SCCO Options History — November 2013

In November 2013, SCCO traded between $24.67 and $28.30. ATM implied volatility averaged 25.5%, placing in the 42.6% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 2.9% (HV 20d: 22.6%). Max pain ranged from $19.79 to $39.59. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.96.

Notable Days

  • 2013-11-26: Highest Volume — 5,488 contracts
  • 2013-11-07: Largest IV spike — 19.4% change
  • 2013-11-11: Highest IV Rank — 52.2%
  • 2013-11-11: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.53$24.67$28.30$28.07$24.84
Max Pain$30.89$19.79$39.59$28.70$24.74
ATM IV25.5%22.5%27.9%24.0%25.9%
Expected Move8.6%6.9%9.4%6.9%9.1%
HV 20d22.6%18.5%26.5%25.4%19.3%
HV 60d28.0%26.8%31.2%31.2%27.1%
IV Rank42.6%31.9%52.2%34.6%44.4%
IV Percentile44.7%21.0%63.5%29.4%49.6%
Term Structure1.2%0.2%3.5%3.5%0.9%
VWIV30.2%21.8%41.5%21.8%32.8%
Skew 25d2.9%1.2%7.8%7.8%3.0%
Skew 10d6.3%-2.6%17.1%17.1%7.1%
Call IV 25d24.6%18.9%26.3%18.9%24.6%
Put IV 25d27.5%25.9%28.9%26.7%27.6%
Bid-Ask Spread %12.137.8718.8517.529.29
Gamma HHI0.140.100.200.120.20
Net GEX-339.7K-603.0K105.0K-344.4K-235.5K
Net DEX43.5M29.1M52.4M37.9M39.6M
Net VEX-200.6K-261.9K-153.1K-261.6K-165.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.302.360.380.63
Total Volume1,896.17415,488921741
Total OI72,223.1563,41078,29977,22968,150

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$28.07$28.7024.0%6.9%25.4%34.6%21.8%7.8%3.5%-344.4K37.9M-261.6K0.3817.5266825338,38138,848
2013-11-04$28.11$30.6824.8%7.7%25.4%37.4%28.1%2.9%0.8%-406.4K37.9M-255.3K2.3614.814501,06138,73738,975
2013-11-05$27.78$30.6825.0%7.7%24.7%38.3%27.0%3.6%0.9%-415.1K40.7M-257.1K1.8712.4432260438,84039,459
2013-11-06$28.30$30.6822.5%7.4%25.2%31.9%27.0%2.5%0.7%-348.5K29.1M-261.9K1.9013.777221,37238,83637,612
2013-11-07$27.55$30.6826.9%7.6%26.5%48.3%25.8%2.8%0.2%-377.7K40.1M-239.4K1.3411.931,0531,40739,10838,055
2013-11-08$27.80$30.6826.3%7.5%26.3%46.1%25.4%2.6%0.7%-520.2K37.8M-245.8K0.3013.121,61748439,38538,812
2013-11-11$27.41$0.0027.9%9.4%24.6%52.2%27.4%2.4%1.3%-603.0K44.7M-221.6K0.6218.8554333738,54038,875
2013-11-12$26.93$39.5927.7%9.2%24.9%51.4%31.4%2.3%0.3%-510.6K50.1M-211.3K0.4811.4795845738,91538,934
2013-11-13$26.57$39.5926.8%9.0%24.9%47.8%35.1%3.0%1.1%-450.5K52.4M-193.4K0.8610.811,01287139,27338,100
2013-11-14$26.80$39.5926.2%9.0%24.3%45.5%31.5%1.8%0.9%-202.5K48.6M-194.5K2.1910.185791,26939,03037,558
2013-11-15$26.63$39.5924.8%9.1%24.3%40.2%27.5%2.1%1.6%105.0K50.2M-193.4K0.6210.7679149039,25837,627
2013-11-18$26.36$36.6224.8%9.0%24.4%40.5%32.7%3.4%1.6%-233.8K41.5M-177.0K0.3211.701,75156232,09531,315
2013-11-19$25.97$36.6225.3%8.9%19.3%42.4%41.5%3.1%1.6%-263.0K44.3M-166.5K0.8610.971,15899032,53831,460
2013-11-20$25.75$34.6424.8%8.9%18.9%40.4%32.0%3.8%1.9%-288.7K45.7M-163.1K0.8414.7786472532,96431,890
2013-11-21$25.80$19.7924.3%8.9%18.5%38.4%26.8%2.9%1.9%-294.0K44.7M-168.1K0.3311.611,10736233,25932,090
2013-11-22$25.41$19.7924.6%9.1%18.8%39.6%33.9%3.2%1.6%-341.4K46.7M-160.8K0.5910.281,35179833,72032,118
2013-11-25$25.01$24.7426.3%9.0%18.9%45.9%35.1%2.0%0.9%-358.7K46.1M-161.5K0.639.991,14171334,40531,996
2013-11-26$24.67$24.7425.8%9.2%19.1%44.3%31.1%1.2%1.2%-392.1K47.8M-153.1K1.2710.392,4133,07535,14632,263
2013-11-27$24.79$24.7425.4%9.0%19.2%42.5%0.0%2.2%1.1%-313.2K43.2M-161.6K0.837.871,5611,29036,42931,467
2013-11-29$24.84$24.7425.9%9.1%19.3%44.4%32.8%3.0%0.9%-235.5K39.6M-165.3K0.639.2945628537,39730,753