SCCO Options History — January 2012

In January 2012, SCCO traded between $30.21 and $35.37. ATM implied volatility averaged 33.1%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 3.2% (HV 20d: 36.3%). Max pain ranged from $29.38 to $32.31. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.67.

Notable Days

  • 2012-01-18: Highest Volume — 11,768 contracts
  • 2012-01-12: Largest IV spike — 28.5% change
  • 2012-01-26: Highest IV Rank — 17.9%
  • 2012-01-06: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.15$30.21$35.37$30.98$33.97
Max Pain$30.50$29.38$32.31$29.38$32.31
ATM IV33.1%27.3%35.9%32.9%34.2%
Expected Move9.9%8.8%10.8%9.4%9.8%
HV 20d36.3%30.6%42.6%42.6%35.1%
HV 60d44.8%40.2%47.4%47.4%40.2%
IV Rank12.2%0.7%17.9%11.8%14.4%
IV Percentile19.3%0.4%37.3%14.3%24.6%
Term Structure0.1%-2.9%7.8%4.1%-0.3%
VWIV35.6%31.4%43.6%34.0%34.4%
Skew 25d7.3%5.3%9.5%7.7%5.8%
Skew 10d16.7%10.7%26.0%26.0%18.3%
Call IV 25d30.9%28.5%33.5%29.8%32.4%
Put IV 25d38.2%33.8%41.9%37.5%38.2%
Bid-Ask Spread %25.2016.2051.6716.2546.28
Gamma HHI0.180.110.610.140.12
Net GEX2.3M853.3K7.3M1.2M2.0M
Net DEX-34.5M-92.1M8.8M-4.3M-28.9M
Net VEX-365.3K-455.0K-289.3K-319.1K-455.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.251.910.440.73
Total Volume4,967.651,60111,7683,3893,573
Total OI86,404.2564,549107,48783,51082,905

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-01-03$30.98$29.3832.9%9.4%42.6%11.8%34.0%7.7%4.1%1.2M-4.3M-319.1K0.4416.252,3541,03546,52636,984
2012-01-04$30.85$29.3832.5%9.3%42.2%11.0%32.6%6.3%7.8%1.2M-4.0M-320.1K0.4720.401,40666547,77837,063
2012-01-05$30.70$29.3830.8%8.8%42.2%7.6%31.4%5.3%7.3%1.2M-1.2M-314.6K1.6824.565981,00348,49537,179
2012-01-06$30.51$29.3830.2%10.8%42.2%6.5%35.8%8.7%-0.4%1.1M2.8M-304.0K0.4122.671,30754348,72437,621
2012-01-09$30.21$29.3829.4%10.7%41.3%4.8%39.4%9.2%0.1%853.3K8.8M-289.3K1.9118.508981,71749,49637,996
2012-01-10$31.34$29.3828.2%10.1%41.4%2.5%35.8%9.5%-0.3%1.8M-11.7M-308.3K0.8120.822,3271,88749,45038,776
2012-01-11$31.73$29.3827.3%10.3%41.5%0.7%35.5%8.3%-0.5%2.1M-18.8M-313.7K0.5136.182,4461,24450,68939,692
2012-01-12$32.72$30.3635.1%10.1%33.8%16.2%36.8%8.3%-0.4%2.8M-38.3M-324.5K0.2530.686,5481,61551,44940,461
2012-01-13$32.53$30.3635.3%10.1%33.2%16.7%36.2%7.6%-0.6%3.1M-38.0M-340.7K1.0525.811,6921,77254,71541,414
2012-01-17$33.48$30.3635.8%10.3%34.1%17.6%37.1%7.6%-0.9%3.6M-58.8M-345.0K0.5220.904,8592,51455,36942,565
2012-01-18$34.77$30.3635.1%10.1%35.7%16.2%34.0%7.8%0.4%3.5M-85.1M-360.2K0.3316.208,8672,90156,87543,758
2012-01-19$34.98$30.3635.0%10.0%32.4%16.0%36.6%6.3%-2.4%3.5M-92.1M-382.8K0.3023.513,7111,12560,59445,645
2012-01-20$34.41$30.3633.6%9.6%31.3%13.3%36.0%7.5%-0.7%7.3M-81.4M-392.6K0.3818.154,1181,55861,28746,200
2012-01-23$35.21$31.3432.7%9.4%31.8%11.5%31.6%6.2%-1.5%1.5M-39.4M-393.3K0.2816.877,4102,08535,88128,668
2012-01-24$34.60$31.3435.3%10.1%33.0%16.6%36.2%8.1%-2.7%1.8M-34.1M-403.7K1.1022.271,7531,93540,65829,805
2012-01-25$35.34$31.3433.5%9.6%33.3%13.1%43.6%7.6%-2.1%1.9M-46.0M-419.7K0.5024.852,9181,45641,29731,002
2012-01-26$35.25$31.3435.9%10.3%32.6%17.9%35.1%6.8%-2.7%1.9M-45.1M-430.0K0.5223.294,4642,30242,35631,714
2012-01-27$35.37$32.3135.4%10.2%30.6%16.8%35.3%6.5%-2.9%2.1M-45.7M-449.8K0.3524.141,96269344,76533,040
2012-01-30$34.04$32.3133.7%9.7%34.9%13.4%34.8%5.8%0.0%1.8M-28.7M-438.6K0.8451.674,4053,68745,77833,415
2012-01-31$33.97$32.3134.2%9.8%35.1%14.4%34.4%5.8%-0.3%2.0M-28.9M-455.0K0.7346.282,0631,51047,66535,240