.4%11.9%42.5%37.2%41.5%3.6%-2.2%-1.2M46.5M-411.1K1.0429.992,0652,15849,14344,643