SCCO Options History — February 2013

In February 2013, SCCO traded between $35.98 and $40.44. ATM implied volatility averaged 21.7%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 2.1% (HV 20d: 23.7%). Max pain ranged from $36.62 to $37.61. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.58.

Notable Days

2013-02-08: Highest Volume — 8,003 contracts
2013-02-20: Largest IV spike — 23.8% change
2013-02-25: Highest IV Rank — 47.8%
2013-02-25: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.60	$35.98	$40.44	$39.43	$37.40
Max Pain	$37.40	$36.62	$37.61	$36.62	$37.61
ATM IV	21.7%	17.8%	27.7%	21.9%	22.4%
Expected Move	6.2%	5.5%	7.9%	5.9%	6.4%
HV 20d	23.7%	22.5%	25.7%	22.5%	24.2%
HV 60d	22.2%	20.7%	28.2%	28.2%	22.6%
IV Rank	26.5%	13.1%	47.8%	27.5%	28.9%
IV Percentile	16.0%	1.2%	63.9%	11.1%	17.9%
Term Structure	1.2%	-1.9%	3.4%	0.5%	0.6%
VWIV	22.2%	19.3%	28.4%	20.7%	23.5%
Skew 25d	3.3%	2.1%	4.5%	3.6%	3.5%
Skew 10d	7.0%	-5.3%	12.6%	7.9%	8.3%
Call IV 25d	20.7%	17.5%	26.3%	19.4%	21.4%
Put IV 25d	24.0%	21.1%	29.6%	23.0%	24.9%
Bid-Ask Spread %	16.13	9.47	20.07	18.26	19.70
Gamma HHI	0.24	0.10	0.37	0.29	0.13
Net GEX	2.7M	290.3K	5.3M	3.7M	1.1M
Net DEX	-20.1M	-54.2M	11.5M	-33.1M	-845.8K
Net VEX	-270.1K	-303.9K	-233.9K	-278.5K	-260.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.16	1.33	0.20	1.26
Total Volume	2,046.737	625	8,003	1,774	944
Total OI	52,703.895	47,374	55,161	51,404	54,675

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
2013-02-01	$39.43	$36.62	21.9%	5.9%	22.5%	27.5%	20.7%	3.6%	0.5%	3.7M	-33.1M	-278.5K	0.20	18.26	1,480	294	35,043	16,361
2013-02-04	$39.22	$36.62	21.5%	6.1%	22.5%	26.1%	21.8%	3.8%	-0.7%	3.4M	-29.9M	-272.5K	0.24	13.96	767	186	35,369	16,361
2013-02-05	$39.63	$36.62	20.1%	6.2%	22.6%	21.0%	21.4%	3.6%	-0.5%	3.8M	-36.2M	-276.9K	0.20	19.50	1,485	302	35,470	17,213
2013-02-06	$40.30	$36.62	17.8%	5.8%	22.6%	13.1%	21.0%	3.3%	1.4%	4.7M	-48.5M	-282.3K	0.27	13.92	1,951	525	35,654	16,622
2013-02-07	$39.95	$37.61	20.8%	6.0%	22.7%	23.6%	21.8%	3.5%	0.5%	4.2M	-40.8M	-278.3K	0.16	11.23	2,073	337	35,655	16,838
2013-02-08	$40.44	$37.61	19.8%	5.7%	23.0%	20.1%	20.3%	2.8%	3.4%	5.3M	-54.2M	-288.7K	0.38	9.47	5,784	2,219	36,606	17,029
2013-02-11	$39.73	$37.61	21.0%	6.0%	24.0%	24.2%	20.8%	3.3%	2.6%	3.9M	-34.1M	-303.9K	0.94	14.60	652	614	36,159	18,683
2013-02-12	$39.61	$37.61	19.6%	5.6%	23.4%	19.1%	20.0%	3.1%	3.2%	3.7M	-30.4M	-298.7K	0.84	15.98	356	299	36,290	18,639
2013-02-13	$39.59	$37.61	19.4%	5.5%	23.0%	18.4%	20.0%	3.2%	2.9%	3.7M	-29.8M	-293.3K	0.92	20.07	349	319	36,380	18,781
2013-02-14	$39.85	$37.61	19.2%	5.5%	23.2%	17.8%	19.3%	4.0%	3.0%	4.2M	-34.1M	-291.1K	0.65	17.98	378	247	35,938	18,789
2013-02-15	$39.26	$37.61	19.9%	5.7%	23.5%	20.3%	21.2%	2.1%	2.3%	3.3M	-23.2M	-279.7K	0.19	14.13	2,882	558	36,081	18,886
2013-02-19	$38.19	$37.61	19.9%	5.7%	24.5%	20.3%	20.2%	2.4%	2.6%	2.1M	-10.8M	-255.3K	0.58	17.90	1,749	1,015	30,959	16,415
2013-02-20	$37.10	$37.61	24.6%	7.1%	25.7%	36.9%	23.5%	3.4%	0.4%	1.0M	1.6M	-238.5K	1.33	15.57	1,530	2,037	31,436	17,193
2013-02-21	$36.58	$37.61	24.3%	7.0%	25.4%	35.6%	24.5%	3.7%	0.4%	568.4K	6.8M	-236.7K	0.42	15.93	2,349	976	32,220	18,062
2013-02-22	$36.37	$37.61	24.1%	6.9%	25.0%	35.0%	24.2%	2.9%	0.8%	502.0K	7.9M	-241.2K	0.51	13.32	593	300	33,721	18,551
2013-02-25	$35.98	$37.61	27.7%	7.9%	25.0%	47.8%	28.4%	3.3%	-1.9%	290.3K	11.5M	-233.9K	0.92	15.73	348	319	33,776	18,726
2013-02-26	$37.17	$37.61	24.9%	7.1%	23.9%	37.8%	25.1%	3.4%	-0.5%	1.1M	303.3K	-256.2K	0.44	19.38	1,228	537	33,912	18,866
2013-02-27	$37.52	$37.61	22.9%	6.6%	24.3%	30.8%	23.5%	4.5%	1.1%	1.3M	-3.1M	-265.6K	0.55	19.77	583	323	34,782	19,233
2013-02-28	$37.40	$37.61	22.4%	6.4%	24.2%	28.9%	23.5%	3.5%	0.6%	1.1M	-845.8K	-260.6K	1.26	19.70	418	526	35,160	19,515