SCCO Options History — March 2012

In March 2012, SCCO traded between $30.42 and $32.03. ATM implied volatility averaged 27.9%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 4.3% (HV 20d: 23.6%). Max pain ranged from $29.69 to $31.67. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.62.

Notable Days

  • 2012-03-02: Highest Volume — 6,858 contracts
  • 2012-03-15: Largest IV spike — 19.8% change
  • 2012-03-07: Highest IV Rank — 12.8%
  • 2012-03-06: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.17$30.42$32.03$32.03$31.38
Max Pain$30.46$29.69$31.67$31.67$30.68
ATM IV27.9%24.2%32.9%27.9%27.3%
Expected Move8.3%7.3%9.5%8.0%7.8%
HV 20d23.6%22.5%24.9%24.6%22.9%
HV 60d30.2%26.8%34.0%33.6%26.9%
IV Rank5.5%0.0%12.8%1.9%5.9%
IV Percentile5.2%0.0%21.8%1.6%4.4%
Term Structure2.7%1.7%3.8%2.0%2.4%
VWIV28.7%23.4%34.8%27.5%27.6%
Skew 25d5.2%3.0%6.6%3.0%5.4%
Skew 10d9.8%1.6%14.4%1.6%14.4%
Call IV 25d27.0%23.9%31.3%27.0%25.9%
Put IV 25d32.1%28.8%37.6%30.0%31.3%
Bid-Ask Spread %30.6818.8577.3277.3218.85
Gamma HHI0.130.090.370.140.12
Net GEX636.9K142.4K2.2M1.4M594.5K
Net DEX28.6M11.1M39.7M11.1M24.5M
Net VEX-398.9K-418.4K-378.2K-409.5K-418.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.102.020.450.36
Total Volume2,881.6826856,8581,1881,019
Total OI82,193.27366,34693,74882,84779,091

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$32.03$31.6727.9%8.0%24.6%1.9%27.5%3.0%2.0%1.4M11.1M-409.5K0.4577.3281737145,96936,878
2012-03-02$31.53$31.6726.4%7.6%24.9%0.0%26.8%3.0%3.2%1.1M21.9M-387.6K1.9376.612,3434,51546,20737,129
2012-03-05$30.98$29.6931.2%9.1%23.2%9.3%31.8%5.1%3.3%551.2K32.5M-390.9K0.4132.762,5801,06845,58939,444
2012-03-06$30.42$29.6931.8%9.5%23.5%10.5%33.7%6.3%2.7%193.1K39.7M-378.2K0.7625.672,9382,23746,24439,942
2012-03-07$30.52$29.6932.9%9.3%23.8%12.8%34.8%5.9%2.3%314.2K37.4M-398.8K0.8726.902,0021,73547,24441,190
2012-03-08$30.92$29.6929.7%8.9%24.6%6.3%29.7%6.3%3.6%476.9K33.2M-405.3K0.7122.031,9951,41347,33642,078
2012-03-09$31.07$29.6926.7%8.7%24.8%0.5%30.9%4.9%3.1%575.4K31.4M-407.4K0.2225.482,88363747,45241,952
2012-03-12$31.30$29.6926.5%8.8%22.7%0.1%32.1%4.9%1.7%819.3K28.8M-401.0K0.9027.841,01391547,90042,247
2012-03-13$31.97$29.6924.7%8.4%24.2%0.0%23.4%5.4%1.8%1.5M16.2M-412.9K0.1425.584,55864447,99842,607
2012-03-14$31.20$30.6824.2%8.6%23.5%0.0%30.3%5.1%2.4%831.3K30.1M-403.8K0.3724.041,36350450,73542,783
2012-03-15$31.22$30.6829.0%8.3%23.5%9.1%29.0%5.0%2.8%844.0K30.7M-399.7K0.4925.641,08352650,83042,918
2012-03-16$31.53$30.6827.4%7.9%23.0%6.1%27.3%5.8%3.3%2.2M26.8M-400.0K2.0248.117701,55350,63343,062
2012-03-19$31.85$30.6826.2%7.5%22.5%3.8%25.0%4.9%3.4%195.3K23.7M-397.7K0.1023.784,36542232,00934,337
2012-03-20$31.04$30.6828.2%8.1%23.5%7.6%28.0%4.8%2.6%245.1K29.2M-388.8K0.4421.802,08790935,53134,499
2012-03-21$31.25$30.6825.6%7.3%22.6%2.6%26.7%5.0%3.8%375.0K26.7M-395.4K0.5322.002,4461,30336,28435,137
2012-03-22$30.54$30.6828.5%8.2%23.6%8.2%27.7%4.6%2.5%169.2K34.1M-394.2K0.3824.121,78167538,36836,322
2012-03-23$30.64$30.6828.0%8.0%23.8%7.1%27.8%4.5%2.3%142.4K33.3M-400.0K0.5526.6344324238,57836,869
2012-03-26$30.87$30.6827.8%8.0%23.8%6.9%27.7%6.4%1.8%185.8K32.9M-387.8K0.2425.241,21929838,54136,697
2012-03-27$31.37$30.6826.4%7.6%24.5%4.2%26.5%5.1%2.6%530.0K24.5M-405.4K0.1825.171,15520939,14936,807
2012-03-28$31.06$30.6829.0%8.3%23.2%9.0%29.4%6.6%2.4%373.1K30.0M-394.4K1.1823.7861072039,69036,820
2012-03-29$31.03$30.6828.9%8.3%23.1%8.9%28.0%5.7%2.4%361.7K29.9M-397.9K0.4525.652,08394839,90037,256
2012-03-30$31.38$30.6827.3%7.8%22.9%5.9%27.6%5.4%2.4%594.5K24.5M-418.4K0.3618.8575026940,96138,130