SCCO Options History — October 2012

In October 2012, SCCO traded between $34.19 and $37.71. ATM implied volatility averaged 28.2%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 5.0% (HV 20d: 23.2%). Max pain ranged from $33.65 to $35.63. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2012-10-19: Highest Volume — 5,398 contracts
  • 2012-10-19: Largest IV spike — 50.3% change
  • 2012-10-31: Highest IV Rank — 68.3%
  • 2012-10-31: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.72$34.19$37.71$34.20$37.71
Max Pain$34.36$33.65$35.63$33.65$35.63
ATM IV28.2%21.2%40.2%22.6%40.2%
Expected Move8.3%6.4%11.5%6.5%11.5%
HV 20d23.2%17.4%32.4%32.4%18.5%
HV 60d23.6%23.2%24.0%24.0%23.3%
IV Rank27.4%6.3%68.3%6.6%68.3%
IV Percentile33.6%1.2%88.9%4.4%88.9%
Term Structure-2.0%-8.4%3.1%2.9%-7.1%
VWIV28.7%21.9%39.3%21.9%37.7%
Skew 25d6.5%3.6%14.2%3.6%14.2%
Skew 10d15.2%5.8%27.8%13.5%27.8%
Call IV 25d24.2%18.3%31.3%21.8%25.8%
Put IV 25d30.7%25.4%40.1%25.4%40.1%
Bid-Ask Spread %23.3415.7230.4115.7222.44
Gamma HHI0.160.140.190.150.18
Net GEX3.5M2.7M4.5M3.0M3.1M
Net DEX-55.0M-96.3M-33.5M-33.5M-64.1M
Net VEX-406.6K-431.0K-370.1K-423.7K-381.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.091.400.170.11
Total Volume1,522.7142365,3987332,778
Total OI80,124.28677,41383,73777,41382,199

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$34.20$33.6522.6%6.5%32.4%6.6%21.9%3.6%2.9%3.0M-33.5M-423.7K0.1715.7262810549,76527,648
2012-10-02$34.19$33.6522.4%6.4%31.8%6.3%22.6%3.8%2.4%3.1M-33.7M-422.5K0.5016.071577950,16827,663
2012-10-03$34.24$33.6523.2%6.7%31.7%8.5%24.7%3.7%2.4%3.2M-36.4M-425.3K0.2421.3582519750,27127,695
2012-10-04$34.86$33.6522.4%6.4%31.7%8.4%23.1%7.7%3.1%3.5M-46.9M-428.7K0.2317.151,31930750,81427,794
2012-10-05$34.91$33.6521.2%7.3%26.0%6.6%26.2%5.3%0.3%3.6M-49.8M-431.0K0.2825.6254115451,51127,935
2012-10-08$35.06$33.6521.2%7.5%26.0%6.6%25.7%4.8%-0.6%3.9M-52.5M-424.8K0.2521.603578951,80028,058
2012-10-09$34.91$33.6522.7%7.5%26.1%10.7%28.4%3.8%-1.2%3.9M-51.2M-419.6K1.4026.577711,08051,87728,090
2012-10-10$34.83$33.6522.4%7.4%26.1%9.9%26.1%4.4%-0.3%4.0M-48.5M-415.6K0.7226.1113910152,29328,345
2012-10-11$35.15$33.6524.9%7.2%23.4%16.7%27.3%5.0%-0.3%4.2M-55.1M-419.3K0.3929.212118352,32128,385
2012-10-12$34.65$33.6525.5%7.3%20.1%18.1%25.7%4.3%-0.6%4.1M-45.6M-409.4K0.6918.5329420252,46428,431
2012-10-15$35.07$33.6525.9%7.4%19.5%19.2%25.5%4.9%-1.1%4.5M-53.5M-401.4K0.7630.4118814252,52428,580
2012-10-16$35.75$34.6425.1%7.2%20.5%17.0%24.7%6.2%-0.7%4.3M-70.4M-405.0K0.2920.451,04330752,58028,671
2012-10-17$36.89$34.6426.0%7.4%23.2%19.4%25.7%4.9%-1.0%3.5M-96.3M-395.0K0.0927.994,06936453,06928,786
2012-10-18$36.78$34.6425.2%7.2%21.5%17.5%28.1%4.7%-0.9%3.5M-96.0M-409.8K0.2522.041,12627654,78628,642
2012-10-19$36.72$33.6537.9%10.9%18.2%51.2%32.2%5.7%-8.4%3.6M-76.0M-376.6K1.3626.382,2843,11454,97228,765
2012-10-22$36.81$35.6339.2%11.3%17.4%65.2%36.0%9.8%-6.9%2.8M-49.2M-389.9K0.3916.761,27150048,54029,084
2012-10-23$36.14$35.6339.2%11.2%17.7%65.1%39.3%4.8%-7.6%2.7M-36.3M-370.1K1.0627.6445348049,04029,349
2012-10-24$36.52$35.6338.5%11.0%17.8%62.9%34.4%10.9%-6.3%2.8M-43.4M-380.4K0.3024.771,07031649,20229,596
2012-10-25$37.19$35.6327.2%7.8%18.5%26.9%32.0%11.6%-4.6%2.8M-54.8M-401.1K0.6528.621,9721,27449,43029,800
2012-10-26$37.58$35.6338.6%11.1%18.5%63.1%35.9%12.8%-5.2%3.0M-62.1M-408.1K0.5424.7885345850,80030,867
2012-10-31$37.71$35.6340.2%11.5%18.5%68.3%37.7%14.2%-7.1%3.1M-64.1M-381.5K0.1122.442,49927951,08831,111