SCCO Options History — January 2013

In January 2013, SCCO traded between $38.33 and $41.53. ATM implied volatility averaged 20.9%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 0.2% (HV 20d: 20.7%). Max pain ranged from $37.61 to $39.59. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2013-01-25: Highest Volume — 7,851 contracts
  • 2013-01-16: Largest IV spike — 42.6% change
  • 2013-01-28: Highest IV Rank — 40.0%
  • 2013-01-28: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.56$38.33$41.53$38.78$38.98
Max Pain$38.41$37.61$39.59$37.61$39.59
ATM IV20.9%14.1%25.5%20.6%24.2%
Expected Move5.9%4.0%7.3%5.9%6.9%
HV 20d20.7%18.2%26.8%21.2%22.7%
HV 60d27.6%26.8%28.5%27.8%28.1%
IV Rank18.2%0.0%40.0%8.2%35.5%
IV Percentile10.0%0.0%39.7%1.2%27.8%
Term Structure-2.2%-18.7%3.4%-18.7%-1.8%
VWIV20.6%13.4%25.5%21.1%23.8%
Skew 25d2.2%-1.0%3.5%2.8%1.9%
Skew 10d7.1%-8.7%14.5%4.5%2.8%
Call IV 25d20.4%15.4%24.3%20.0%23.6%
Put IV 25d22.7%17.1%26.8%22.7%25.4%
Bid-Ask Spread %26.2212.9841.8217.8619.82
Gamma HHI0.230.170.340.200.23
Net GEX2.9M1.7M4.1M3.2M2.7M
Net DEX-42.4M-68.4M-21.7M-44.4M-24.8M
Net VEX-205.5K-271.9K-142.1K-169.7K-270.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.112.500.620.18
Total Volume2,753.3818167,8513,4003,023
Total OI53,860.61931,55964,89556,24449,353

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$38.78$37.6120.6%5.9%21.2%8.2%21.1%2.8%-18.7%3.2M-44.4M-169.7K0.6217.862,0941,30628,58327,661
2013-01-03$38.33$37.6120.8%6.0%21.7%9.0%20.8%3.2%-3.5%2.6M-36.3M-181.9K1.0117.9490991428,90928,490
2013-01-04$38.68$37.6119.3%4.9%19.1%2.8%17.6%1.3%-0.5%3.2M-40.9M-175.7K1.5039.9333650329,10329,193
2013-01-07$38.94$37.6120.0%4.3%18.8%5.4%16.5%3.5%1.9%3.0M-41.4M-186.9K0.7341.6576155529,25029,152
2013-01-08$38.40$37.6119.6%6.4%19.3%4.0%21.1%0.1%-3.4%2.9M-36.1M-160.5K0.5637.5652329329,58029,629
2013-01-09$38.84$37.6119.0%4.4%19.6%1.3%13.4%2.6%-5.5%3.6M-45.8M-166.0K0.9336.721,1221,04529,76429,782
2013-01-10$38.96$37.6119.9%5.7%19.6%5.3%19.2%-1.0%-3.8%3.4M-44.3M-183.1K0.4339.5868329230,32230,572
2013-01-11$39.04$37.6117.5%5.0%19.4%0.0%17.3%3.2%-3.1%3.9M-46.4M-163.5K0.3341.8283027230,47330,698
2013-01-14$39.66$37.6114.1%4.0%19.4%0.0%15.7%3.4%3.4%3.9M-60.3M-142.1K0.3336.472,49783030,97130,886
2013-01-15$40.08$37.6115.8%4.5%19.3%6.2%16.5%0.0%-1.0%4.1M-68.4M-155.3K1.0624.481,1431,21732,19831,156
2013-01-16$39.95$37.6122.6%6.5%19.4%29.8%22.8%3.4%0.6%3.5M-53.9M-209.9K1.2915.858531,09732,41431,392
2013-01-17$40.28$38.6021.5%6.2%19.5%26.1%21.9%2.5%0.8%2.8M-58.8M-208.0K0.2323.581,64538632,48231,816
2013-01-18$40.84$38.6022.1%6.3%19.7%27.9%23.5%3.0%0.1%2.6M-68.4M-209.9K0.5723.222,3511,34633,02931,866
2013-01-22$41.19$38.6021.1%6.1%19.7%24.6%20.8%2.1%-0.2%1.7M-35.8M-206.2K0.4427.144,4781,96918,26913,290
2013-01-23$41.53$39.5922.7%6.5%18.2%30.0%22.0%2.9%-2.0%2.2M-42.8M-233.9K0.1617.893,60359221,63214,491
2013-01-24$40.80$39.5922.6%6.5%19.9%29.9%22.1%1.9%-1.5%2.2M-35.6M-236.6K0.8920.171,6411,45623,70114,456
2013-01-25$40.83$39.5922.2%6.4%19.8%28.5%22.6%1.0%-1.4%2.3M-36.1M-248.7K0.1117.167,06179024,96815,417
2013-01-28$38.97$39.5925.5%7.3%26.8%40.0%25.5%2.5%-3.3%2.5M-23.6M-264.7K0.6417.032,3211,48531,64315,778
2013-01-29$38.94$39.5925.0%7.2%26.0%38.1%25.5%2.4%-2.8%2.6M-24.1M-271.9K1.1612.9842349032,85016,348
2013-01-30$38.79$39.5922.9%6.6%25.7%30.8%22.9%1.8%-0.7%2.3M-21.7M-270.1K2.5021.717671,91932,95016,556
2013-01-31$38.98$39.5924.2%6.9%22.7%35.5%23.8%1.9%-1.8%2.7M-24.8M-270.6K0.1819.822,57045333,20616,147