SCCO Options History — December 2012

In December 2012, SCCO traded between $35.73 and $38.04. ATM implied volatility averaged 24.3%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 2.2% (HV 20d: 22.2%). Max pain ranged from $34.64 to $37.61. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.57.

Notable Days

  • 2012-12-05: Highest Volume — 4,101 contracts
  • 2012-12-12: Largest IV spike — 8.3% change
  • 2012-12-18: Highest IV Rank — 27.3%
  • 2012-12-14: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.40$35.73$38.04$35.90$37.47
Max Pain$37.06$34.64$37.61$34.64$37.61
ATM IV24.3%22.6%25.9%24.4%24.1%
Expected Move7.1%6.6%7.4%7.0%6.9%
HV 20d22.2%17.6%37.8%37.8%17.9%
HV 60d28.1%26.6%30.8%30.8%26.9%
IV Rank22.1%14.4%27.3%20.8%22.8%
IV Percentile20.8%9.9%30.6%17.5%18.7%
Term Structure-4.3%-15.7%14.8%0.8%-5.3%
VWIV25.0%23.2%26.5%23.6%23.2%
Skew 25d3.9%2.2%5.0%4.6%5.0%
Skew 10d11.5%4.9%19.0%18.3%13.2%
Call IV 25d23.2%21.8%25.2%21.8%22.6%
Put IV 25d27.2%26.0%28.2%26.4%27.6%
Bid-Ask Spread %18.4710.7324.8224.8212.24
Gamma HHI0.210.180.270.190.19
Net GEX2.3M551.9K4.0M651.6K1.8M
Net DEX-26.6M-44.1M-2.5M-4.7M-22.7M
Net VEX-201.1K-229.6K-148.6K-207.9K-181.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.142.030.850.14
Total Volume1,568.455934,1016991,510
Total OI61,948.654,40768,76659,00056,337

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$35.90$34.6424.4%7.0%37.8%20.8%23.6%4.6%0.8%651.6K-4.7M-207.9K0.8524.8237932026,56132,439
2012-12-04$35.73$34.6423.8%6.8%37.8%18.8%25.1%5.0%1.6%551.9K-2.5M-207.0K1.2124.0426932426,85032,584
2012-12-05$36.88$34.6424.4%7.0%24.4%20.9%24.5%4.2%1.1%1.5M-17.1M-202.7K1.1622.411,8982,20326,87232,741
2012-12-06$37.37$35.6323.0%6.6%24.5%15.7%23.6%3.7%2.5%2.0M-27.3M-227.6K0.3619.851,54055128,24233,860
2012-12-07$37.79$37.6122.6%7.0%23.6%14.4%24.6%4.9%-10.6%2.5M-34.1M-217.4K0.2412.4584620028,91233,730
2012-12-10$37.99$37.6123.3%7.2%23.6%17.0%25.8%3.8%-11.5%2.5M-33.4M-229.6K0.2915.881,28536829,13633,820
2012-12-11$38.04$37.6122.7%7.2%23.3%14.8%25.9%4.0%-15.7%2.8M-40.2M-148.6K0.9110.7349244929,35933,977
2012-12-12$37.82$37.6124.6%7.1%22.9%21.7%25.9%4.0%4.5%2.6M-28.5M-219.8K0.5223.181,32969029,40634,068
2012-12-13$37.38$37.6125.1%7.2%20.8%23.4%26.5%4.2%-6.3%2.6M-27.2M-226.3K0.8915.6556550030,11734,473
2012-12-14$37.81$37.6125.9%7.4%20.9%26.2%25.6%2.9%-11.1%2.8M-32.8M-219.1K0.2522.782,16955030,32034,795
2012-12-17$37.83$37.6125.6%7.3%21.0%25.3%25.7%4.1%14.8%3.3M-37.1M-191.4K0.4417.5084937531,83134,978
2012-12-18$38.00$37.6125.2%7.2%18.6%27.3%25.8%4.1%-13.0%3.9M-44.1M-187.0K2.0318.5938477932,14434,885
2012-12-19$37.86$37.6124.7%7.1%18.8%25.2%26.2%3.6%-0.5%3.9M-32.7M-185.2K0.3218.002,25371732,26435,254
2012-12-20$37.84$37.6124.9%7.1%18.1%25.8%24.7%4.0%-8.4%4.0M-35.6M-204.3K0.2318.271,11025333,08035,287
2012-12-21$37.22$37.6124.1%6.9%18.2%22.6%24.6%2.3%-5.2%2.5M-27.2M-191.8K0.2717.972,16458433,47135,295
2012-12-24$37.49$37.6123.7%6.8%18.3%21.1%24.3%3.9%-4.5%1.6M-23.1M-184.1K0.4611.9971332627,16527,242
2012-12-26$37.34$37.6125.0%7.2%17.6%26.5%24.8%4.0%-6.4%1.4M-19.9M-211.0K0.1719.0093215627,72727,471
2012-12-27$37.45$37.6124.6%7.1%17.6%24.8%24.2%4.3%-4.9%2.0M-27.6M-180.7K0.3922.7951119728,50827,486
2012-12-28$36.89$37.6125.2%7.2%17.8%27.3%24.7%2.2%-7.5%1.3M-14.8M-199.3K0.2121.2052010928,72127,564
2012-12-31$37.47$37.6124.1%6.9%17.9%22.8%23.2%5.0%-5.3%1.8M-22.7M-181.3K0.1412.241,32318728,75827,579