SCCO Options History — December 2011

In December 2011, SCCO traded between $27.97 and $31.22. ATM implied volatility averaged 37.9%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 7.7% (HV 20d: 45.6%). Max pain ranged from $29.38 to $30.36. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2011-12-20: Highest Volume — 5,734 contracts
  • 2011-12-13: Largest IV spike — 26.3% change
  • 2011-12-14: Highest IV Rank — 38.0%
  • 2011-12-14: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.77$27.97$31.22$30.56$29.55
Max Pain$29.47$29.38$30.36$30.36$29.38
ATM IV37.9%31.1%46.0%39.3%34.6%
Expected Move11.0%8.9%12.5%11.3%9.9%
HV 20d45.6%39.4%49.4%46.0%39.5%
HV 60d54.4%46.7%58.3%56.5%46.7%
IV Rank21.7%8.4%38.0%24.6%15.3%
IV Percentile44.0%7.9%78.2%56.3%25.0%
Term Structure4.7%2.3%7.2%2.5%6.5%
VWIV39.3%33.4%47.0%39.1%34.8%
Skew 25d8.4%5.5%10.8%7.0%5.5%
Skew 10d18.2%10.8%23.0%22.2%20.0%
Call IV 25d34.9%28.3%40.3%36.3%32.9%
Put IV 25d43.3%36.6%49.1%43.3%38.4%
Bid-Ask Spread %21.2113.7332.0329.3213.73
Gamma HHI0.130.080.170.130.13
Net GEX648.3K-591.9K2.1M1.0M480.0K
Net DEX12.7M-9.2M36.5M1.0M15.1M
Net VEX-327.2K-372.1K-269.5K-359.5K-307.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.223.350.620.57
Total Volume2,765.1439705,7343,943970
Total OI89,605.95273,092101,32390,25483,181

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$30.56$30.3639.3%11.3%46.0%24.6%39.1%7.0%2.5%1.0M1.0M-359.5K0.6229.322,4301,51350,87839,376
2011-12-02$30.03$30.3638.7%11.1%46.4%23.5%41.1%7.7%2.3%772.8K8.4M-361.9K1.0026.981,8381,83152,51640,463
2011-12-05$30.57$29.3840.9%12.0%46.4%27.8%40.4%10.2%3.7%1.2M1.9M-362.7K0.9427.151,7891,68953,65740,852
2011-12-06$30.81$29.3840.1%11.9%46.5%26.2%41.4%9.3%4.0%1.4M-3.3M-372.1K0.4325.131,29656254,69741,914
2011-12-07$30.94$29.3837.9%11.4%44.8%21.7%38.3%9.3%4.3%1.6M-4.8M-370.8K0.4916.1569934355,12241,833
2011-12-08$30.14$29.3841.0%12.2%42.6%28.1%45.0%10.2%3.4%887.7K9.3M-356.7K0.2220.332,32050855,46441,841
2011-12-09$31.22$29.3832.9%11.1%44.2%11.9%37.3%10.3%5.3%2.0M-9.2M-360.0K0.3325.761,93064256,31142,026
2011-12-12$30.95$29.3835.5%11.3%43.3%17.0%41.5%10.8%4.7%2.1M-7.5M-358.3K0.7432.031,24492556,71041,917
2011-12-13$28.93$29.3844.8%12.4%48.1%35.6%47.0%9.4%3.8%-52.9K28.4M-311.9K1.0725.452,5762,75056,91541,943
2011-12-14$28.49$29.3846.0%12.5%48.3%38.0%44.3%8.8%3.8%-431.4K36.0M-301.3K1.3824.781,1471,58656,72243,409
2011-12-15$28.63$29.3842.5%12.2%48.3%31.0%41.6%8.8%5.5%-591.9K36.5M-301.1K0.6119.611,38584656,56244,125
2011-12-16$28.85$29.3840.6%11.7%45.8%27.3%39.3%9.4%5.5%-321.9K35.2M-298.5K1.1015.711,4571,59757,11144,212
2011-12-19$27.97$29.3839.1%11.2%47.1%24.2%39.1%8.5%4.9%-65.1K28.9M-269.5K0.4319.112,4701,06539,99033,102
2011-12-20$29.24$29.3837.4%10.7%49.4%20.8%36.5%8.2%4.1%242.9K18.7M-296.3K0.3215.284,3561,37841,22633,769
2011-12-21$29.46$29.3835.8%10.3%49.4%17.5%37.3%7.4%5.4%441.4K15.5M-309.6K1.2922.339541,23443,56334,467
2011-12-22$29.91$29.3834.0%9.7%47.4%14.0%34.1%7.4%5.2%621.5K9.0M-324.1K0.3316.601,57451844,15935,161
2011-12-23$30.38$29.3831.1%8.9%47.3%8.4%33.4%8.3%7.2%817.8K4.6M-330.1K0.6816.541,32890545,03435,462
2011-12-27$29.99$29.3832.7%9.4%42.8%11.4%43.0%6.0%6.2%729.1K7.3M-318.9K3.3521.307182,40545,66936,113
2011-12-28$29.32$29.3835.4%10.2%43.7%16.9%35.0%7.8%5.3%413.1K17.3M-301.0K0.8816.0671863545,96635,935
2011-12-29$29.32$29.3834.5%9.9%39.4%15.1%35.5%6.2%6.1%400.7K17.7M-299.0K1.9716.076521,28546,10536,247
2011-12-30$29.55$29.3834.6%9.9%39.5%15.3%34.8%5.5%6.5%480.0K15.1M-307.7K0.5713.7361635446,30636,875