SCCO Options History — August 2011

In August 2011, SCCO traded between $27.00 and $33.33. ATM implied volatility averaged 51.4%, placing in the 56.8% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 1.4% (HV 20d: 52.8%). Max pain ranged from $33.29 to $34.27. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 0.75.

Notable Days

  • 2011-08-02: Highest Volume — 10,405 contracts
  • 2011-08-08: Largest IV spike — 31.3% change
  • 2011-08-08: Highest IV Rank — 100.0%
  • 2011-08-10: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.45$27.00$33.33$33.33$33.07
Max Pain$33.63$33.29$34.27$33.29$33.29
ATM IV51.4%38.9%72.5%40.9%44.4%
Expected Move14.2%11.2%16.8%11.7%12.7%
HV 20d52.8%37.1%60.6%40.2%60.0%
HV 60d49.9%43.6%53.4%45.8%43.6%
IV Rank56.8%31.9%100.0%41.4%38.4%
IV Percentile93.9%70.2%100.0%86.5%88.9%
Term Structure-4.6%-8.7%1.3%-1.5%-7.5%
VWIV49.3%38.4%60.6%40.7%41.7%
Skew 25d7.4%2.0%15.3%6.2%8.4%
Skew 10d13.6%-11.3%31.8%9.5%16.8%
Call IV 25d46.9%36.5%60.5%38.5%38.3%
Put IV 25d54.3%40.7%65.7%44.7%46.7%
Bid-Ask Spread %31.3020.5547.9027.3425.09
Gamma HHI0.110.090.140.100.14
Net GEX695.0K-8.3K1.9M1.3M1.8M
Net DEX33.2M-7.1M53.6M13.7M-7.1M
Net VEX-416.8K-484.2K-351.4K-484.2K-470.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.175.120.440.33
Total Volume3,967.4781,29510,4051,3106,011
Total OI101,723.43593,515111,32694,008101,662

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-08-01$33.33$33.2940.9%11.7%40.2%41.4%40.7%6.2%-1.5%1.3M13.7M-484.2K0.4427.3491040055,67538,333
2011-08-02$32.12$33.2942.0%12.1%42.3%44.8%38.8%3.6%-4.8%877.4K26.3M-445.6K0.2747.908,2212,18455,68338,336
2011-08-03$31.69$33.2938.9%11.2%41.5%35.6%38.4%5.8%-3.1%904.8K34.7M-435.1K0.3039.443,8541,16060,76939,442
2011-08-04$30.10$33.2946.9%13.4%43.1%59.2%45.1%4.5%-3.4%584.6K43.7M-409.0K0.6838.143,8462,59863,30439,900
2011-08-05$29.36$34.2755.2%14.5%37.1%84.0%51.9%2.0%-6.0%460.9K45.7M-409.7K0.1723.028,0581,41164,55140,152
2011-08-08$27.00$34.2772.5%16.6%45.1%100.0%59.9%5.2%-6.8%201.7K53.6M-351.4K0.9326.132,4972,32765,75540,429
2011-08-09$28.98$34.2769.3%16.8%53.3%92.9%58.5%5.8%-8.3%195.6K52.6M-378.7K0.5640.922,6311,48162,20440,517
2011-08-10$28.56$34.2770.0%16.8%50.1%94.4%56.5%7.8%-6.9%296.9K46.1M-380.2K0.8031.241,3911,11363,00840,656
2011-08-11$30.17$34.2757.6%16.5%55.0%67.3%56.0%7.7%-7.8%574.8K38.3M-424.5K0.5435.761,34272563,67340,930
2011-08-12$30.25$33.2951.4%14.7%53.7%53.6%50.9%6.3%-3.8%461.0K41.4M-404.6K0.2329.013,02870064,10141,161
2011-08-15$29.86$34.2746.6%13.4%53.7%43.1%46.0%6.4%-3.1%461.7K43.3M-400.6K1.4530.301,1831,72264,07441,353
2011-08-16$29.15$34.2745.9%13.2%53.3%41.7%45.0%4.1%-4.7%153.2K51.7M-374.2K0.5531.7999254364,30942,446
2011-08-17$30.45$34.2744.9%12.9%56.6%39.3%43.9%5.0%-2.5%812.9K34.7M-412.0K0.3122.082,94791864,42742,400
2011-08-18$29.59$33.2955.9%16.0%57.0%63.5%60.6%8.2%-8.7%450.0K42.3M-410.9K5.1222.699144,67666,03142,254
2011-08-19$29.26$33.2955.7%16.0%57.0%63.1%55.9%10.1%-7.9%-8.3K47.3M-406.2K0.9629.011,7041,64066,33344,993
2011-08-22$29.01$33.2956.2%16.1%57.0%64.2%54.2%10.6%-3.3%183.7K39.8M-388.0K0.1822.582,17438453,59739,918
2011-08-23$30.36$33.2953.8%15.4%59.0%58.8%51.1%7.8%-6.9%443.2K33.9M-408.7K0.2432.283,12073654,73339,842
2011-08-24$31.02$33.2947.9%13.7%59.4%46.0%52.1%13.7%-3.4%812.2K24.8M-433.0K0.6231.661,7191,06256,63940,145
2011-08-25$30.50$33.2951.7%14.8%59.5%54.5%51.8%8.8%-4.3%746.8K26.4M-425.6K0.8920.5568561057,44640,599
2011-08-26$31.46$33.2948.0%13.8%60.2%46.3%47.7%15.3%-1.5%1.0M21.4M-432.8K0.5246.531,39872557,60940,840
2011-08-29$31.98$33.2945.8%13.1%60.6%41.3%45.4%8.5%-1.8%1.4M14.0M-438.8K0.3838.411,66362558,27340,914
2011-08-30$33.02$33.2941.5%11.9%60.2%31.9%42.6%7.5%1.3%1.9M-5.6M-462.0K0.7928.091,7981,42659,05341,170
2011-08-31$33.07$33.2944.4%12.7%60.0%38.4%41.7%8.4%-7.5%1.8M-7.1M-470.6K0.3325.094,5331,47859,59542,067