SCCO Options History — April 2013

In April 2013, SCCO traded between $31.02 and $36.84. ATM implied volatility averaged 29.9%, placing in the 55.3% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 2.9% (HV 20d: 32.7%). Max pain ranged from $34.64 to $38.60. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 2.60.

Notable Days

  • 2013-04-17: Highest Volume — 24,388 contracts
  • 2013-04-15: Largest IV spike — 30.7% change
  • 2013-04-17: Highest IV Rank — 92.8%
  • 2013-04-17: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.60$31.02$36.84$36.84$32.99
Max Pain$36.89$34.64$38.60$38.60$34.64
ATM IV29.9%20.5%40.6%20.5%27.2%
Expected Move8.6%5.9%11.6%5.9%7.8%
HV 20d32.7%16.5%43.0%16.5%42.4%
HV 60d26.4%21.2%29.8%21.2%29.7%
IV Rank55.3%22.6%92.8%22.6%45.8%
IV Percentile69.5%10.3%99.2%10.3%68.3%
Term Structure-1.2%-6.5%3.8%3.6%1.2%
VWIV30.2%19.9%41.1%19.9%28.1%
Skew 25d3.9%-2.2%6.2%3.0%3.9%
Skew 10d6.9%-5.4%14.1%8.9%14.1%
Call IV 25d28.3%19.6%37.4%19.6%26.0%
Put IV 25d32.3%21.4%41.6%22.6%29.9%
Bid-Ask Spread %18.2212.3628.2118.1915.87
Gamma HHI0.240.130.850.140.27
Net GEX-1.9M-13.1M11.7K11.7K-1.9M
Net DEX46.3M12.4M91.1M12.4M44.6M
Net VEX-253.3K-285.0K-200.0K-261.5K-275.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.600.298.036.793.17
Total Volume4,278.81847224,3884,1722,199
Total OI58,591.04547,47875,55447,47862,875

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$36.84$38.6020.5%5.9%16.5%22.6%19.9%3.0%3.6%11.7K12.4M-261.5K6.7918.195363,63624,20323,275
2013-04-02$35.92$38.6021.5%6.2%18.8%26.0%21.0%3.9%3.4%-434.3K22.8M-250.5K0.3620.2045816424,32123,998
2013-04-03$34.55$38.6023.6%6.8%22.6%33.2%22.7%-2.2%3.1%-776.9K35.4M-226.4K3.2227.831,0953,52624,46924,097
2013-04-04$34.59$38.6023.1%6.6%22.6%31.4%23.5%2.4%3.8%-981.3K37.5M-245.7K0.9613.5279576524,74826,849
2013-04-05$35.17$37.6126.0%8.0%23.7%41.8%30.2%4.0%0.3%-774.6K31.4M-263.7K2.9921.861,9965,96825,27527,222
2013-04-08$34.92$37.6126.7%8.3%23.3%44.0%29.6%4.8%-1.7%-1.4M38.1M-272.4K1.3220.9028938226,41430,159
2013-04-09$35.66$37.6126.0%7.7%24.9%41.8%27.5%4.0%-0.2%-1.3M29.6M-284.8K0.4321.2938216326,57130,256
2013-04-10$35.88$37.6125.3%7.5%24.9%39.4%27.5%4.0%-0.2%-1.2M27.3M-285.0K0.5517.5137120426,54830,259
2013-04-11$35.47$37.6126.1%7.5%23.8%42.2%25.7%4.6%0.4%-1.4M32.6M-275.8K0.4515.8532514726,80330,345
2013-04-12$34.44$37.6128.7%8.2%25.8%51.1%28.1%4.0%-0.4%-1.6M44.5M-255.0K0.4616.6687639926,88230,448
2013-04-15$31.85$37.6137.5%10.7%37.1%81.9%35.8%4.7%-5.2%-1.0M61.4M-204.3K3.9620.843,06312,12327,41430,565
2013-04-16$32.46$36.6235.5%10.2%38.0%75.1%35.4%4.9%-3.8%-2.2M68.0M-225.2K0.9114.5491582928,88735,751
2013-04-17$31.02$36.6240.6%11.6%40.6%92.8%39.7%4.0%-6.5%-1.3M77.1M-200.0K8.0315.802,70221,68629,22435,828
2013-04-18$31.17$36.6240.4%11.6%40.4%92.0%41.1%5.1%-6.0%-3.4M91.1M-228.9K0.6521.1797763730,18644,752
2013-04-19$31.66$36.6236.7%10.5%41.2%79.2%36.8%4.3%-4.2%-13.1M83.9M-235.7K6.5228.211,5309,97530,73644,818
2013-04-22$32.04$36.6232.3%9.3%41.5%63.8%32.4%5.6%-1.1%-1.4M47.2M-245.1K3.2315.401,2193,93724,01631,338
2013-04-23$31.78$35.6334.3%9.8%41.5%70.8%33.9%3.6%-2.9%-1.3M49.5M-247.9K4.4612.365262,34824,87731,957
2013-04-24$32.40$35.6332.6%9.4%42.1%64.9%31.1%6.2%-2.9%-1.6M47.8M-265.1K0.3015.111,07531925,16033,914
2013-04-25$33.22$35.6330.9%8.8%43.0%58.8%31.5%3.9%-2.6%-1.5M39.2M-283.9K0.2914.851,34239225,97234,026
2013-04-26$32.55$34.6431.5%9.0%42.5%61.1%33.1%3.7%-2.9%-1.6M46.5M-268.2K7.4217.383502,59526,53934,067
2013-04-29$32.56$34.6430.2%8.6%42.6%56.3%30.4%4.3%-2.0%-2.0M49.7M-272.4K0.6915.5354337526,67336,286
2013-04-30$32.99$34.6427.2%7.8%42.4%45.8%28.1%3.9%1.2%-1.9M44.6M-275.8K3.1715.875271,67226,93835,937