SCCO Options History — September 2013

In September 2013, SCCO traded between $26.96 and $29.84. ATM implied volatility averaged 29.6%, placing in the 54.3% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 3.6% (HV 20d: 33.2%). Max pain ranged from $27.71 to $28.70. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.31.

Notable Days

  • 2013-09-25: Highest Volume — 8,929 contracts
  • 2013-09-12: Largest IV spike — 12.8% change
  • 2013-09-30: Highest IV Rank — 63.1%
  • 2013-09-30: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.96$26.96$29.84$27.46$26.96
Max Pain$28.55$27.71$28.70$27.71$28.70
ATM IV29.6%26.1%32.1%31.1%32.1%
Expected Move8.6%8.0%9.2%8.9%9.2%
HV 20d33.2%26.9%40.9%40.8%34.7%
HV 60d34.4%33.0%35.7%34.6%35.7%
IV Rank54.3%42.0%63.1%59.5%63.1%
IV Percentile79.5%59.1%90.9%87.7%90.9%
Term Structure1.1%-0.2%2.4%0.6%2.2%
VWIV30.0%28.7%32.1%30.9%32.1%
Skew 25d3.0%1.7%4.3%3.6%3.6%
Skew 10d6.7%1.5%16.8%8.7%2.7%
Call IV 25d28.9%27.7%29.7%29.5%29.6%
Put IV 25d31.8%30.3%33.6%33.2%33.2%
Bid-Ask Spread %15.459.5825.6911.6015.55
Gamma HHI0.340.240.580.310.25
Net GEX1.9M296.0K3.7M1.8M296.0K
Net DEX395.3K-39.8M29.9M2.7M29.9M
Net VEX-266.3K-292.8K-244.5K-267.9K-258.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.195.760.190.43
Total Volume2,532.44758,9292,4144,419
Total OI73,122.460,64780,48973,70873,818

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$27.46$27.7131.1%8.9%40.8%59.5%30.9%3.6%0.6%1.8M2.7M-267.9K0.1911.602,03138349,78823,920
2013-09-04$27.11$27.7131.3%9.0%40.9%60.3%30.0%4.3%1.0%1.4M8.8M-251.9K0.299.5836910648,87124,034
2013-09-05$27.03$27.7129.8%8.5%40.8%54.9%29.9%1.7%1.4%1.4M9.5M-245.9K0.3010.3767120049,02524,017
2013-09-06$27.44$28.7028.9%8.8%34.3%52.0%31.1%3.3%-0.2%1.7M4.6M-256.7K1.1218.8346852349,20524,075
2013-09-09$28.02$28.7029.4%8.6%31.6%53.5%30.8%3.1%1.3%2.2M-3.3M-266.5K0.3418.511,22642149,24624,231
2013-09-10$28.07$28.7028.6%8.7%30.3%50.7%29.5%3.4%0.5%2.3M-4.2M-271.3K0.2918.6379522949,75724,388
2013-09-11$28.66$28.7026.1%8.3%27.8%42.0%29.4%1.8%1.4%2.8M-14.9M-283.3K0.6716.521,24683549,97924,417
2013-09-12$27.83$28.7029.4%8.4%26.9%53.6%30.6%2.6%1.3%2.2M-149.5K-261.7K2.5625.694491,14750,47524,649
2013-09-13$27.23$28.7029.3%8.4%27.7%53.3%30.0%3.4%0.6%1.6M10.1M-244.5K0.6625.5156737350,40124,905
2013-09-16$28.15$28.7029.4%8.4%29.8%53.7%29.0%2.8%1.3%2.7M-4.7M-255.2K0.7018.1665446050,51924,482
2013-09-17$28.46$28.7028.0%8.0%29.3%48.9%28.7%2.9%1.4%3.0M-10.9M-260.5K0.8513.0551844050,74024,643
2013-09-18$29.84$28.7029.2%8.4%33.3%53.0%30.4%3.1%0.4%3.7M-39.8M-283.9K1.5812.443,0574,82250,92024,903
2013-09-19$29.29$28.7029.3%8.4%32.2%53.1%29.1%3.0%0.4%3.2M-25.2M-288.5K0.6915.421,43098751,52628,214
2013-09-20$28.26$28.7030.0%8.6%33.8%55.9%30.1%2.3%0.3%1.9M-2.0M-266.5K0.5816.431,05361551,60128,888
2013-09-23$28.47$28.7028.7%8.2%33.9%51.2%29.0%2.6%1.8%1.7M-5.0M-265.9K0.3412.022,58587939,34021,307
2013-09-24$27.88$28.7031.0%8.9%34.6%59.3%29.8%3.2%0.4%1.4M1.7M-261.4K5.7612.677224,15841,09221,833
2013-09-25$27.61$28.7030.1%8.6%33.5%56.1%29.6%3.6%2.0%1.0M11.9M-262.0K3.6211.901,9326,99741,49525,102
2013-09-26$27.87$28.7030.1%8.6%33.5%56.2%30.4%3.0%1.2%901.4K16.8M-292.8K2.8711.3133696742,52730,297
2013-09-27$27.55$28.7030.1%8.6%33.8%56.0%30.4%2.0%2.4%680.7K22.3M-281.0K2.2814.844811,09742,75131,067
2013-09-30$26.96$28.7032.1%9.2%34.7%63.1%32.1%3.6%2.2%296.0K29.9M-258.3K0.4315.553,0961,32342,75131,067