SCCO Options History — July 2011

In July 2011, SCCO traded between $31.22 and $35.83. ATM implied volatility averaged 35.5%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 0.1% (HV 20d: 35.4%). Max pain ranged from $30.36 to $33.29. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.95.

Notable Days

  • 2011-07-08: Highest Volume — 13,476 contracts
  • 2011-07-11: Largest IV spike — 18.1% change
  • 2011-07-29: Highest IV Rank — 46.4%
  • 2011-07-29: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.23$31.22$35.83$32.35$33.45
Max Pain$32.46$30.36$33.29$31.34$33.29
ATM IV35.5%27.0%42.5%27.0%42.5%
Expected Move10.4%7.7%12.2%7.7%12.2%
HV 20d35.4%22.3%49.1%49.1%40.1%
HV 60d46.0%44.3%46.8%44.5%46.2%
IV Rank25.5%0.0%46.4%0.0%46.4%
IV Percentile46.4%0.0%92.9%0.0%92.9%
Term Structure-0.3%-4.4%5.5%5.5%-4.1%
VWIV36.2%27.8%40.9%27.8%40.9%
Skew 25d4.8%1.6%7.6%6.7%4.8%
Skew 10d9.6%4.5%13.7%13.0%10.0%
Call IV 25d33.5%24.2%38.7%24.2%38.7%
Put IV 25d38.4%30.9%43.5%30.9%43.5%
Bid-Ask Spread %27.5321.8032.8632.1822.42
Gamma HHI0.130.090.230.140.09
Net GEX2.2M1.4M2.9M1.9M1.4M
Net DEX-22.9M-63.0M18.9M6.5M9.6M
Net VEX-432.9K-499.0K-344.8K-367.6K-499.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.229.180.561.01
Total Volume3,713.8566813,4766682,613
Total OI87,753.0576,87098,52485,23793,037

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$32.35$31.3427.0%7.7%49.1%0.0%27.8%6.7%5.5%1.9M6.5M-367.6K0.5632.1842824051,08434,153
2011-07-05$32.03$31.3428.7%9.9%22.3%5.2%36.4%6.6%0.3%1.9M7.3M-358.3K0.6825.171,6091,08751,30731,768
2011-07-06$31.22$30.3632.5%10.1%23.9%16.4%34.9%6.1%-0.3%1.6M18.9M-344.8K0.8121.8675861652,36732,403
2011-07-07$32.40$31.3430.0%10.0%26.3%9.2%35.1%5.9%-0.6%2.2M4.0M-368.7K0.2927.872,43569452,59832,734
2011-07-08$34.32$31.3431.2%10.4%32.9%12.7%35.3%3.1%-0.9%1.8M-35.8M-412.9K0.2232.8611,0842,39254,07633,249
2011-07-11$33.21$32.3136.9%10.9%34.7%29.5%37.7%3.7%-1.8%2.8M-20.4M-416.8K0.3226.692,04365660,12634,661
2011-07-12$33.46$32.3139.7%10.7%34.7%38.0%37.4%1.8%-1.5%2.9M-27.0M-423.5K0.4829.921,38066260,52134,949
2011-07-13$34.88$32.3138.7%10.6%37.1%34.9%37.3%3.5%-2.1%2.6M-55.0M-448.5K0.2827.824,0921,14060,98635,343
2011-07-14$34.31$32.3137.6%10.8%36.4%31.6%37.4%1.6%-1.6%2.9M-45.5M-439.6K0.6528.461,8641,21562,41635,923
2011-07-15$35.24$32.3135.1%10.1%36.6%24.1%35.5%3.4%2.3%2.8M-63.0M-452.6K0.4130.242,6861,09362,20536,319
2011-07-18$35.25$32.3135.2%10.1%36.4%24.5%36.4%4.3%2.2%1.8M-28.9M-448.0K0.8324.324,7703,93848,37328,497
2011-07-19$35.73$33.2935.8%10.3%36.2%26.2%35.7%6.1%1.2%2.0M-34.0M-469.4K0.3221.802,10367951,37029,973
2011-07-20$35.76$33.2934.2%9.8%36.3%21.5%34.7%5.0%0.7%2.0M-34.4M-474.5K0.4725.851,19556651,55530,090
2011-07-21$35.66$33.2939.4%11.3%36.5%36.9%35.1%5.9%-1.7%2.0M-32.2M-467.8K0.4227.243,7841,59752,19830,229
2011-07-22$35.32$33.2937.0%10.6%37.0%29.8%36.9%4.8%-1.3%2.2M-30.9M-468.0K0.3326.131,49849854,68830,769
2011-07-25$34.93$33.2936.4%10.4%37.3%28.1%38.2%5.4%1.0%2.2M-25.5M-455.2K0.8725.2678167954,85530,952
2011-07-26$35.83$33.2937.5%10.8%37.1%31.3%36.6%5.3%1.3%2.3M-34.8M-459.3K0.3632.592,23080554,98031,191
2011-07-27$34.82$33.2936.4%10.4%38.4%28.0%37.8%5.5%-0.3%2.1M-20.2M-444.7K0.4331.741,21351854,92931,329
2011-07-28$34.47$33.2939.2%11.2%38.7%36.4%36.4%7.6%-4.4%2.0M-16.2M-439.0K9.1830.156525,98455,20831,650
2011-07-29$33.45$33.2942.5%12.2%40.1%46.4%40.9%4.8%-4.1%1.4M9.6M-499.0K1.0122.421,2971,31655,46737,570