SCCO Options History — November 2012

In November 2012, SCCO traded between $32.94 and $38.54. ATM implied volatility averaged 27.3%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 8.1% (HV 20d: 35.4%). Max pain ranged from $33.65 to $37.61. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.95.

Notable Days

2012-11-05: Highest Volume — 894,158 contracts
2012-11-06: Largest IV drop — 31.5% change
2012-11-05: Highest IV Rank — 76.8%
2012-11-02: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.25	$32.94	$38.54	$38.54	$35.93
Max Pain	$35.63	$33.65	$37.61	$35.63	$34.64
ATM IV	27.3%	20.0%	42.6%	38.4%	23.7%
Expected Move	7.6%	5.7%	11.9%	11.0%	6.8%
HV 20d	35.4%	19.3%	39.1%	19.3%	37.9%
HV 60d	29.3%	23.5%	31.0%	23.5%	30.8%
IV Rank	27.9%	4.5%	76.8%	62.5%	18.4%
IV Percentile	32.5%	0.4%	93.7%	84.5%	14.3%
Term Structure	1.4%	-4.9%	4.2%	-4.9%	1.4%
VWIV	27.9%	20.3%	58.0%	48.0%	22.8%
Skew 25d	5.9%	2.8%	15.7%	12.9%	2.8%
Skew 10d	12.6%	6.0%	20.2%	18.7%	7.8%
Call IV 25d	23.0%	18.7%	27.0%	25.9%	22.7%
Put IV 25d	29.0%	23.2%	40.5%	38.8%	25.5%
Bid-Ask Spread %	22.13	17.06	30.57	19.83	24.07
Gamma HHI	0.18	0.14	0.22	0.19	0.19
Net GEX	247.5K	-1.2M	3.3M	3.2M	596.5K
Net DEX	195.6K	-79.8M	38.0M	-79.8M	-6.1M
Net VEX	-239.2K	-406.4K	-188.0K	-389.5K	-219.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.00	3.09	0.38	0.21
Total Volume	44,436.857	447	894,158	2,906	1,020
Total OI	61,168.524	53,072	83,868	82,840	58,439

Daily Data (21 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
2012-11-01	$38.54	$35.63	38.4%	11.0%	19.3%	62.5%	48.0%	12.9%	-4.9%	3.2M	-79.8M	-389.5K	0.38	19.83	2,113	793	51,529	31,311
2012-11-02	$38.14	$35.63	41.5%	11.9%	20.1%	72.5%	31.3%	15.6%	-3.3%	3.2M	-71.5M	-406.4K	0.19	19.63	4,465	842	52,249	31,619
2012-11-05	$38.10	$33.65	42.6%	8.6%	19.7%	76.8%	58.0%	15.7%	3.1%	3.3M	-64.9M	-393.4K	0.00	20.33	892,906	1,252	51,916	31,906
2012-11-06	$34.97	$37.61	29.2%	8.1%	37.7%	33.8%	27.8%	4.0%	0.9%	-251.9K	13.6M	-241.0K	0.53	26.10	2,194	1,153	25,403	32,652
2012-11-07	$34.80	$37.61	28.4%	8.2%	37.7%	31.2%	28.2%	4.3%	-0.2%	-235.4K	13.3M	-246.9K	0.67	30.57	2,537	1,692	26,481	33,031
2012-11-08	$34.28	$37.61	27.9%	7.8%	38.0%	29.7%	26.5%	4.4%	1.3%	-278.2K	17.5M	-227.4K	0.51	19.76	2,012	1,028	26,838	33,266
2012-11-09	$34.34	$36.62	26.6%	7.9%	38.0%	25.5%	28.6%	3.9%	1.3%	-307.5K	18.6M	-236.8K	0.93	24.93	612	569	26,255	33,657
2012-11-12	$34.14	$36.62	28.4%	7.8%	37.9%	31.3%	26.6%	5.0%	1.8%	-597.7K	23.4M	-221.1K	0.45	24.83	1,009	454	25,617	33,936
2012-11-13	$33.79	$36.62	28.7%	7.6%	37.7%	32.7%	26.6%	4.3%	1.5%	-622.1K	24.7M	-202.6K	0.28	22.94	690	196	25,880	33,960
2012-11-14	$32.94	$36.62	30.9%	8.1%	38.3%	39.8%	28.5%	6.2%	1.6%	-1.2M	38.0M	-205.2K	1.38	23.27	568	784	25,778	33,991
2012-11-15	$33.05	$35.63	27.9%	8.0%	37.5%	30.2%	27.7%	4.1%	1.7%	-1.0M	31.7M	-188.0K	2.80	17.06	356	996	25,453	33,749
2012-11-16	$33.32	$35.63	26.0%	7.5%	35.5%	24.1%	26.8%	3.1%	2.0%	-903.5K	29.6M	-199.7K	2.50	21.27	322	807	25,607	33,863
2012-11-19	$34.42	$35.63	21.0%	6.0%	37.9%	7.6%	22.0%	5.0%	4.2%	-823.4K	15.6M	-206.1K	0.29	18.79	1,898	552	22,501	30,571
2012-11-20	$34.57	$34.64	21.4%	6.1%	38.0%	8.9%	21.8%	5.2%	2.8%	-306.3K	10.5M	-191.0K	0.70	22.52	565	393	23,637	30,954
2012-11-21	$35.24	$34.64	20.0%	5.7%	38.8%	4.5%	20.9%	4.5%	3.1%	-281.1K	5.5M	-204.6K	1.71	18.55	414	707	23,048	31,242
2012-11-23	$35.98	$34.64	21.9%	6.3%	39.1%	10.5%	21.0%	5.2%	1.6%	343.2K	-3.9M	-205.5K	0.85	19.45	738	625	23,270	31,583
2012-11-26	$36.06	$34.64	22.3%	6.4%	38.9%	11.8%	22.8%	4.2%	2.1%	342.1K	-2.1M	-209.2K	1.37	24.00	294	404	23,574	31,827
2012-11-27	$35.59	$34.64	22.6%	6.5%	38.5%	12.8%	28.2%	4.8%	1.6%	106.6K	151.5K	-208.2K	3.09	20.70	446	1,377	23,678	32,004
2012-11-28	$35.79	$34.64	22.3%	6.4%	38.3%	11.8%	22.2%	4.5%	2.3%	305.6K	-2.0M	-205.4K	0.98	24.37	226	221	23,768	32,208
2012-11-29	$36.36	$34.64	21.1%	6.1%	38.8%	9.0%	20.3%	4.8%	2.7%	634.1K	-8.0M	-216.5K	0.16	21.77	2,532	412	23,914	32,374
2012-11-30	$35.93	$34.64	23.7%	6.8%	37.9%	18.4%	22.8%	2.8%	1.4%	596.5K	-6.1M	-219.0K	0.21	24.07	843	177	26,002	32,437