SCCO Options History — May 2013

In May 2013, SCCO traded between $30.83 and $33.94. ATM implied volatility averaged 26.1%, placing in the 42.0% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 8.3% (HV 20d: 34.4%). Max pain ranged from $34.64 to $35.63. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2013-05-09: Highest Volume — 2,794 contracts
  • 2013-05-14: Largest IV spike — 12.9% change
  • 2013-05-14: Highest IV Rank — 52.8%
  • 2013-05-29: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.33$30.83$33.94$32.67$30.83
Max Pain$35.49$34.64$35.63$34.64$35.63
ATM IV26.1%24.3%29.2%27.2%27.0%
Expected Move7.5%7.0%8.0%7.8%7.7%
HV 20d34.4%27.7%44.0%40.5%31.6%
HV 60d30.9%29.6%31.8%29.7%31.8%
IV Rank42.0%35.9%52.8%45.8%45.2%
IV Percentile61.7%43.3%79.8%68.3%73.0%
Term Structure0.9%-0.4%2.1%1.1%0.9%
VWIV26.0%23.8%27.9%27.5%27.2%
Skew 25d3.5%2.4%4.2%4.2%3.4%
Skew 10d6.6%3.7%10.9%10.9%6.3%
Call IV 25d24.9%23.1%26.8%26.1%25.7%
Put IV 25d28.4%27.0%30.2%30.2%29.1%
Bid-Ask Spread %16.0511.2620.7112.7420.16
Gamma HHI0.290.190.450.300.33
Net GEX-1.7M-2.8M-1.2M-1.8M-1.4M
Net DEX41.2M26.5M55.2M46.6M50.5M
Net VEX-261.3K-291.4K-225.2K-266.6K-225.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.184.320.811.51
Total Volume1,463.4094312,794977431
Total OI63,133.45555,65969,73962,27760,401

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$32.67$34.6427.2%7.8%40.5%45.8%27.5%4.2%1.1%-1.8M46.6M-266.6K0.8112.7453943827,02735,250
2013-05-02$32.48$34.6426.7%7.7%40.5%44.2%27.9%3.2%0.8%-1.9M48.9M-264.8K2.4517.8933782827,39835,418
2013-05-03$33.94$34.6424.9%7.1%43.3%37.9%25.3%2.4%1.6%-1.5M29.1M-281.9K0.5211.261,81293527,50335,648
2013-05-06$33.49$35.6325.3%7.6%43.5%39.4%26.5%3.6%0.4%-1.5M33.5M-278.2K0.9717.071,01598627,86435,954
2013-05-07$33.05$35.6326.7%7.9%42.7%44.3%26.9%4.2%-0.2%-1.8M40.5M-268.8K0.2718.891,52141628,00736,310
2013-05-08$33.80$35.6325.4%7.5%43.6%39.6%26.4%3.8%0.5%-1.2M26.5M-277.7K0.3215.602,08267429,27336,356
2013-05-09$33.12$35.6325.4%7.5%44.0%39.7%26.8%3.3%1.0%-1.6M35.7M-270.1K0.1820.712,37342129,91336,495
2013-05-10$32.97$35.6324.7%7.5%42.9%37.2%25.3%3.4%0.2%-1.7M36.8M-291.4K0.3520.331,07237531,87636,705
2013-05-13$32.37$35.6325.8%7.6%32.9%41.1%26.1%3.4%0.2%-2.0M44.4M-276.9K0.8919.6245039832,63836,847
2013-05-14$32.06$35.6329.2%7.8%32.4%52.8%26.6%3.8%0.5%-2.3M49.9M-268.6K0.3516.031,42349532,76336,891
2013-05-15$31.95$35.6328.1%7.6%27.7%49.2%25.9%3.3%1.0%-2.5M50.7M-264.9K0.9515.0849046833,05636,683
2013-05-16$31.65$35.6326.1%7.5%28.0%42.2%25.7%4.2%0.8%-2.7M55.2M-251.9K4.3215.422381,03032,89336,283
2013-05-17$32.72$35.6324.7%7.1%29.8%37.3%24.3%3.9%1.2%-2.8M35.2M-267.3K0.8815.9379269432,96736,144
2013-05-20$32.53$35.6324.9%7.1%29.7%38.0%25.4%3.5%1.2%-1.3M32.9M-260.9K1.0612.3059763226,55029,109
2013-05-21$32.49$35.6325.3%7.3%29.5%39.3%24.6%3.1%0.7%-1.3M33.3M-262.7K0.1815.971,20521527,00729,543
2013-05-22$32.40$35.6324.3%7.0%28.7%35.9%23.8%3.8%1.6%-1.3M33.9M-263.6K0.3413.4779727227,74529,611
2013-05-23$31.39$35.6325.9%7.4%29.2%41.3%26.1%2.6%2.1%-1.3M43.6M-246.6K0.8718.5981270328,14329,729
2013-05-24$31.14$35.6326.9%7.7%28.6%44.8%25.7%3.4%1.4%-1.4M47.1M-238.5K0.5914.7084949828,39730,127
2013-05-28$31.50$35.6325.8%7.4%29.0%40.9%25.8%3.0%1.6%-1.4M43.7M-242.5K0.7713.1829622728,98630,240
2013-05-29$31.06$35.6327.8%8.0%28.8%47.9%27.4%3.0%-0.4%-1.4M47.9M-232.7K0.6613.0280853629,12230,312
2013-05-30$31.75$35.6325.7%7.4%30.0%40.5%25.8%3.6%1.2%-1.5M41.5M-247.2K0.5015.1567933629,19030,562
2013-05-31$30.83$35.6327.0%7.7%31.6%45.2%27.2%3.4%0.9%-1.4M50.5M-225.2K1.5120.1617225929,61930,782