SCCO Options History — September 2011

In September 2011, SCCO traded between $24.47 and $32.75. ATM implied volatility averaged 48.5%, placing in the 47.4% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 3.4% (HV 20d: 45.1%). Max pain ranged from $29.38 to $33.29. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2011-09-22: Highest Volume — 6,704 contracts
  • 2011-09-22: Largest IV spike — 26.5% change
  • 2011-09-30: Highest IV Rank — 86.6%
  • 2011-09-30: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.96$24.47$32.75$32.75$24.47
Max Pain$30.73$29.38$33.29$33.29$29.38
ATM IV48.5%37.0%66.4%39.9%66.4%
Expected Move13.8%10.6%19.0%11.4%19.0%
HV 20d45.1%34.7%57.2%56.8%54.2%
HV 60d46.7%43.4%52.8%43.4%52.3%
IV Rank47.4%22.0%86.6%28.5%86.6%
IV Percentile85.2%48.0%98.8%73.0%98.8%
Term Structure0.7%-2.4%5.4%-1.8%-2.1%
VWIV47.2%36.0%64.8%40.3%64.8%
Skew 25d8.9%3.2%13.5%4.5%13.5%
Skew 10d17.9%10.4%24.8%24.8%23.5%
Call IV 25d44.2%34.6%60.1%39.4%60.1%
Put IV 25d53.1%42.7%73.6%43.9%73.6%
Bid-Ask Spread %22.2116.5734.6327.7022.28
Gamma HHI0.130.100.160.160.11
Net GEX391.0K-356.8K2.2M2.2M-323.6K
Net DEX34.5M-2.4M46.6M-2.4M46.6M
Net VEX-352.6K-467.0K-258.9K-467.0K-280.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.302.110.520.79
Total Volume2,614.8577826,7048192,067
Total OI90,347.23863,494110,666104,86877,664

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$32.75$33.2939.9%11.4%56.8%28.5%40.3%4.5%-1.8%2.2M-2.4M-467.0K0.5227.7053928062,25142,617
2011-09-02$31.75$33.2943.7%12.5%57.2%36.9%43.4%3.2%0.2%1.5M16.5M-437.7K1.4134.6357580962,53942,653
2011-09-06$31.20$31.3448.8%13.1%47.8%48.0%47.6%9.5%-0.8%1.2M26.3M-407.8K1.5532.7950478362,62142,900
2011-09-07$31.98$31.3444.5%11.9%42.2%38.6%39.7%7.4%-0.9%1.7M14.8M-426.0K0.5219.021,27966462,63843,227
2011-09-08$31.37$31.3445.4%12.1%42.5%40.6%40.3%8.6%-0.8%1.3M25.9M-409.8K0.6520.2347330962,67343,572
2011-09-09$30.23$31.3447.8%13.3%40.6%45.7%45.9%9.6%-1.8%540.4K40.5M-382.5K1.4419.739811,41862,83143,688
2011-09-12$30.22$31.3450.6%13.8%40.6%52.0%48.6%9.1%-2.4%354.5K42.6M-373.1K0.5218.402,0181,04962,64544,625
2011-09-13$30.44$30.3645.1%12.9%40.4%39.9%43.8%10.2%-0.1%516.0K39.9M-376.6K0.9421.041,2351,15663,59145,050
2011-09-14$30.69$30.3638.5%12.3%39.4%25.4%40.9%9.3%1.4%650.5K38.6M-375.3K2.1119.959522,00564,11945,182
2011-09-15$30.93$30.3639.4%11.3%36.4%27.2%38.6%8.0%2.1%553.6K38.9M-373.1K0.8321.2281567364,40245,783
2011-09-16$30.82$30.3638.0%10.9%34.7%24.3%36.0%8.1%3.7%270.7K42.1M-364.1K1.2624.151,4681,85064,73545,931
2011-09-19$30.04$31.3437.0%10.6%35.8%22.0%38.1%8.0%5.4%51.1K24.1M-347.5K0.5619.012,4131,35033,68129,813
2011-09-20$28.89$31.3441.4%11.9%38.5%31.8%38.8%7.7%3.8%-65.6K29.6M-334.0K0.6016.571,58395435,15430,661
2011-09-21$27.35$30.3645.7%13.1%39.2%41.2%44.6%9.5%3.4%-241.7K37.4M-296.2K1.1625.401,7772,06636,12531,293
2011-09-22$25.12$30.3657.8%16.6%47.0%67.8%57.0%6.0%1.0%-320.6K46.3M-258.9K1.1321.153,1513,55336,82832,881
2011-09-23$25.66$30.3657.9%16.6%48.2%67.8%55.9%12.2%1.4%-356.8K45.4M-286.2K0.3918.191,21647837,30934,767
2011-09-26$26.02$29.3856.6%16.2%46.8%65.2%55.5%10.1%0.2%-326.9K44.3M-284.7K0.9117.971,4771,34437,95134,976
2011-09-27$27.46$29.3851.3%14.7%51.2%53.4%48.9%10.0%2.2%-275.3K37.3M-334.5K0.3021.682,55276138,74935,989
2011-09-28$25.52$29.3862.0%17.8%53.9%76.9%61.6%10.6%-0.2%-295.6K44.1M-297.7K2.0421.071,5463,14639,91936,001
2011-09-29$25.32$29.3861.1%17.5%53.7%74.9%60.3%11.9%0.4%-335.1K46.1M-292.0K0.6524.1499864540,31536,943
2011-09-30$24.47$29.3866.4%19.0%54.2%86.6%64.8%13.5%-2.1%-323.6K46.6M-280.5K0.7922.281,15491340,61937,045