SCCO Options History — April 2012

In April 2012, SCCO traded between $29.88 and $32.54. ATM implied volatility averaged 31.1%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 5.6% (HV 20d: 25.5%). Max pain ranged from $30.68 to $31.67. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.83.

Notable Days

  • 2012-04-02: Highest Volume — 5,301 contracts
  • 2012-04-09: Largest IV spike — 16.2% change
  • 2012-04-13: Highest IV Rank — 24.3%
  • 2012-04-13: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.99$29.88$32.54$31.58$32.54
Max Pain$30.83$30.68$31.67$30.68$30.68
ATM IV31.1%26.2%37.1%26.2%27.3%
Expected Move8.9%7.5%10.6%7.5%7.8%
HV 20d25.5%20.3%28.6%22.0%28.4%
HV 60d25.8%24.8%27.1%26.9%25.3%
IV Rank13.0%3.7%24.3%3.7%5.7%
IV Percentile19.8%1.2%47.6%1.2%4.8%
Term Structure0.7%-1.9%3.8%3.8%1.7%
VWIV30.7%26.3%36.1%26.3%28.7%
Skew 25d6.7%3.6%10.1%5.0%10.1%
Skew 10d14.2%7.1%26.8%8.8%24.9%
Call IV 25d28.0%23.5%34.0%24.6%24.1%
Put IV 25d34.7%29.6%39.0%29.6%34.2%
Bid-Ask Spread %31.2520.8356.0322.9756.03
Gamma HHI0.110.090.130.120.12
Net GEX384.2K-150.2K970.1K755.5K952.4K
Net DEX28.9M10.3M42.9M21.6M10.3M
Net VEX-417.5K-443.1K-379.1K-416.3K-433.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.084.850.080.40
Total Volume1,972.056895,3015,3012,466
Total OI83,872.7576,49589,54679,71979,587

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$31.58$30.6826.2%7.5%22.0%3.7%26.3%5.0%3.8%755.5K21.6M-416.3K0.0822.974,89640541,44638,273
2012-04-03$31.35$30.6826.2%7.5%21.1%3.8%26.3%4.7%3.4%828.8K21.1M-443.1K0.3621.0050618345,92338,273
2012-04-04$30.81$30.6828.9%8.3%22.1%8.8%28.6%3.6%2.6%496.1K27.6M-433.9K0.7421.1445533646,03838,310
2012-04-05$30.43$30.6827.4%7.8%22.1%5.9%27.7%5.8%3.4%241.4K33.5M-414.7K1.8032.2634161246,24638,541
2012-04-09$30.15$30.6831.8%9.7%22.2%14.3%31.7%6.3%-1.1%100.1K37.2M-401.4K0.3540.6492832246,27238,674
2012-04-10$29.88$30.6835.7%9.7%22.0%21.7%33.9%7.1%-0.5%-47.7K39.2M-398.4K0.8820.8381271746,34338,792
2012-04-11$29.89$30.6833.1%9.8%20.3%16.7%32.5%6.4%-0.8%-73.2K39.7M-393.6K0.3029.0369020846,49538,816
2012-04-12$31.53$30.6834.1%9.8%27.2%18.6%34.5%7.3%-1.9%970.1K18.2M-437.4K0.5238.861,69988446,64538,865
2012-04-13$30.77$30.6837.1%10.6%28.6%24.3%36.1%5.0%-0.8%500.7K26.7M-426.6K4.8527.088974,34947,36839,315
2012-04-16$30.94$30.6835.7%10.2%28.4%21.7%34.5%7.2%-0.6%399.5K29.7M-431.4K1.4128.0832445947,42541,255
2012-04-17$31.20$30.6831.3%9.0%28.4%13.3%30.5%7.0%0.8%541.7K27.5M-428.5K0.4232.151,18749547,43641,483
2012-04-18$31.08$31.6733.6%9.6%26.9%17.8%31.6%7.2%-0.6%382.2K30.1M-419.6K0.4830.2668232647,71141,513
2012-04-19$31.00$31.6733.2%9.5%26.7%17.0%32.4%6.3%-0.2%257.7K31.0M-414.1K0.5429.9575740947,89341,480
2012-04-20$30.97$30.6832.0%9.2%25.4%14.7%31.4%6.2%-0.1%37.2K30.2M-414.1K0.7835.841,4381,12648,03441,512
2012-04-23$30.22$31.6731.7%9.1%26.9%14.1%31.9%7.4%0.5%-150.2K42.9M-379.1K1.3427.161,3151,76138,71237,783
2012-04-24$30.66$30.6831.5%9.0%27.3%13.7%30.0%7.1%1.2%12.7K36.1M-405.2K0.2137.291,63434639,36438,303
2012-04-25$31.27$30.6827.5%7.9%27.6%6.3%27.8%6.5%1.4%294.7K30.1M-410.9K0.3537.8690431440,43938,344
2012-04-26$31.46$30.6829.4%8.4%27.4%9.7%28.2%7.6%0.7%424.0K25.9M-420.0K0.4924.601,51474040,81538,378
2012-04-27$32.13$30.6828.3%8.1%28.3%7.8%29.0%9.4%0.6%760.0K18.6M-428.2K0.3032.061,54545941,32438,029
2012-04-30$32.54$30.6827.3%7.8%28.4%5.7%28.7%10.1%1.7%952.4K10.3M-433.7K0.4056.031,76070641,52638,061