SCCO Options History — January 2014

In January 2014, SCCO traded between $26.99 and $29.04. ATM implied volatility averaged 24.1%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 0.4% (HV 20d: 23.7%). Max pain ranged from $24.74 to $24.74. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2014-01-09: Highest Volume — 6,080 contracts
  • 2014-01-10: Largest IV drop — 15.6% change
  • 2014-01-28: Highest IV Rank — 43.6%
  • 2014-01-09: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.97$26.99$29.04$28.94$27.69
Max Pain$24.74$24.74$24.74$24.74$24.74
ATM IV24.1%21.0%27.7%22.8%26.3%
Expected Move8.2%7.8%8.6%8.0%8.3%
HV 20d23.7%20.8%26.9%23.0%22.0%
HV 60d23.3%22.4%24.3%23.9%22.9%
IV Rank32.8%22.4%43.6%32.8%37.5%
IV Percentile31.1%8.7%62.7%22.2%50.0%
Term Structure0.7%-1.2%3.5%3.5%0.2%
VWIV27.7%22.7%33.8%32.9%29.6%
Skew 25d3.0%0.8%4.9%0.8%0.9%
Skew 10d4.9%-3.2%10.7%-3.2%2.4%
Call IV 25d23.8%21.9%27.3%22.4%26.9%
Put IV 25d26.8%23.2%29.8%23.2%27.7%
Bid-Ask Spread %17.1813.5124.1918.3919.76
Gamma HHI0.180.120.350.200.15
Net GEX1.0M651.2K1.8M929.1K845.1K
Net DEX-11.1M-28.0M-170.7K-24.0M-4.8M
Net VEX-207.0K-227.4K-188.3K-203.9K-214.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.055.230.413.61
Total Volume2,267.6672286,0805,3782,449
Total OI55,293.8139,70964,09256,57949,479

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$28.94$24.7422.8%8.0%23.0%32.8%32.9%0.8%3.5%929.1K-24.0M-203.9K0.4118.393,8211,55735,40021,179
2014-01-03$28.27$24.7423.5%8.1%25.6%35.5%25.6%2.1%1.2%990.5K-16.5M-209.9K0.6515.5894160836,90621,609
2014-01-06$27.88$24.7423.1%8.3%26.0%34.2%27.7%4.3%0.7%906.4K-10.6M-195.1K0.2018.161,56830637,35221,893
2014-01-07$27.55$24.7421.7%8.5%26.8%28.8%25.3%2.9%1.4%838.2K-7.9M-196.7K0.9815.1670068937,88822,027
2014-01-08$27.50$24.7423.2%8.4%26.0%34.5%33.8%4.1%1.1%821.3K-6.6M-195.5K0.6118.7057234838,18222,408
2014-01-09$26.99$24.7424.9%8.6%26.9%40.7%30.0%3.3%0.8%696.3K-170.7K-188.3K0.3817.434,4061,67438,31022,575
2014-01-10$27.35$24.7421.0%8.4%24.6%26.0%24.4%2.4%0.6%773.5K-4.7M-198.8K0.2715.4345112339,90523,970
2014-01-13$27.53$24.7422.1%8.4%23.8%30.2%0.0%4.9%0.8%806.6K-7.3M-196.1K0.6314.6249731540,02524,067
2014-01-14$28.09$24.7425.3%8.6%23.6%42.4%29.0%4.3%0.2%1.2M-14.5M-202.7K0.4116.501,63167340,09923,973
2014-01-15$28.35$24.7422.1%7.9%22.1%25.4%24.0%3.2%1.4%1.5M-18.5M-205.2K0.5715.8198956239,83623,294
2014-01-16$28.52$24.7423.3%8.0%22.1%24.0%29.8%3.1%1.3%1.8M-20.8M-209.1K0.1913.5188816540,16023,420
2014-01-17$29.04$24.7424.3%8.1%20.8%28.4%0.0%2.8%0.4%1.7M-28.0M-206.3K0.0917.503,49430340,06823,485
2014-01-21$28.58$24.7423.2%8.0%22.0%23.8%24.4%3.9%1.4%1.2M-15.6M-207.4K0.3118.772,19367625,33014,379
2014-01-22$28.64$24.7422.9%8.0%21.5%22.4%25.7%3.2%1.6%1.3M-16.3M-212.5K0.0515.254,25019526,65514,935
2014-01-23$28.57$24.7423.6%7.8%21.2%25.4%29.5%3.6%0.8%1.5M-18.2M-227.4K0.4215.891,38157730,17115,042
2014-01-24$27.63$24.7426.5%8.4%24.6%38.2%22.7%1.8%-0.4%1.2M-10.4M-213.2K5.2322.187313,82031,08714,942
2014-01-27$27.48$24.7426.5%8.3%24.6%38.1%28.8%2.5%-0.5%651.2K-2.1M-216.9K0.5315.6962433131,46318,509
2014-01-28$27.60$24.7427.7%8.3%24.4%43.6%0.0%2.8%-1.2%660.6K-1.9M-217.1K0.3616.831686031,50618,749
2014-01-29$27.57$24.7426.9%8.3%23.4%39.8%27.7%3.3%0.1%670.7K-2.4M-215.8K0.8924.1934730831,60818,773
2014-01-30$27.63$24.7426.1%8.3%23.1%36.5%0.0%2.7%0.2%676.5K-2.4M-214.6K2.9315.515681,66231,61118,900
2014-01-31$27.69$24.7426.3%8.3%22.0%37.5%29.6%0.9%0.2%845.1K-4.8M-214.1K3.6119.765311,91831,67217,807