SCCO Options History — July 2012

In July 2012, SCCO traded between $30.20 and $31.98. ATM implied volatility averaged 27.4%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 2.6% (HV 20d: 24.8%). Max pain ranged from $28.70 to $30.68. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2012-07-27: Highest Volume — 8,224 contracts
  • 2012-07-09: Largest IV spike — 22.1% change
  • 2012-07-16: Highest IV Rank — 17.2%
  • 2012-07-16: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.20$30.20$31.98$31.17$31.95
Max Pain$29.50$28.70$30.68$29.69$30.68
ATM IV27.4%21.9%31.4%26.9%28.4%
Expected Move8.1%6.8%9.0%7.7%8.1%
HV 20d24.8%21.0%27.8%26.8%21.2%
HV 60d25.8%25.0%27.9%27.6%25.1%
IV Rank9.6%0.0%17.2%6.9%11.7%
IV Percentile12.6%0.0%27.8%6.3%19.0%
Term Structure-0.1%-2.0%3.5%3.3%-1.9%
VWIV27.9%24.0%31.3%25.2%31.3%
Skew 25d8.2%5.8%15.7%5.8%15.7%
Skew 10d19.2%12.0%25.5%17.1%16.3%
Call IV 25d24.4%18.6%27.3%23.6%18.6%
Put IV 25d32.6%28.2%35.3%29.4%34.2%
Bid-Ask Spread %39.1424.5160.6833.8454.28
Gamma HHI0.170.110.330.180.16
Net GEX2.0M666.4K3.3M1.9M2.5M
Net DEX884.9K-14.9M20.8M-173.1K-14.9M
Net VEX-384.2K-431.9K-352.4K-390.2K-431.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.082.540.200.64
Total Volume2,189.813878,2247112,040
Total OI81,60574,72687,74977,79087,749

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$31.17$29.6926.9%7.7%26.8%6.9%25.2%5.8%3.3%1.9M-173.1K-390.2K0.2033.8459411744,92832,862
2012-07-03$31.77$29.6924.1%6.9%27.2%1.8%25.9%6.0%2.9%2.4M-11.0M-405.8K0.4032.691,27651645,30832,924
2012-07-05$31.79$29.6923.7%6.8%26.7%1.0%24.3%6.8%3.5%2.5M-11.6M-408.0K0.3260.6849916245,94633,190
2012-07-06$31.42$28.7021.9%8.2%27.3%0.0%28.9%7.0%-1.1%2.3M-4.5M-396.4K0.3543.2431411146,12133,254
2012-07-09$31.06$28.7026.7%8.5%27.8%8.8%28.7%9.3%-0.2%2.1M917.8K-377.5K0.8638.8829225246,10533,302
2012-07-10$30.63$28.7026.7%8.7%27.1%8.8%30.3%9.6%-0.8%1.6M9.9M-362.9K0.4245.422,9581,24746,13133,433
2012-07-11$30.71$28.7026.2%8.6%27.0%7.8%29.1%8.2%-0.2%1.8M7.0M-383.4K0.3431.9631310647,84034,529
2012-07-12$30.55$28.7030.4%8.7%27.0%15.5%29.2%8.8%-0.4%1.7M9.4M-379.8K1.0143.3838538747,76234,561
2012-07-13$31.19$28.7028.8%8.3%27.8%12.5%28.1%8.8%-0.5%2.2M-166.9K-394.4K0.3636.081,85767147,85934,688
2012-07-16$31.14$28.7031.4%9.0%25.7%17.2%27.3%9.5%-1.6%2.3M234.4K-382.3K0.2538.733107748,49735,002
2012-07-17$31.35$28.7027.7%8.0%25.7%10.6%29.3%8.2%-0.9%2.6M-2.8M-384.1K2.5448.4327268948,70735,029
2012-07-18$31.42$28.7027.1%7.8%24.7%9.5%28.9%8.2%-0.0%2.6M-5.3M-375.9K0.3337.8480826648,76934,939
2012-07-19$31.98$28.7027.2%7.8%25.4%9.7%24.0%7.5%-0.2%3.1M-14.2M-376.1K0.0841.134,26135948,15534,759
2012-07-20$31.49$29.6926.5%7.6%21.0%8.3%25.2%7.0%0.3%3.3M-4.6M-373.9K0.1629.502,93646550,99235,016
2012-07-23$30.94$29.6930.2%8.6%22.2%15.0%29.5%7.0%-2.0%941.4K13.2M-363.0K0.6129.953,4372,08442,39832,328
2012-07-24$30.50$30.6829.5%8.4%21.7%13.7%28.3%5.8%-1.5%807.0K17.6M-358.0K0.5424.511,9631,06444,92734,192
2012-07-25$30.20$30.6829.0%8.3%22.1%12.8%28.9%6.3%-0.9%666.4K20.8M-352.4K0.2827.3156115845,97034,848
2012-07-26$30.75$30.6827.1%7.8%22.3%9.4%27.0%7.7%0.3%1.0M15.7M-360.1K0.1135.391,54117446,18434,921
2012-07-27$31.34$30.6827.1%7.8%23.2%9.4%28.3%8.7%-0.1%1.7M2.0M-381.0K0.2855.466,4091,81546,97335,004
2012-07-30$31.76$30.6828.1%8.1%21.1%11.3%28.4%9.8%-0.3%2.4M-9.1M-430.9K0.3133.181,70453651,29736,306
2012-07-31$31.95$30.6828.4%8.1%21.2%11.7%31.3%15.7%-1.9%2.5M-14.9M-431.9K0.6454.281,24279851,32436,425