SCCO Options History — August 2013

In August 2013, SCCO traded between $25.63 and $29.16. ATM implied volatility averaged 29.8%, placing in the 55.1% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 10.7% (HV 20d: 40.5%). Max pain ranged from $27.71 to $28.70. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.69.

Notable Days

  • 2013-08-09: Highest Volume — 20,710 contracts
  • 2013-08-02: Largest IV drop — 17.0% change
  • 2013-08-14: Highest IV Rank — 68.3%
  • 2013-08-21: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.59$25.63$29.16$26.00$27.22
Max Pain$27.80$27.71$28.70$28.70$27.71
ATM IV29.8%22.7%33.6%27.4%30.9%
Expected Move8.5%6.5%9.2%7.8%8.9%
HV 20d40.5%32.3%45.4%32.3%41.0%
HV 60d33.4%29.2%35.5%29.6%34.5%
IV Rank55.1%30.2%68.3%46.5%58.9%
IV Percentile82.8%30.6%94.0%74.2%87.3%
Term Structure0.6%-0.8%2.5%-0.1%2.2%
VWIV29.4%22.2%31.8%25.0%30.3%
Skew 25d3.2%1.6%8.6%3.9%3.8%
Skew 10d6.9%4.0%16.9%9.4%5.7%
Call IV 25d28.6%17.8%31.4%25.9%29.5%
Put IV 25d31.7%26.4%34.0%29.9%33.2%
Bid-Ask Spread %13.099.6317.2415.1610.10
Gamma HHI0.250.100.330.110.29
Net GEX1.2M-254.6K2.7M-8.9K1.6M
Net DEX3.7M-29.1M39.8M39.8M4.9M
Net VEX-242.4K-299.7K-148.0K-150.2K-269.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.063.080.420.32
Total Volume3,327.09174520,7101,1821,623
Total OI68,947.90958,29484,79158,29473,784

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$26.00$28.7027.4%7.8%32.3%46.5%25.0%3.9%-0.1%-8.9K39.8M-150.2K0.4215.1683334931,51626,778
2013-08-02$26.41$28.7022.7%6.5%32.6%30.2%22.2%8.6%2.5%43.7K37.0M-159.2K0.5812.5762536632,02726,907
2013-08-05$26.09$27.7125.9%7.8%32.7%41.4%25.2%4.0%1.6%135.3K39.3M-155.7K2.1214.7535174432,23027,146
2013-08-06$25.86$27.7126.2%7.8%32.8%42.3%27.9%3.4%1.2%151.3K39.3M-148.9K0.5517.2480143932,38027,046
2013-08-07$25.63$27.7126.2%7.9%32.7%42.2%27.3%3.3%1.4%136.0K39.8M-148.0K0.2514.612,20956232,59927,167
2013-08-08$27.32$27.7128.0%7.9%38.6%48.7%28.0%2.5%0.1%-254.6K22.6M-191.6K0.2314.007,2131,65532,59127,081
2013-08-09$28.49$27.7129.5%8.7%41.0%54.0%30.5%2.4%0.3%385.0K-1.9M-226.9K0.1515.2318,0522,65836,86327,979
2013-08-12$29.16$27.7132.5%8.6%41.5%64.3%30.5%2.7%1.2%1.5M-29.1M-299.7K0.1616.493,22052950,87428,951
2013-08-13$28.02$27.7130.9%9.1%44.1%58.9%31.8%3.0%-0.1%1.4M-5.2M-279.0K1.0014.001,2241,22950,94729,102
2013-08-14$28.99$27.7133.6%8.7%45.4%68.3%30.7%2.8%0.6%1.6M-26.5M-297.1K1.6610.461,4782,44951,37329,621
2013-08-15$29.10$27.7132.0%9.2%44.5%62.9%31.3%2.1%0.2%907.5K-22.5M-292.2K0.3812.043,7551,42350,90131,679
2013-08-16$28.50$27.7130.3%8.7%44.7%56.7%30.3%2.4%0.6%2.7M-12.6M-288.1K0.2914.481,40240653,23431,557
2013-08-19$27.99$27.7131.3%9.0%44.3%60.3%30.4%3.1%0.3%1.8M-8.6M-270.1K0.2312.221,17226844,98319,687
2013-08-20$28.41$27.7130.2%8.7%44.2%56.4%30.4%1.6%0.7%1.9M-13.0M-274.9K0.3211.9456418145,04419,826
2013-08-21$27.59$27.7132.3%9.2%43.0%63.6%31.8%3.1%-0.8%1.6M-3.5M-257.9K0.5214.5480841645,42019,866
2013-08-22$28.31$27.7130.0%8.6%43.8%55.6%30.0%2.3%0.9%2.0M-12.7M-275.7K1.3111.7348163045,95720,121
2013-08-23$28.32$27.7130.1%8.6%43.7%56.1%30.4%2.6%0.2%2.1M-12.7M-272.5K1.189.632,3022,71946,15720,646
2013-08-26$28.06$27.7131.2%8.9%43.5%59.8%29.5%2.8%-0.4%2.0M-7.3M-287.3K0.0610.342,45914248,06422,910
2013-08-27$27.35$27.7131.4%9.0%42.9%60.8%31.8%3.1%0.2%1.6M2.6M-266.5K0.1511.761,90429548,90622,992
2013-08-28$27.14$27.7132.2%9.2%41.3%63.4%31.8%3.5%0.3%1.5M5.7M-258.3K3.0812.1221867248,50923,118
2013-08-29$27.12$27.7131.4%9.0%41.3%60.7%30.6%2.7%1.0%1.5M6.1M-262.9K0.1212.542,12424648,61023,705
2013-08-30$27.22$27.7130.9%8.9%41.0%58.9%30.3%3.8%2.2%1.6M4.9M-269.8K0.3210.101,22639749,99123,793