SCCO Options History — March 2013

In March 2013, SCCO traded between $35.37 and $37.54. ATM implied volatility averaged 21.0%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 0.2% (HV 20d: 21.2%). Max pain ranged from $37.61 to $39.59. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.16.

Notable Days

  • 2013-03-28: Highest Volume — 4,839 contracts
  • 2013-03-13: Largest IV spike — 14.4% change
  • 2013-03-04: Highest IV Rank — 39.2%
  • 2013-03-04: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.57$35.37$37.54$36.97$37.18
Max Pain$39.24$37.61$39.59$37.61$38.60
ATM IV21.0%17.8%25.3%23.6%17.8%
Expected Move6.2%5.1%7.1%6.8%5.1%
HV 20d21.2%15.0%24.3%24.3%16.7%
HV 60d22.1%21.6%22.8%22.8%22.3%
IV Rank24.1%12.9%39.2%33.4%12.9%
IV Percentile13.5%1.2%48.0%28.2%1.2%
Term Structure2.4%1.1%4.4%1.1%4.4%
VWIV21.5%17.9%24.1%22.7%18.2%
Skew 25d3.5%2.6%4.1%3.8%3.5%
Skew 10d6.1%-4.0%12.4%3.9%12.4%
Call IV 25d20.4%16.6%23.4%21.9%16.6%
Put IV 25d23.9%20.1%27.0%25.7%20.1%
Bid-Ask Spread %16.779.8821.5720.9621.08
Gamma HHI0.100.080.190.100.10
Net GEX300.4K-523.4K725.9K673.7K725.9K
Net DEX9.1M1.6M16.6M3.8M2.6M
Net VEX-231.1K-257.2K-204.5K-254.5K-230.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.205.202.555.20
Total Volume1,160.14224,8391,0254,839
Total OI49,752.738,27959,60455,25341,354

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-03-01$36.97$37.6123.6%6.8%24.3%33.4%22.7%3.8%1.1%673.7K3.8M-254.5K2.5520.9628973635,35719,896
2013-03-04$37.02$39.5925.3%7.1%23.8%39.2%24.1%3.6%1.1%502.1K5.3M-247.7K0.8419.4535029535,51920,474
2013-03-05$37.30$39.5922.4%6.7%24.1%29.1%24.0%4.1%1.3%682.8K2.2M-257.2K0.7214.4057541535,60820,726
2013-03-06$37.39$39.5921.1%6.6%23.7%24.7%22.8%3.5%1.1%687.9K1.9M-256.4K1.4218.1731544935,83821,028
2013-03-07$37.18$39.5919.9%6.5%22.6%20.2%23.5%4.0%1.4%408.2K4.9M-253.0K1.5917.9522335536,05921,388
2013-03-08$37.54$39.5918.9%6.3%23.0%16.8%21.2%3.3%2.0%681.6K1.6M-252.8K0.759.8867050235,99721,532
2013-03-11$37.32$39.5919.4%6.3%22.3%18.7%23.1%2.9%2.1%521.1K4.4M-247.5K1.6914.5929149136,35821,910
2013-03-12$37.50$39.5918.7%6.0%21.9%16.1%21.6%4.0%2.9%609.8K2.9M-249.6K0.3616.9958721336,40422,276
2013-03-13$36.62$39.5921.4%6.3%23.1%25.6%23.2%3.7%2.8%-261.1K13.1M-233.9K1.1521.2852861036,74822,367
2013-03-14$36.66$39.5921.8%6.2%23.1%26.9%21.9%3.3%2.4%-523.4K12.5M-230.2K1.0316.3574977236,73022,246
2013-03-15$36.36$39.5921.3%6.1%22.8%25.2%21.0%3.8%2.2%-368.1K15.9M-223.5K1.4118.838561,21037,11422,490
2013-03-18$35.81$39.5921.6%6.2%22.9%26.2%20.8%3.2%3.1%133.1K13.6M-211.3K0.2615.561,13729121,82616,453
2013-03-19$35.37$39.5922.6%6.5%21.4%29.8%22.8%3.9%1.9%97.5K16.6M-204.5K1.5213.9044767922,53716,679
2013-03-20$35.71$39.5921.4%6.1%19.7%25.7%20.9%3.5%2.4%141.3K14.9M-211.9K0.3718.7765924522,62417,017
2013-03-21$35.50$39.5921.5%6.2%19.3%26.1%20.7%2.9%2.7%130.7K15.6M-209.6K0.4311.6365628422,91617,113
2013-03-22$35.66$38.6021.6%6.2%19.3%26.3%20.9%2.9%2.1%158.5K15.0M-210.9K0.6713.0342228522,90917,225
2013-03-25$35.74$38.6020.8%6.0%19.0%23.4%20.3%2.6%3.5%192.8K14.2M-208.8K0.2014.563527023,13817,382
2013-03-26$36.07$38.6019.9%5.7%15.0%20.4%18.8%3.4%3.7%305.1K12.7M-210.3K0.5316.4843523123,31917,382
2013-03-27$36.52$38.6018.5%5.3%15.3%15.3%17.9%3.2%3.5%507.6K9.0M-218.3K0.5821.5743625323,61317,502
2013-03-28$37.18$38.6017.8%5.1%16.7%12.9%18.2%3.5%4.4%725.9K2.6M-230.8K5.2021.087804,05923,78217,572