SCCO Options History — June 2013

In June 2013, SCCO traded between $26.78 and $31.33. ATM implied volatility averaged 29.3%, placing in the 53.4% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 0.7% (HV 20d: 30.0%). Max pain ranged from $29.69 to $35.63. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.83.

Notable Days

  • 2013-06-10: Highest Volume — 12,800 contracts
  • 2013-06-05: Largest IV spike — 11.1% change
  • 2013-06-24: Highest IV Rank — 67.6%
  • 2013-06-24: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.12$26.78$31.33$31.31$27.34
Max Pain$32.31$29.69$35.63$35.63$29.69
ATM IV29.3%25.7%33.4%27.1%28.4%
Expected Move8.4%7.4%9.6%7.8%8.1%
HV 20d30.0%26.1%33.0%27.4%30.8%
HV 60d33.5%32.0%34.7%32.1%34.1%
IV Rank53.4%40.7%67.6%45.4%50.0%
IV Percentile84.3%62.3%94.0%73.4%80.2%
Term Structure2.5%0.1%4.5%0.1%4.0%
VWIV28.9%25.2%33.4%26.7%29.9%
Skew 25d3.9%2.1%5.2%2.1%4.8%
Skew 10d7.1%2.9%14.2%7.4%7.7%
Call IV 25d27.9%25.5%31.7%26.6%26.9%
Put IV 25d31.8%28.6%36.1%28.6%31.7%
Bid-Ask Spread %16.2910.8022.7011.8210.80
Gamma HHI0.270.200.360.330.21
Net GEX-950.6K-1.6M-264.5K-1.5M-272.1K
Net DEX53.0M27.0M71.3M46.7M27.0M
Net VEX-192.1K-234.7K-146.3K-234.7K-171.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.830.2418.520.6111.90
Total Volume2,665.935112,8005417,835
Total OI58,606.338,77167,48660,60943,745

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$31.31$35.6327.1%7.8%27.4%45.4%26.7%2.1%0.1%-1.5M46.7M-234.7K0.6111.8233520629,66830,941
2013-06-04$31.33$35.6325.7%7.4%27.2%40.7%25.7%3.1%1.0%-1.6M47.1M-230.8K0.5411.0636619829,76831,082
2013-06-05$30.64$35.6328.5%8.2%27.8%50.6%28.0%2.9%0.1%-1.4M53.0M-219.1K2.8418.175921,68429,86831,172
2013-06-06$31.04$35.6327.7%7.9%26.8%47.5%26.9%2.5%0.4%-1.5M48.7M-220.9K0.3913.1050519630,05430,675
2013-06-07$31.00$32.6626.8%7.9%26.1%44.4%27.0%3.2%1.9%-1.6M49.6M-217.8K0.6019.4658835130,32330,663
2013-06-10$30.75$32.6627.7%7.9%26.2%47.8%25.2%3.6%2.8%-1.6M52.6M-212.0K18.5221.2465612,14430,44030,889
2013-06-11$29.38$32.6630.1%8.4%29.7%56.3%30.0%3.9%3.1%-1.2M70.3M-204.1K1.9222.701,7983,45230,65536,290
2013-06-12$28.97$32.6630.6%8.7%29.9%57.7%30.0%4.2%3.0%-878.0K69.2M-190.7K0.5120.4573537730,93235,046
2013-06-13$29.93$31.6729.6%8.5%32.7%54.4%30.0%4.0%2.6%-1.4M64.9M-207.1K8.0220.264613,69530,85635,157
2013-06-14$29.43$31.6729.6%8.5%33.0%54.3%29.4%3.8%2.0%-999.7K68.1M-199.6K0.6818.3920914231,08235,438
2013-06-17$29.54$31.6729.5%8.5%30.2%54.1%27.8%4.7%2.3%-946.3K67.8M-196.8K0.7118.2155239431,15535,407
2013-06-18$29.45$31.6728.9%8.3%30.2%51.9%27.6%3.4%3.3%-802.6K68.4M-195.9K0.3812.551,02638731,59035,515
2013-06-19$28.63$31.6728.9%8.3%31.3%51.9%28.8%4.3%3.5%-642.2K71.3M-180.8K1.6522.3143571731,88835,598
2013-06-20$27.97$31.6731.3%9.0%31.8%60.1%30.5%4.6%3.7%-533.5K70.0M-164.4K3.2819.817252,37631,66734,332
2013-06-21$27.83$31.6731.2%8.9%30.5%59.9%30.4%4.3%3.0%-768.4K70.4M-167.6K1.9312.006271,21132,03834,829
2013-06-24$26.78$31.6733.4%9.6%32.6%67.6%33.4%4.3%2.3%-404.9K30.0M-146.3K0.2712.372,92279319,92518,846
2013-06-25$26.93$30.6832.5%9.3%32.2%64.5%31.1%4.9%3.0%-370.1K28.8M-158.7K0.2811.9790225721,16119,202
2013-06-26$26.80$29.6930.6%8.8%32.1%58.0%30.2%5.2%4.5%-352.9K29.6M-153.6K0.2415.482,03149221,76219,336
2013-06-27$27.31$29.6928.5%8.2%31.7%50.6%29.4%4.2%3.8%-264.5K27.0M-169.1K1.2413.5842352323,53019,601
2013-06-28$27.34$29.6928.4%8.1%30.8%50.0%29.9%4.8%4.0%-272.1K27.0M-171.1K11.9010.806077,22823,76119,984