SCCO Options History — December 2013

In December 2013, SCCO traded between $24.52 and $28.41. ATM implied volatility averaged 25.2%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 4.0% (HV 20d: 21.1%). Max pain ranged from $24.74 to $24.74. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2013-12-20: Highest Volume — 6,671 contracts
  • 2013-12-11: Largest IV spike — 10.6% change
  • 2013-12-12: Highest IV Rank — 50.8%
  • 2013-12-10: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.07$24.52$28.41$24.62$28.41
Max Pain$24.74$24.74$24.74$24.74$24.74
ATM IV25.2%21.7%27.5%26.3%22.4%
Expected Move8.8%8.2%9.2%9.1%8.2%
HV 20d21.1%14.9%25.4%17.8%22.8%
HV 60d24.5%23.3%26.9%26.9%23.7%
IV Rank41.8%28.9%50.8%46.2%31.2%
IV Percentile40.5%15.9%61.9%54.8%18.3%
Term Structure1.5%-0.0%3.6%0.8%1.7%
VWIV28.8%22.5%33.7%27.6%28.2%
Skew 25d3.2%1.7%4.2%2.9%2.3%
Skew 10d9.7%2.6%14.9%5.8%7.5%
Call IV 25d24.3%21.5%26.9%25.5%21.6%
Put IV 25d27.5%23.9%29.9%28.4%23.9%
Bid-Ask Spread %16.869.3040.259.3014.29
Gamma HHI0.210.140.480.220.19
Net GEX405.5K-348.2K1.6M-288.3K891.7K
Net DEX17.0M-16.5M40.9M40.9M-16.5M
Net VEX-179.0K-203.2K-156.7K-156.7K-203.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.127.132.340.87
Total Volume2,316.9526936,6711,3531,048
Total OI66,075.57152,24274,30067,94156,118

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$24.62$24.7426.3%9.1%17.8%46.2%27.6%2.9%0.8%-288.3K40.9M-156.7K2.349.3040594837,42330,518
2013-12-03$24.62$24.7426.5%9.1%17.7%46.7%27.9%3.6%0.5%-296.5K40.2M-157.5K1.2216.739271,13437,62030,346
2013-12-04$24.74$24.7427.3%9.0%18.0%49.8%27.3%3.0%0.3%-286.8K38.3M-162.4K0.8616.0459450838,16130,689
2013-12-05$24.52$24.7426.7%9.1%15.6%47.6%0.0%1.7%-0.0%-348.2K39.8M-157.5K0.1213.702,28627738,46830,676
2013-12-06$24.75$24.7425.8%9.0%14.9%44.3%30.1%3.0%2.3%-168.9K35.9M-167.0K0.8617.2448541639,85830,514
2013-12-09$25.34$24.7425.3%9.2%17.4%42.4%28.4%3.6%1.1%61132.2M-169.8K0.5316.6476640740,06530,575
2013-12-10$25.69$24.7424.3%9.2%18.2%38.3%27.1%2.8%1.2%147.2K28.0M-176.4K0.4316.182,00486539,82730,431
2013-12-11$24.98$24.7426.8%9.0%19.6%48.0%26.4%3.4%1.6%-83.6K32.5M-170.4K0.2219.212,18448740,62330,341
2013-12-12$24.66$24.7427.5%9.0%19.6%50.8%33.7%2.3%0.8%-270.6K36.3M-159.9K0.2214.891,44932341,03230,337
2013-12-13$25.22$24.7427.3%8.9%21.2%49.8%31.1%3.7%1.3%74.4K30.1M-171.3K0.3816.731,38952242,14630,210
2013-12-16$25.92$24.7427.4%8.8%23.8%50.4%22.5%3.8%0.9%607.3K21.3M-179.1K0.7720.802,1671,66042,74630,269
2013-12-17$25.93$24.7427.3%8.6%23.5%50.0%0.0%2.4%0.9%683.9K19.0M-188.2K7.1315.364152,96143,76130,539
2013-12-18$26.69$24.7425.5%8.8%25.2%42.9%28.5%3.7%1.9%1.1M7.3M-192.3K0.6140.253,1381,90743,99629,447
2013-12-19$26.75$24.7424.3%8.8%24.9%38.3%0.0%3.7%2.6%1.6M5.0M-185.9K0.6314.891,6511,03643,17828,252
2013-12-20$27.17$24.7423.9%8.9%25.4%37.2%32.7%3.2%1.7%1.1M-1.3M-193.0K0.2115.325,5141,15743,39728,426
2013-12-23$26.96$24.7424.0%8.6%24.8%37.4%28.2%3.4%2.2%669.4K-2.0M-188.2K0.4517.921,15952433,16919,073
2013-12-24$27.27$24.7422.3%8.6%23.9%30.8%0.0%2.9%3.6%779.3K-4.7M-193.6K0.5115.3046023333,86619,453
2013-12-26$27.36$24.7422.6%8.5%23.0%32.1%0.0%4.2%2.7%796.0K-5.2M-194.4K0.4215.5184635734,09319,564
2013-12-27$27.62$24.7421.7%8.5%23.0%28.9%32.2%3.9%2.9%838.6K-7.5M-194.4K0.5312.9295250334,22019,658
2013-12-30$28.15$24.7423.4%8.6%23.5%35.0%28.2%3.2%1.4%913.8K-13.5M-197.9K0.9714.741,3161,27634,58519,917
2013-12-31$28.41$24.7422.4%8.2%22.8%31.2%28.2%2.3%1.7%891.7K-16.5M-203.2K0.8714.2956148735,16320,955