SCCO Options History — May 2012

In May 2012, SCCO traded between $27.87 and $32.94. ATM implied volatility averaged 33.9%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 7.0% (HV 20d: 26.9%). Max pain ranged from $30.68 to $32.66. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.80.

Notable Days

  • 2012-05-16: Highest Volume — 5,304 contracts
  • 2012-05-14: Largest IV spike — 10.7% change
  • 2012-05-17: Highest IV Rank — 29.7%
  • 2012-05-17: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.85$27.87$32.94$32.78$28.16
Max Pain$32.35$30.68$32.66$30.68$31.67
ATM IV33.9%26.9%39.9%26.9%37.2%
Expected Move9.6%7.7%11.4%7.7%10.7%
HV 20d26.9%23.1%31.5%28.4%26.0%
HV 60d25.4%24.8%26.1%24.8%25.9%
IV Rank18.3%5.0%29.7%5.0%24.6%
IV Percentile34.5%4.0%59.5%4.0%52.4%
Term Structure0.4%-1.5%2.4%0.3%-1.1%
VWIV32.9%27.0%38.6%28.5%35.5%
Skew 25d6.5%4.3%11.6%5.5%8.3%
Skew 10d12.5%1.9%25.7%9.4%19.7%
Call IV 25d30.7%21.8%37.4%24.0%33.6%
Put IV 25d37.2%29.5%43.3%29.5%41.9%
Bid-Ask Spread %39.4816.9172.3956.3772.39
Gamma HHI0.120.090.220.140.10
Net GEX152.3K-960.2K1.6M1.3M-257.8K
Net DEX37.3M-127.3K61.2M4.3M50.8M
Net VEX-361.6K-449.7K-310.7K-449.7K-326.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.243.101.430.78
Total Volume2,118.5914365,3043,6742,252
Total OI83,173.31878,50189,42281,50085,095

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$32.78$30.6826.9%7.7%28.4%5.0%28.5%5.5%0.3%1.3M4.3M-449.7K1.4356.371,5142,16043,13738,363
2012-05-02$32.94$30.6827.9%8.0%28.2%6.9%29.2%11.6%0.2%1.4M1.7M-448.2K0.2463.681,58037443,26937,904
2012-05-03$32.86$30.6827.3%7.8%27.3%5.8%27.0%8.1%0.9%1.6M-127.3K-449.0K0.5147.9667734444,19837,718
2012-05-04$31.90$32.6629.6%8.4%29.2%10.1%29.0%6.1%2.4%1.0M16.8M-417.7K0.7424.3275956444,47637,798
2012-05-07$31.91$32.6632.1%8.6%28.9%14.9%29.0%6.2%2.3%1.1M18.6M-408.2K0.6929.7680756044,67437,775
2012-05-08$31.16$32.6634.8%9.4%30.2%20.0%32.2%5.2%0.6%589.6K29.1M-389.3K0.2920.522,16763444,94537,991
2012-05-09$30.45$32.6634.6%9.5%31.5%19.7%33.0%6.3%0.2%436.1K31.4M-381.3K0.9831.3361160145,21938,040
2012-05-10$30.52$32.6632.1%9.2%24.6%14.9%30.9%6.0%1.8%488.1K29.9M-383.7K0.7828.9542733445,46337,958
2012-05-11$30.38$32.6632.2%9.2%23.1%15.1%31.0%5.8%1.2%321.9K33.0M-371.2K0.5624.3936520545,53238,102
2012-05-14$29.76$32.6635.7%10.2%24.1%21.6%34.3%4.3%-0.3%-99.2K39.8M-353.4K0.8916.911,2471,11545,66238,204
2012-05-15$28.69$32.6636.5%10.5%26.7%23.2%35.5%7.0%1.1%-503.4K52.1M-310.7K3.1020.201,0633,29045,61238,445
2012-05-16$28.48$32.6639.4%11.3%26.7%28.6%38.6%5.3%-1.5%-908.6K53.8M-314.4K1.3835.342,2273,07745,88939,797
2012-05-17$28.12$32.6639.9%11.4%26.9%29.7%38.5%5.1%-0.9%-960.2K58.3M-332.0K1.2338.9176794347,35842,064
2012-05-18$27.87$32.6638.3%11.0%26.8%26.7%37.7%6.4%1.3%-498.5K61.2M-322.8K0.6659.732,0241,34247,11842,098
2012-05-21$28.65$32.6634.4%9.9%28.2%19.2%33.5%7.4%0.7%-358.3K49.7M-321.8K0.2759.902,61969640,43038,071
2012-05-22$28.59$32.6634.2%9.8%27.5%18.8%32.5%4.4%-0.7%-250.9K48.6M-326.3K0.4437.181,15751042,19438,331
2012-05-23$28.61$32.6634.9%10.0%26.1%20.2%34.7%6.0%0.6%-209.4K49.0M-327.1K0.3239.591,16737242,77538,561
2012-05-24$28.69$32.6635.3%10.1%26.0%20.8%34.4%7.0%0.3%-154.3K47.2M-338.5K0.8238.6846237743,15538,646
2012-05-25$28.49$32.6632.5%9.3%24.2%15.7%31.6%7.2%1.3%-245.8K49.6M-323.4K0.2739.883449243,23338,944
2012-05-29$29.20$32.6634.9%10.0%25.7%20.1%32.5%7.4%-1.5%-126.4K44.6M-337.0K0.6135.561,23575043,37538,967
2012-05-30$28.40$32.6635.3%10.1%26.4%21.0%34.5%5.7%0.3%-222.8K50.0M-323.7K0.7046.951,6501,14843,84939,378
2012-05-31$28.16$31.6737.2%10.7%26.0%24.6%35.5%8.3%-1.1%-257.8K50.8M-326.6K0.7872.391,26798545,12739,968