SCCO Options History — June 2011

In June 2011, SCCO traded between $30.08 and $34.74. ATM implied volatility averaged 40.4%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 18.9% (HV 20d: 59.3%). Max pain ranged from $31.34 to $37.21. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.93.

Notable Days

  • 2011-06-06: Highest Volume — 29,943 contracts
  • 2011-06-09: Largest IV drop — 22.1% change
  • 2011-06-03: Highest IV Rank — 88.1%
  • 2011-06-02: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.24$30.08$34.74$32.49$32.19
Max Pain$32.67$31.34$37.21$37.21$31.34
ATM IV40.4%28.1%60.6%44.6%28.1%
Expected Move11.1%8.1%15.3%12.8%8.1%
HV 20d59.3%44.4%65.6%44.4%49.5%
HV 60d43.4%35.7%45.2%35.7%44.5%
IV Rank37.5%2.2%88.1%45.7%2.2%
IV Percentile58.9%1.2%99.2%91.7%1.2%
Term Structure1.0%-10.5%7.1%-4.1%5.2%
VWIV38.3%27.0%52.7%44.8%28.8%
Skew 25d4.2%1.1%8.0%1.1%5.5%
Skew 10d8.0%-1.6%15.2%-1.6%12.6%
Call IV 25d37.1%26.5%48.2%45.4%26.5%
Put IV 25d41.3%31.8%54.6%46.5%31.9%
Bid-Ask Spread %34.9117.9061.7917.9019.46
Gamma HHI0.150.090.340.240.13
Net GEX-413.0K-2.0M1.6M-1.3M1.6M
Net DEX62.5M8.2M124.4M65.5M8.2M
Net VEX-371.6K-456.6K-316.7K-372.1K-364.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.076.092.350.15
Total Volume6,365.86439729,9439,8883,592
Total OI108,374.72775,577144,03294,69185,773

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$32.49$37.2144.6%12.8%44.4%45.7%44.8%1.1%-4.1%-1.3M65.5M-372.1K2.3517.902,9506,93849,64045,051
2011-06-02$34.74$36.2353.5%15.3%50.3%69.3%52.7%6.4%-10.5%-655.3K32.5M-437.0K0.7533.358,6286,45750,52046,556
2011-06-03$34.00$31.3460.6%13.4%49.6%88.1%47.4%5.0%-4.9%-440.3K31.1M-456.6K0.9737.587,5107,28856,43249,438
2011-06-06$30.14$32.3154.7%13.3%65.1%72.3%45.8%2.6%-4.1%-1.2M101.3M-316.7K1.4048.2212,47617,46759,59953,463
2011-06-07$30.64$34.2745.6%11.7%64.8%54.8%41.5%4.0%3.6%-2.0M112.0M-355.1K0.4935.8113,4016,56362,83963,252
2011-06-08$31.29$32.3152.0%12.1%65.6%74.2%42.8%3.8%-2.7%-1.4M90.3M-424.1K0.7230.774,8443,48773,17664,614
2011-06-09$31.41$32.3140.5%11.6%64.9%39.6%41.2%4.4%-0.2%-1.1M80.2M-443.1K0.3036.611,96158876,88763,738
2011-06-10$30.86$32.3140.9%11.7%64.9%40.8%40.8%3.2%-0.7%-1.2M94.0M-413.8K0.5527.191,55685675,95763,769
2011-06-13$31.00$32.3141.0%11.7%64.9%40.9%41.3%5.1%0.0%-1.2M98.0M-393.8K0.8349.011,10591575,97264,129
2011-06-14$31.38$32.3140.0%11.5%65.2%37.9%38.6%3.1%-0.0%-1.1M92.4M-388.7K1.0330.132,1462,20976,25964,402
2011-06-15$30.63$32.3140.6%11.6%65.5%39.8%39.2%3.1%0.1%-1.2M109.4M-363.7K0.6231.221,48792777,10465,282
2011-06-16$30.32$32.3140.2%11.5%60.9%38.7%38.5%4.2%0.4%-1.3M117.1M-345.8K6.0961.797384,48776,11964,809
2011-06-17$30.15$32.3139.1%11.2%60.9%35.4%38.4%4.3%0.7%-1.8M124.4M-348.8K1.9955.411,0272,04176,63067,402
2011-06-20$30.08$32.3137.1%10.6%60.9%29.3%37.2%5.2%4.9%175.9K34.3M-332.4K0.1321.161,51120342,94632,631
2011-06-21$30.45$32.3133.9%9.7%60.3%19.6%33.6%3.7%4.6%317.7K32.5M-335.5K0.1922.541,70432244,02532,800
2011-06-22$30.56$32.3133.9%9.7%59.2%19.7%31.6%3.5%3.6%507.2K28.9M-342.8K0.1732.182,23937345,29832,907
2011-06-23$30.92$32.3131.5%9.0%58.8%12.5%33.1%7.4%4.7%691.2K27.7M-355.0K0.3537.4080528646,74133,191
2011-06-24$30.77$32.3133.4%9.6%58.5%18.2%32.0%1.9%4.4%693.4K25.3M-349.0K0.3037.8754316347,31033,272
2011-06-27$30.36$32.3134.0%9.7%57.8%20.0%33.1%3.4%4.6%598.9K30.7M-329.6K0.1231.893554247,58033,321
2011-06-28$31.27$32.3132.5%9.3%56.6%15.3%33.0%8.0%4.8%885.1K23.9M-346.0K0.0728.701,63812047,74333,358
2011-06-29$31.58$31.3431.0%8.9%55.1%10.8%27.0%4.3%7.1%1.3M15.6M-361.0K0.9941.723,0593,04248,96933,340
2011-06-30$32.19$31.3428.1%8.1%49.5%2.2%28.8%5.5%5.2%1.6M8.2M-364.6K0.1519.463,13345949,86635,907