SCCO Options History — November 2011

In November 2011, SCCO traded between $27.07 and $32.09. ATM implied volatility averaged 45.4%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 7.0% (HV 20d: 52.4%). Max pain ranged from $28.40 to $31.34. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2011-11-11: Highest Volume — 108,496 contracts
  • 2011-11-09: Largest IV spike — 27.5% change
  • 2011-11-01: Highest IV Rank — 46.3%
  • 2011-11-01: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.82$27.07$32.09$29.12$30.48
Max Pain$30.64$28.40$31.34$28.40$30.36
ATM IV45.4%39.1%50.2%50.2%40.5%
Expected Move13.0%11.4%14.4%14.4%11.6%
HV 20d52.4%43.6%61.8%61.8%48.2%
HV 60d55.2%54.5%57.0%57.0%56.7%
IV Rank36.8%24.2%46.3%46.3%27.0%
IV Percentile76.2%54.8%85.7%85.7%61.5%
Term Structure0.4%-1.7%1.5%-1.7%0.6%
VWIV46.0%38.8%66.5%49.0%38.8%
Skew 25d11.2%8.0%15.7%14.4%8.0%
Skew 10d22.6%15.5%26.3%22.7%17.9%
Call IV 25d40.8%36.4%45.9%45.1%36.6%
Put IV 25d52.1%44.6%59.5%59.5%44.6%
Bid-Ask Spread %27.3719.8342.8226.8142.82
Gamma HHI0.120.090.170.090.12
Net GEX683.2K-516.8K1.9M557.6K689.2K
Net DEX10.3M-22.0M39.7M15.7M5.3M
Net VEX-356.6K-399.2K-290.5K-356.5K-347.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.011.800.710.20
Total Volume7,936.4761,339108,4962,5195,760
Total OI91,091.28682,54697,84989,13687,466

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$29.12$28.4050.2%14.4%61.8%46.3%49.0%14.4%-1.7%557.6K15.7M-356.5K0.7126.811,4711,04850,08139,055
2011-11-02$30.33$28.4047.1%13.5%54.5%40.1%49.1%12.1%-0.7%931.0K2.6M-375.4K0.8530.571,01986650,57039,320
2011-11-03$30.41$28.4045.3%13.0%54.2%36.5%40.0%15.7%0.3%1.0M-783.8K-381.3K0.1840.142,30740451,11539,661
2011-11-04$30.96$31.3442.4%12.3%51.8%30.7%45.5%11.5%-0.1%1.3M-5.8M-389.8K0.7031.361,4361,00352,02539,798
2011-11-07$31.04$31.3442.3%12.1%51.4%30.6%46.4%11.9%1.0%1.3M-5.5M-382.3K0.2822.951,56743952,54840,491
2011-11-08$32.09$31.3439.1%11.4%52.1%24.2%40.9%11.6%1.5%1.7M-22.0M-394.3K0.3927.284,9141,90652,70040,692
2011-11-09$30.61$31.3449.9%13.5%55.4%45.6%46.4%11.6%-0.4%1.2M-2.0M-387.7K0.4528.142,3691,05854,60441,422
2011-11-10$31.06$31.3443.8%12.6%54.9%33.5%42.8%11.8%1.4%1.5M-7.5M-389.5K0.3123.191,48146455,18541,912
2011-11-11$31.82$31.3442.4%12.1%54.1%30.7%66.5%11.4%1.1%1.9M-19.1M-399.2K0.0122.30107,83466255,68542,164
2011-11-14$30.77$31.3445.5%13.1%54.4%37.0%45.8%11.5%-0.1%1.3M2.3M-378.1K0.7040.881,5471,09051,29742,382
2011-11-15$30.69$31.3444.7%12.8%53.7%35.3%43.8%10.8%1.1%1.4M3.4M-378.9K0.6724.761,04569952,12942,757
2011-11-16$30.29$31.3445.5%13.0%51.8%36.9%45.8%11.3%0.3%925.1K9.4M-368.1K1.0525.902,2102,32952,27742,987
2011-11-17$28.98$31.3448.9%14.0%54.9%43.8%48.1%12.2%-0.3%-181.2K24.2M-351.2K1.1221.731,6971,90052,84043,992
2011-11-18$28.86$31.3448.3%13.8%54.5%42.5%44.4%9.9%0.4%-516.8K28.5M-339.6K1.2026.051,1941,43253,00244,285
2011-11-21$28.39$31.3448.2%13.8%51.5%42.3%46.6%10.1%0.1%-89.4K29.3M-318.5K0.4519.832,3691,05944,85737,689
2011-11-22$28.26$30.3644.6%12.8%51.2%35.2%43.4%9.4%0.6%-136.9K30.1M-318.5K0.4922.081,39067845,78338,071
2011-11-23$27.23$30.3648.5%13.9%51.0%43.0%47.8%8.0%0.9%-239.1K36.7M-298.9K0.6823.121,20882246,32938,357
2011-11-25$27.07$30.3649.3%14.1%43.6%44.5%50.9%9.9%-0.3%-322.9K39.7M-290.5K1.8021.8047886146,24838,726
2011-11-28$28.79$30.3645.7%13.1%49.6%37.3%42.9%12.5%0.4%-113.1K27.6M-320.3K0.1430.642,28032846,33439,212
2011-11-29$28.96$30.3642.1%12.1%45.9%30.2%40.9%10.1%1.2%25.7K24.6M-322.7K0.2922.401,57846447,68639,183
2011-11-30$30.48$30.3640.5%11.6%48.2%27.0%38.8%8.0%0.6%689.2K5.3M-347.2K0.2042.824,81494648,27839,188