SCCO Options History — October 2011

In October 2011, SCCO traded between $23.49 and $31.79. ATM implied volatility averaged 53.5%, placing in the 53.0% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded below realized volatility by 10.8% (HV 20d: 64.4%). Max pain ranged from $26.44 to $28.40. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2011-10-27: Highest Volume — 9,186 contracts
  • 2011-10-21: Largest IV drop — 14.0% change
  • 2011-10-03: Highest IV Rank — 100.0%
  • 2011-10-03: Largest Expected Move — 22.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.33$23.49$31.79$23.53$30.04
Max Pain$27.93$26.44$28.40$28.40$28.40
ATM IV53.5%41.4%77.2%77.2%47.0%
Expected Move15.6%11.9%22.1%22.1%13.5%
HV 20d64.4%54.6%71.0%54.6%60.0%
HV 60d55.8%50.8%59.2%51.1%59.2%
IV Rank53.0%28.7%100.0%100.0%40.0%
IV Percentile88.5%69.0%100.0%100.0%83.3%
Term Structure-1.4%-3.9%4.1%-1.8%-3.9%
VWIV54.3%41.0%75.1%70.8%48.7%
Skew 25d11.7%8.4%14.9%13.7%8.5%
Skew 10d26.1%16.1%43.1%16.1%24.5%
Call IV 25d48.6%35.9%69.6%67.6%42.6%
Put IV 25d60.3%46.1%81.2%81.2%51.1%
Bid-Ask Spread %26.8918.4440.0024.3225.63
Gamma HHI0.100.070.290.110.10
Net GEX109.8K-328.7K1.2M-328.7K809.8K
Net DEX26.8M-16.3M49.4M49.0M5.5M
Net VEX-326.2K-390.8K-256.1K-256.9K-364.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.171.070.390.80
Total Volume3,178.9051,4759,1862,8462,752
Total OI84,275.71477,35690,09278,18987,817

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$23.53$28.4077.2%22.1%54.6%100.0%70.8%13.7%-1.8%-328.7K49.0M-256.9K0.3924.322,04779940,76937,420
2011-10-04$23.49$28.4071.8%20.6%54.8%89.3%75.1%9.8%0.6%-316.0K49.4M-256.1K0.5431.332,6661,43740,67637,704
2011-10-05$25.84$26.4462.9%18.0%66.0%71.6%62.2%8.4%1.9%-222.3K37.6M-316.8K0.1730.433,82565642,28038,279
2011-10-06$26.49$26.4457.6%16.5%67.1%61.0%59.3%9.1%4.1%-116.8K31.8M-336.4K0.3530.222,75997144,09338,563
2011-10-07$25.55$28.4055.1%17.5%67.0%56.1%57.0%12.1%-2.6%-177.5K38.0M-317.4K0.5418.4498853345,23839,105
2011-10-10$26.29$28.4054.4%16.9%68.3%54.6%59.0%14.9%-2.7%-160.8K35.1M-322.2K1.0722.611,3961,49345,24539,256
2011-10-11$26.37$28.4052.8%16.8%68.2%51.5%60.6%13.6%-2.7%-209.3K36.0M-323.0K0.4520.541,45065945,39540,204
2011-10-12$27.10$28.4048.3%15.3%69.1%42.5%53.6%12.7%-1.2%-78.6K29.9M-330.0K0.5222.671,65186145,86039,287
2011-10-13$26.68$28.4055.0%15.8%68.9%55.9%54.7%14.9%-1.0%-118.4K34.4M-317.3K0.6920.8099068146,42739,484
2011-10-14$27.71$28.4052.0%14.9%70.8%49.8%51.7%13.9%-1.9%36.5K25.6M-336.4K0.5725.511,18067046,94839,534
2011-10-17$26.87$28.4055.8%16.0%71.0%57.5%53.3%12.0%-2.7%-43.4K31.6M-319.1K0.1831.121,27222747,66039,870
2011-10-18$27.70$28.4052.9%15.2%70.9%51.7%54.0%12.5%-2.4%131.0K24.8M-331.2K0.4527.201,58671148,19339,997
2011-10-19$26.69$28.4055.8%16.0%69.5%57.4%56.0%12.4%-3.3%30.0K33.6M-309.3K0.7123.4286561048,60240,162
2011-10-20$26.69$27.4256.3%16.1%62.0%58.4%55.3%12.9%-2.5%116.8K32.4M-310.8K0.7126.511,6951,20148,76340,121
2011-10-21$27.32$27.4248.4%13.9%62.1%42.7%50.0%10.9%0.7%632.7K27.0M-317.8K0.9427.462,0011,88949,51540,577
2011-10-24$28.79$27.4246.6%13.4%64.4%39.2%45.0%11.0%-0.5%-44.3K23.3M-339.0K0.3226.993,4471,11839,87037,486
2011-10-25$28.31$27.4246.2%13.2%62.2%38.3%45.3%10.9%0.3%29.2K25.1M-326.6K0.3926.512,16685341,80637,212
2011-10-26$29.32$27.4245.2%12.9%56.5%36.3%44.8%11.1%-1.9%288.3K16.5M-350.1K0.1828.842,51344443,28037,669
2011-10-27$31.35$27.4241.4%11.9%60.1%28.7%41.0%10.4%-2.7%813.1K-7.7M-378.0K0.2340.007,4691,71745,20437,710
2011-10-28$31.79$28.4042.0%12.0%57.7%30.0%43.6%10.2%-2.9%1.2M-16.3M-390.8K0.4134.043,1961,31348,77237,737
2011-10-31$30.04$28.4047.0%13.5%60.0%40.0%48.7%8.5%-3.9%809.8K5.5M-364.1K0.8025.631,5251,22749,50538,312