SCCO Options History — February 2012

In February 2012, SCCO traded between $31.83 and $34.50. ATM implied volatility averaged 31.9%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 3.1% (HV 20d: 28.8%). Max pain ranged from $30.36 to $32.31. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.62.

Notable Days

  • 2012-02-10: Highest Volume — 27,582 contracts
  • 2012-02-21: Largest IV drop — 14.8% change
  • 2012-02-02: Highest IV Rank — 18.2%
  • 2012-02-02: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.05$31.83$34.50$34.06$31.83
Max Pain$31.59$30.36$32.31$32.31$31.67
ATM IV31.9%26.9%36.1%35.8%28.4%
Expected Move9.0%7.7%10.4%10.3%8.1%
HV 20d28.8%23.1%32.5%31.7%24.5%
HV 60d37.6%33.4%40.4%40.2%33.8%
IV Rank9.9%0.0%18.2%17.7%3.0%
IV Percentile15.6%0.0%39.3%38.1%2.4%
Term Structure2.2%-1.9%3.8%-0.9%3.2%
VWIV31.9%26.6%37.8%37.8%28.6%
Skew 25d5.1%2.5%6.7%6.4%2.5%
Skew 10d7.9%-5.6%13.2%-1.7%5.8%
Call IV 25d29.6%25.6%33.3%33.3%28.1%
Put IV 25d34.7%29.8%39.7%39.7%30.6%
Bid-Ask Spread %65.0130.1579.9454.7978.40
Gamma HHI0.130.090.150.120.14
Net GEX1.2M-209.1K2.0M1.9M1.4M
Net DEX-1.1M-31.9M33.0M-28.4M13.6M
Net VEX-427.8K-461.8K-403.9K-461.8K-412.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.091.891.090.30
Total Volume4,332.851,72027,5823,5872,577
Total OI84,752.673,11891,45684,28283,195

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-02-01$34.06$32.3135.8%10.3%31.7%17.7%37.8%6.4%-0.9%1.9M-28.4M-461.8K1.0954.791,7161,87148,14236,140
2012-02-02$33.69$32.3136.1%10.4%32.0%18.2%35.6%6.3%-1.9%1.6M-18.0M-445.7K1.0954.0682389748,27637,366
2012-02-03$34.50$30.3633.1%9.4%32.5%12.3%33.0%6.6%2.8%1.9M-31.8M-447.0K0.9750.831,7231,66648,63837,880
2012-02-06$34.46$31.3434.5%9.2%32.3%15.0%35.4%6.2%3.2%2.0M-31.9M-446.3K1.8936.537711,45949,25738,618
2012-02-07$34.20$31.3432.7%9.1%32.2%11.5%32.3%4.8%2.4%1.9M-26.7M-439.0K1.0150.661,3591,36949,58639,491
2012-02-08$34.24$31.3434.5%8.9%30.1%15.0%32.0%5.2%2.3%1.9M-28.4M-453.9K0.5344.711,59985349,91940,468
2012-02-09$34.11$31.3430.3%8.7%30.1%6.7%30.6%5.4%3.6%1.8M-23.5M-447.5K0.5730.151,32475850,35340,566
2012-02-10$32.99$31.3432.5%9.3%31.0%11.1%33.5%6.2%2.6%1.2M2.0M-433.4K0.0966.3025,3752,20750,55640,900
2012-02-13$32.81$31.6732.4%9.3%31.0%10.8%33.4%6.1%3.0%594.2K16.9M-420.0K0.4977.412,4501,19146,28641,190
2012-02-14$31.86$31.6734.2%9.8%30.9%14.4%34.0%5.4%1.5%-177.3K32.6M-403.9K1.0275.572,4282,47446,68841,363
2012-02-15$31.87$31.6734.1%9.8%27.0%14.2%33.8%5.0%3.0%-209.1K33.0M-404.8K0.7370.781,4821,07546,77741,744
2012-02-16$32.39$31.6732.1%9.2%27.7%10.3%31.9%5.2%3.6%256.0K24.4M-411.4K0.5875.081,20470347,54941,930
2012-02-17$31.84$31.6735.2%10.1%27.8%16.4%35.3%6.7%1.4%31.7K30.1M-410.0K0.2874.754,7511,30947,98841,870
2012-02-21$32.32$31.6730.0%8.6%26.9%6.1%30.0%4.0%2.7%945.0K9.6M-412.0K0.1674.833,32252638,35734,761
2012-02-22$32.91$31.6729.0%8.3%27.5%4.1%28.4%5.5%2.5%1.4M365.3K-424.7K0.2976.002,57675540,68235,026
2012-02-23$32.99$31.6729.0%8.3%26.1%4.2%28.5%3.1%2.4%1.6M-3.2M-430.8K0.1576.701,75326241,64935,325
2012-02-24$32.85$31.6726.9%7.7%26.1%0.0%27.7%4.3%3.8%1.7M2.9K-422.4K0.6578.041,48796142,30035,450
2012-02-27$32.41$31.6729.9%8.6%26.2%6.0%29.7%3.2%1.6%1.4M6.5M-414.0K0.2879.942,44268142,58635,883
2012-02-28$32.62$31.6727.3%7.8%23.1%0.9%26.6%4.0%2.2%1.7M2.0M-414.2K0.3074.683,4391,03943,94336,354
2012-02-29$31.83$31.6728.4%8.1%24.5%3.0%28.6%2.5%3.2%1.4M13.6M-412.8K0.3078.401,97760046,36936,826