SCCO Options History — October 2013

In October 2013, SCCO traded between $26.25 and $29.24. ATM implied volatility averaged 28.9%, placing in the 51.7% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 0.1% (HV 20d: 28.9%). Max pain ranged from $28.70 to $29.69. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 1.11.

Notable Days

  • 2013-10-28: Highest Volume — 5,728 contracts
  • 2013-10-22: Largest IV drop — 11.5% change
  • 2013-10-01: Highest IV Rank — 66.6%
  • 2013-10-08: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.71$26.25$29.24$27.22$27.66
Max Pain$29.00$28.70$29.69$28.70$28.70
ATM IV28.9%24.1%33.1%33.1%24.1%
Expected Move8.4%6.9%9.7%9.5%6.9%
HV 20d28.9%23.0%34.8%34.7%25.0%
HV 60d34.6%33.5%35.8%35.7%33.6%
IV Rank51.7%35.2%66.6%66.6%35.2%
IV Percentile66.5%30.6%93.3%93.3%30.6%
Term Structure0.3%-1.4%3.1%-0.7%3.1%
VWIV28.6%22.8%34.4%30.7%25.1%
Skew 25d3.9%1.9%6.4%4.1%3.0%
Skew 10d7.0%-4.1%17.3%5.1%1.9%
Call IV 25d27.8%22.0%33.2%30.1%23.7%
Put IV 25d31.7%26.7%37.3%34.1%26.7%
Bid-Ask Spread %13.279.5516.699.5516.62
Gamma HHI0.170.100.260.240.11
Net GEX-329.1K-701.8K316.6K273.8K-397.3K
Net DEX32.9M21.3M43.0M30.0M43.0M
Net VEX-259.2K-291.2K-224.9K-264.6K-251.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.203.170.610.82
Total Volume2,188.6527695,728904769
Total OI76,345.8765,20085,47475,60977,012

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$27.22$28.7033.1%9.5%34.7%66.6%30.7%4.1%-0.7%273.8K30.0M-264.6K0.619.5556134342,84132,768
2013-10-02$26.94$28.7033.0%9.5%34.6%66.2%32.7%2.7%0.2%122.1K32.8M-257.9K0.4910.1973436143,09232,893
2013-10-03$26.67$28.7032.1%9.2%34.8%63.2%33.0%1.9%0.6%-57.1K35.9M-245.5K1.0310.8052153943,60833,113
2013-10-04$26.73$28.7029.2%9.2%34.3%52.8%31.6%3.9%-0.2%-145.3K36.6M-242.4K0.7516.691,6981,26843,80133,380
2013-10-07$26.83$28.7032.4%9.6%33.3%64.1%32.4%4.7%-1.3%-226.0K36.9M-241.0K0.2314.4792521643,97033,877
2013-10-08$26.32$28.7031.9%9.7%33.9%62.2%33.8%3.8%-1.2%-373.0K39.7M-224.9K0.8413.1071560044,61133,230
2013-10-09$26.25$28.7030.8%9.7%32.6%58.4%34.4%4.3%-1.4%-448.7K40.8M-225.3K1.9316.106521,25644,69133,437
2013-10-10$26.80$28.7032.0%9.2%32.4%62.6%31.4%3.7%-0.2%-518.7K38.3M-236.5K0.8616.5665656145,16234,191
2013-10-11$27.16$28.7031.0%8.9%31.9%59.4%30.4%3.3%0.2%-394.5K35.0M-242.0K1.5915.038871,41145,39134,474
2013-10-14$27.97$28.7030.7%8.8%31.4%58.2%30.4%3.6%0.6%316.6K25.3M-263.8K1.5715.071,6742,63145,56535,424
2013-10-15$27.60$28.7031.2%8.9%31.4%59.9%29.1%3.5%-0.4%-305.2K33.1M-258.2K2.1411.727131,52746,04136,613
2013-10-16$27.87$28.7030.2%8.7%26.1%56.5%30.3%3.6%-0.9%-272.3K32.2M-259.7K1.4313.288371,19646,29937,483
2013-10-17$28.35$28.7028.0%8.0%26.4%48.7%28.3%4.0%0.4%-282.7K27.8M-262.7K1.6410.921,1391,86545,82037,752
2013-10-18$28.17$29.6928.3%8.1%23.2%49.7%26.8%2.4%-0.6%-517.8K33.4M-258.0K3.1712.258722,76146,31839,156
2013-10-21$28.16$29.6927.5%7.9%23.0%47.0%25.2%4.9%-0.5%-701.8K34.7M-258.5K1.1913.069861,17129,97335,227
2013-10-22$29.24$29.6924.4%7.0%25.4%36.0%24.2%5.0%2.1%-697.4K21.3M-289.9K0.2910.124,1181,17430,62836,113
2013-10-23$28.74$29.6926.8%7.7%26.0%44.5%27.4%4.8%0.5%-579.8K27.3M-285.3K1.2312.668821,08432,37336,424
2013-10-24$28.94$29.6927.4%7.9%25.9%46.7%25.5%4.3%-0.5%-646.0K25.4M-291.2K0.2015.461,13123032,74337,029
2013-10-25$28.67$29.6924.8%7.1%25.7%37.4%22.8%6.4%2.8%-682.7K29.3M-283.5K0.2815.211,36338233,08437,083
2013-10-28$28.69$29.6924.9%7.1%24.2%37.8%24.3%5.1%2.2%-518.8K28.8M-278.4K0.2012.174,76596334,03337,081
2013-10-29$28.43$28.7024.9%7.1%24.4%37.7%25.5%4.0%1.9%-191.2K30.5M-277.1K1.1111.3253759337,83137,902
2013-10-30$27.97$28.7025.1%7.2%24.9%38.6%23.2%3.0%1.3%-325.8K38.7M-263.5K2.0112.9635771538,13838,280
2013-10-31$27.66$28.7024.1%6.9%25.0%35.2%25.1%3.0%3.1%-397.3K43.0M-251.5K0.8216.6242334638,28038,732