SCCO Options History — July 2013

In July 2013, SCCO traded between $25.80 and $28.83. ATM implied volatility averaged 27.0%, placing in the 45.3% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 1.1% (HV 20d: 28.1%). Max pain ranged from $28.70 to $29.69. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.81.

Notable Days

  • 2013-07-11: Highest Volume — 3,932 contracts
  • 2013-07-11: Largest IV spike — 12.1% change
  • 2013-07-02: Highest IV Rank — 55.8%
  • 2013-07-08: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.30$25.80$28.83$27.40$25.80
Max Pain$29.56$28.70$29.69$29.69$28.70
ATM IV27.0%23.6%30.0%28.6%27.9%
Expected Move8.0%6.8%9.6%8.2%8.0%
HV 20d28.1%23.9%32.2%29.9%32.2%
HV 60d30.5%28.6%33.9%33.8%29.6%
IV Rank45.3%33.5%55.8%50.9%48.2%
IV Percentile68.1%36.5%87.7%82.5%77.4%
Term Structure0.8%-2.1%4.9%4.0%0.3%
VWIV27.9%23.6%32.6%27.8%25.6%
Skew 25d4.1%2.7%5.7%3.5%5.7%
Skew 10d7.3%1.9%13.7%5.5%13.7%
Call IV 25d26.4%22.9%31.1%27.0%25.3%
Put IV 25d30.5%26.0%36.5%30.5%31.0%
Bid-Ask Spread %14.418.3023.329.9712.58
Gamma HHI0.240.110.320.230.11
Net GEX-511.6K-817.6K-28.3K-635.5K-28.3K
Net DEX31.2M17.2M40.9M32.5M40.9M
Net VEX-175.3K-195.3K-142.9K-185.9K-142.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.141.560.750.40
Total Volume1,590.6822673,9321,1293,161
Total OI52,175.13648,30556,96448,30556,964

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$27.40$29.6928.6%8.2%29.9%50.9%27.8%3.5%4.0%-635.5K32.5M-185.9K0.759.9764548424,20324,102
2013-07-02$26.91$28.7030.0%8.6%30.0%55.8%29.7%3.8%3.8%-573.9K35.3M-173.2K1.3515.4048865724,68424,163
2013-07-03$27.05$28.7029.3%8.4%29.8%53.3%28.8%3.5%4.9%-585.7K34.3M-181.7K1.3615.1411315424,79724,663
2013-07-05$26.68$29.6928.0%9.4%29.0%48.6%32.4%4.7%-0.4%-599.4K37.4M-168.5K0.4923.321,51374724,84724,674
2013-07-08$26.42$29.6928.2%9.6%28.9%49.4%32.6%5.4%-1.9%-431.0K37.4M-164.3K1.0217.6443144125,99725,038
2013-07-09$26.46$29.6926.9%9.4%29.1%45.0%31.4%5.2%-2.1%-435.4K37.2M-164.4K1.0219.0245346026,06925,035
2013-07-10$26.68$29.6925.2%9.2%25.9%38.9%29.9%4.6%-2.1%-452.4K36.3M-167.1K0.8216.8642334726,26125,124
2013-07-11$27.52$29.6928.2%8.1%28.6%49.6%30.5%3.5%0.3%-545.6K30.8M-181.7K0.5017.172,6301,30226,37225,331
2013-07-12$27.12$29.6930.0%8.6%25.6%55.7%29.6%5.1%-0.6%-502.6K33.0M-175.5K1.1213.6459766927,41625,706
2013-07-15$27.47$29.6928.3%8.1%26.0%49.8%28.4%4.6%-0.4%-539.6K30.7M-177.9K1.5312.4755685027,57726,207
2013-07-16$27.67$29.6929.0%8.3%26.2%52.2%28.8%4.7%-0.9%-522.9K28.6M-179.9K1.0112.9427828027,89526,283
2013-07-17$27.38$29.6927.4%7.9%26.3%46.6%28.5%3.3%0.7%-528.2K31.0M-174.5K1.5613.516511,01428,01426,400
2013-07-18$28.13$29.6927.5%7.9%26.8%46.9%27.8%4.5%-0.0%-547.0K25.7M-183.3K0.7111.3267347927,44926,698
2013-07-19$27.64$29.6928.1%8.1%26.2%49.1%28.5%4.2%-0.2%-32.0K29.6M-181.4K1.098.309211,00427,64526,938
2013-07-22$28.36$29.6925.8%7.4%27.7%40.9%26.1%3.1%1.2%-817.6K22.2M-190.2K0.4313.511,46162324,30824,939
2013-07-23$28.83$29.6923.9%6.8%23.9%34.3%23.6%3.8%1.5%-734.0K17.2M-195.3K0.3013.361,53545725,30025,166
2013-07-24$27.67$29.6924.4%7.0%28.7%36.0%25.2%2.7%1.7%-690.8K28.0M-178.0K0.5012.611,32466225,92125,349
2013-07-25$27.49$29.6923.6%6.8%28.7%33.5%23.9%2.9%2.3%-633.0K29.5M-177.2K0.1411.451,13815626,83225,740
2013-07-26$27.84$29.6923.6%6.8%28.3%33.5%24.0%2.7%3.0%-561.0K25.2M-185.1K0.1517.4889713227,69925,815
2013-07-29$27.49$29.6924.6%7.1%28.7%36.8%25.7%3.1%1.5%-492.9K27.9M-175.5K1.3017.9327635828,09625,829
2013-07-30$26.61$29.6925.9%7.4%31.0%41.4%26.3%5.0%1.0%-366.7K36.5M-153.6K0.2011.322,95460128,23026,077
2013-07-31$25.80$28.7027.9%8.0%32.2%48.2%25.6%5.7%0.3%-28.3K40.9M-142.9K0.4012.582,25890330,67826,286