SCCO Options History — June 2012

In June 2012, SCCO traded between $28.22 and $31.19. ATM implied volatility averaged 29.7%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 4.4% (HV 20d: 25.2%). Max pain ranged from $28.70 to $31.67. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2012-06-19: Highest Volume — 4,748 contracts
  • 2012-06-11: Largest IV spike — 21.8% change
  • 2012-06-01: Highest IV Rank — 23.2%
  • 2012-06-01: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.74$28.22$31.19$28.22$31.19
Max Pain$29.50$28.70$31.67$31.67$29.69
ATM IV29.7%23.2%36.5%36.5%23.2%
Expected Move8.7%6.6%10.5%10.5%6.6%
HV 20d25.2%22.0%28.3%26.2%26.7%
HV 60d26.2%25.2%27.8%25.9%27.8%
IV Rank10.4%0.0%23.2%23.2%0.0%
IV Percentile18.2%0.0%50.4%50.4%0.0%
Term Structure3.0%-0.9%5.1%-0.9%4.7%
VWIV30.1%24.4%45.3%45.3%24.5%
Skew 25d7.2%4.9%9.0%9.0%6.5%
Skew 10d16.9%5.9%29.1%18.0%19.4%
Call IV 25d27.7%22.1%33.4%33.4%22.5%
Put IV 25d34.9%27.6%42.4%42.4%29.0%
Bid-Ask Spread %42.2325.1674.2574.2527.00
Gamma HHI0.120.090.200.090.18
Net GEX615.0K-203.0K1.8M-203.0K1.8M
Net DEX26.1M286.1K51.5M51.5M286.1K
Net VEX-362.7K-408.6K-324.5K-324.5K-400.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.122.262.260.53
Total Volume2,183.3814764,7489662,432
Total OI80,712.8164,08091,16485,95576,937

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$28.22$31.6736.5%10.5%26.2%23.2%45.3%9.0%-0.9%-203.0K51.5M-324.5K2.2674.2529667045,75540,200
2012-06-04$28.46$28.7035.4%10.3%25.4%21.2%33.8%9.0%1.6%-178.2K48.7M-325.4K0.4250.4872130545,77239,741
2012-06-05$28.76$28.7034.7%10.0%26.0%19.9%33.3%8.1%3.3%-84.3K44.7M-328.8K0.1252.604,09949546,06539,735
2012-06-06$29.32$28.7031.8%9.3%26.3%14.3%31.0%8.1%2.3%142.6K39.0M-363.5K0.6558.491,26482748,55640,045
2012-06-07$29.39$28.7031.9%9.2%25.3%14.6%30.6%7.2%2.0%120.3K37.2M-360.5K0.2850.941,22434147,83540,526
2012-06-08$29.46$28.7027.6%9.2%25.3%6.4%31.4%8.6%2.3%166.1K37.7M-355.3K1.2943.5246459948,42640,261
2012-06-11$28.86$28.7033.6%9.9%26.2%17.8%32.1%7.5%1.8%-9.9K42.3M-340.3K0.7161.0979656448,80040,200
2012-06-12$29.16$29.6930.4%9.4%25.7%11.6%33.5%8.6%2.8%87.9K40.4M-339.6K1.6538.5246176148,93739,955
2012-06-13$29.45$29.6928.5%9.3%22.2%8.0%31.4%8.8%2.4%279.1K36.3M-347.4K0.7446.0680860049,17440,341
2012-06-14$29.46$29.6932.5%9.3%22.0%15.6%30.4%8.1%2.8%379.8K37.4M-342.8K0.3551.792,07073149,61440,246
2012-06-15$30.40$29.6928.9%8.3%23.6%8.9%29.7%7.9%2.8%1.3M24.4M-361.8K0.5945.412,6761,58150,82640,338
2012-06-18$30.43$29.6926.2%7.5%23.2%3.7%25.5%7.0%5.1%626.5K13.6M-360.5K0.1332.683,83148934,03730,043
2012-06-19$31.08$29.6925.8%7.4%22.4%3.0%25.1%6.5%4.4%1.0M4.9M-390.7K0.2533.733,78696237,07630,331
2012-06-20$31.18$29.6925.3%7.2%22.3%2.0%24.4%5.5%4.7%1.4M1.2M-408.6K0.2847.841,46440440,27430,971
2012-06-21$29.93$29.6929.6%8.5%27.5%10.2%28.5%6.7%2.1%954.3K13.8M-388.7K1.3841.247921,09341,21431,269
2012-06-22$30.14$29.6928.1%8.1%27.5%7.4%26.9%6.2%4.5%976.6K13.2M-383.8K1.1125.2965172340,73031,516
2012-06-25$29.59$29.6928.5%8.2%28.3%8.2%28.0%5.7%4.3%816.4K18.6M-362.0K0.2525.161,52938541,15131,796
2012-06-26$29.69$29.6928.7%8.2%27.0%8.5%27.1%6.0%3.0%911.2K18.1M-364.7K0.1726.881,78429942,18731,814
2012-06-27$30.19$29.6929.6%8.5%25.4%10.1%31.1%4.9%3.4%1.3M11.8M-385.4K0.9126.911,2581,14043,66831,868
2012-06-28$30.26$29.6926.1%7.5%25.0%3.6%28.5%5.5%3.9%1.2M13.2M-380.9K1.0627.0123124544,02432,715
2012-06-29$31.19$29.6923.2%6.6%26.7%0.0%24.5%6.5%4.7%1.8M286.1K-400.7K0.5327.001,59184144,08232,855