SCCO Options History — September 2012

In September 2012, SCCO traded between $31.66 and $36.54. ATM implied volatility averaged 24.4%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 2.7% (HV 20d: 27.2%). Max pain ranged from $31.67 to $33.65. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.45.

Notable Days

2012-09-07: Highest Volume — 9,232 contracts
2012-09-06: Largest IV drop — 12.3% change
2012-09-17: Highest IV Rank — 12.8%
2012-09-17: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.11	$31.66	$36.54	$31.74	$34.01
Max Pain	$33.02	$31.67	$33.65	$31.67	$33.65
ATM IV	24.4%	21.9%	26.2%	25.0%	24.5%
Expected Move	7.0%	6.3%	7.5%	7.2%	7.0%
HV 20d	27.2%	15.3%	33.5%	15.9%	32.7%
HV 60d	23.7%	21.6%	24.8%	22.1%	24.1%
IV Rank	9.8%	5.5%	12.8%	10.9%	10.0%
IV Percentile	10.5%	2.4%	16.3%	10.3%	12.3%
Term Structure	2.0%	1.1%	3.1%	1.3%	3.1%
VWIV	24.8%	22.7%	27.8%	24.3%	24.0%
Skew 25d	3.8%	2.1%	5.3%	3.6%	3.3%
Skew 10d	7.5%	-1.9%	11.2%	0.1%	9.7%
Call IV 25d	23.1%	21.0%	25.0%	23.9%	21.7%
Put IV 25d	27.0%	25.0%	28.7%	27.5%	25.0%
Bid-Ask Spread %	23.09	15.51	33.14	17.04	20.93
Gamma HHI	0.18	0.15	0.28	0.18	0.15
Net GEX	4.3M	2.6M	5.8M	3.3M	2.8M
Net DEX	-60.6M	-133.5M	-6.0M	-9.5M	-31.2M
Net VEX	-423.9K	-461.3K	-368.0K	-381.2K	-433.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.45	0.13	0.99	0.42	0.66
Total Volume	2,663.263	390	9,232	390	856
Total OI	93,200.368	72,187	106,529	91,519	77,024

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2012-09-04	$31.74	$31.67	25.0%	7.2%	15.9%	10.9%	24.3%	3.6%	1.3%	3.3M	-9.5M	-381.2K	0.42	17.04	275	115	56,090	35,429
2012-09-05	$31.66	$31.67	24.9%	7.1%	15.3%	10.7%	25.5%	3.5%	1.3%	3.1M	-6.0M	-368.0K	0.99	16.34	307	304	56,166	35,503
2012-09-06	$32.25	$31.67	21.9%	6.3%	16.9%	5.5%	22.7%	3.1%	2.4%	4.0M	-18.4M	-383.0K	0.43	15.51	1,125	482	56,185	35,706
2012-09-07	$33.98	$31.67	23.1%	6.9%	25.3%	7.6%	23.8%	3.9%	2.0%	4.9M	-58.4M	-410.5K	0.79	24.49	5,168	4,064	56,521	36,086
2012-09-10	$33.90	$32.66	25.0%	7.1%	25.2%	10.8%	25.1%	5.3%	1.3%	5.2M	-60.8M	-431.4K	0.32	18.79	1,177	381	59,236	39,462
2012-09-11	$34.02	$32.66	24.0%	7.1%	24.1%	9.1%	24.4%	4.1%	2.3%	5.4M	-65.0M	-421.3K	0.38	30.05	558	209	59,812	37,730
2012-09-12	$34.15	$32.66	22.8%	6.7%	23.4%	7.0%	27.1%	3.8%	2.6%	5.4M	-68.4M	-419.9K	0.17	23.60	4,672	786	60,104	37,860
2012-09-13	$35.32	$32.66	23.1%	6.6%	25.6%	7.6%	23.7%	5.0%	1.8%	5.5M	-105.1M	-439.4K	0.16	30.65	2,592	416	63,991	37,850
2012-09-14	$36.54	$33.65	25.0%	7.2%	27.6%	10.9%	25.4%	4.5%	1.1%	4.3M	-133.5M	-440.7K	0.31	33.14	5,120	1,580	64,208	37,984
2012-09-17	$35.80	$33.65	26.2%	7.5%	28.9%	12.8%	27.8%	4.1%	1.4%	4.9M	-120.4M	-461.3K	0.83	25.86	1,292	1,067	67,080	38,899
2012-09-18	$35.46	$33.65	25.9%	7.4%	29.2%	12.3%	25.7%	3.8%	1.3%	5.2M	-110.6M	-456.7K	0.28	20.83	1,564	439	67,087	39,330
2012-09-19	$35.35	$33.65	24.8%	7.1%	29.4%	10.4%	25.1%	4.1%	2.3%	5.2M	-107.2M	-455.6K	0.18	23.73	1,356	241	67,025	39,342
2012-09-20	$34.57	$33.65	25.6%	7.3%	30.8%	11.8%	26.3%	2.1%	1.5%	5.8M	-85.4M	-442.0K	0.31	27.50	1,628	500	67,049	39,480
2012-09-21	$33.62	$33.65	25.1%	7.2%	32.7%	11.0%	24.5%	3.2%	1.8%	5.4M	-54.9M	-424.8K	0.13	21.82	4,490	594	66,402	38,285
2012-09-24	$34.25	$33.65	23.5%	6.7%	33.1%	8.2%	24.6%	3.9%	2.3%	2.7M	-33.2M	-419.9K	0.49	23.21	1,765	873	46,759	25,428
2012-09-25	$33.69	$33.65	24.2%	6.9%	33.5%	9.5%	23.9%	4.1%	2.8%	2.6M	-27.2M	-417.8K	0.48	25.11	1,195	578	47,954	26,131
2012-09-26	$33.78	$33.65	25.0%	7.2%	33.3%	10.9%	24.4%	3.7%	2.2%	2.6M	-26.5M	-419.5K	0.72	20.55	1,171	840	48,549	26,625
2012-09-27	$34.04	$33.65	24.4%	7.0%	33.0%	9.8%	23.2%	3.8%	2.8%	2.8M	-30.2M	-428.2K	0.56	19.52	526	296	49,223	27,212
2012-09-28	$34.01	$33.65	24.5%	7.0%	32.7%	10.0%	24.0%	3.3%	3.1%	2.8M	-31.2M	-433.1K	0.66	20.93	517	339	49,563	27,461