SCCO Options History — August 2012

In August 2012, SCCO traded between $31.44 and $33.43. ATM implied volatility averaged 23.2%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 3.8% (HV 20d: 19.4%). Max pain ranged from $30.68 to $31.67. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.48.

Notable Days

  • 2012-08-10: Highest Volume — 16,143 contracts
  • 2012-08-13: Largest IV spike — 28.1% change
  • 2012-08-01: Highest IV Rank — 10.1%
  • 2012-08-01: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.36$31.44$33.43$31.81$32.21
Max Pain$31.54$30.68$31.67$30.68$31.67
ATM IV23.2%18.7%27.5%27.5%22.2%
Expected Move6.7%5.8%7.9%7.9%6.4%
HV 20d19.4%16.2%22.1%20.1%16.2%
HV 60d23.0%21.5%25.1%25.1%21.8%
IV Rank6.2%0.0%10.1%10.1%6.0%
IV Percentile3.2%0.0%14.3%14.3%3.2%
Term Structure2.3%-0.9%4.0%-0.9%2.5%
VWIV23.3%20.9%26.5%25.9%22.7%
Skew 25d5.3%2.9%9.0%9.0%3.4%
Skew 10d12.5%2.5%25.8%25.8%6.3%
Call IV 25d21.5%19.4%23.8%23.0%21.7%
Put IV 25d26.8%24.3%31.9%31.9%25.0%
Bid-Ask Spread %18.5511.6531.1931.1917.06
Gamma HHI0.190.150.290.170.19
Net GEX3.5M2.4M5.1M2.7M3.7M
Net DEX-21.2M-49.6M-4.8M-12.3M-16.9M
Net VEX-423.4K-452.7K-393.4K-436.6K-395.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.021.650.440.14
Total Volume2,831.26155216,1431,064552
Total OI90,654.73984,97795,30689,75391,358

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$31.81$30.6827.5%7.9%20.1%10.1%25.9%9.0%-0.9%2.7M-12.3M-436.6K0.4431.1973932552,94936,804
2012-08-02$31.44$30.6826.3%7.5%20.5%8.0%26.5%6.7%0.1%2.4M-4.8M-423.1K0.8729.3549243053,34636,813
2012-08-03$32.12$30.6825.1%7.2%21.5%5.8%24.3%7.6%-0.1%3.2M-18.7M-433.3K0.8217.6496879053,38836,904
2012-08-06$32.61$31.6724.7%7.0%21.5%5.0%24.1%5.7%2.6%3.7M-30.5M-438.2K0.1720.054,05867553,81036,918
2012-08-07$32.96$31.6724.4%7.0%20.8%4.5%24.0%5.9%2.7%4.1M-37.9M-445.9K0.1419.302,09729154,46136,998
2012-08-08$33.01$31.6725.0%6.9%20.8%5.6%25.1%5.8%3.1%4.5M-40.2M-446.6K0.8815.421,3631,20155,85036,963
2012-08-09$33.16$31.6722.6%6.6%20.5%1.3%22.9%5.7%3.3%4.8M-45.2M-440.3K0.1618.172,91947256,31737,458
2012-08-10$33.43$31.6718.7%6.1%19.7%0.0%22.5%5.5%4.0%5.1M-49.6M-452.7K0.0615.4415,29584857,55837,748
2012-08-13$32.80$31.6723.9%6.5%21.2%9.0%22.3%5.5%3.5%4.2M-26.6M-432.9K1.2820.7660076853,03738,357
2012-08-14$32.34$31.6721.4%6.5%21.9%4.8%24.1%4.9%4.0%3.5M-16.8M-425.5K0.9614.3748947153,23238,331
2012-08-15$32.17$31.6721.4%6.8%22.1%4.7%22.9%5.6%3.2%3.2M-11.6M-422.6K1.6511.6537862353,37438,541
2012-08-16$32.47$31.6722.6%6.5%21.4%6.8%21.7%4.8%3.5%4.1M-18.6M-419.4K0.0912.852,61523952,70938,029
2012-08-17$32.30$31.6721.9%6.3%20.7%5.6%21.6%3.9%4.0%3.5M-14.9M-419.0K0.3116.231,85856954,90638,132
2012-08-20$32.22$31.6721.8%6.2%19.5%5.3%22.8%2.9%1.9%2.8M-15.0M-407.2K0.6515.9894361650,21534,762
2012-08-21$32.47$31.6721.1%6.1%18.7%4.2%21.6%4.4%2.1%2.9M-19.2M-418.9K0.4218.461,64669450,76235,023
2012-08-22$32.36$31.6720.3%5.8%18.2%2.8%20.9%5.4%3.4%3.2M-17.7M-415.3K0.1421.585948251,85735,050
2012-08-23$32.35$31.6724.1%6.9%17.3%9.2%23.5%5.0%1.8%3.0M-19.8M-415.5K0.0218.406,57615552,06935,066
2012-08-24$32.17$31.6724.5%7.0%16.4%10.0%23.4%5.8%0.7%3.6M-19.1M-431.7K0.1117.646,46268357,77235,166
2012-08-27$31.87$31.6724.4%7.0%16.2%9.8%23.8%5.3%1.0%3.0M-10.9M-405.8K0.8817.4461754355,29035,246
2012-08-28$32.31$31.6722.5%6.5%16.8%6.6%22.4%5.2%2.2%3.4M-19.4M-417.0K0.2220.4089620155,32535,491
2012-08-29$32.02$31.6723.5%6.7%17.1%8.3%23.4%4.7%1.5%3.5M-14.5M-402.3K0.6121.5134421155,61835,195
2012-08-30$31.70$31.6724.1%6.9%16.9%9.4%23.4%4.4%1.7%3.1M-8.2M-393.4K0.0815.811,60013155,52935,332
2012-08-31$32.21$31.6722.2%6.4%16.2%6.0%22.7%3.4%2.5%3.7M-16.9M-395.8K0.1417.064836955,94935,409