SCCO Options History — February 2014

In February 2014, SCCO traded between $27.30 and $31.99. ATM implied volatility averaged 24.8%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 3.2% (HV 20d: 28.0%). Max pain ranged from $24.74 to $24.74. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.92.

Notable Days

2014-02-14: Highest Volume — 21,596 contracts
2014-02-07: Largest IV drop — 13.0% change
2014-02-03: Highest IV Rank — 42.3%
2014-02-03: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.23	$27.30	$31.99	$27.30	$30.20
Max Pain	$24.74	$24.74	$24.74	$24.74	$24.74
ATM IV	24.8%	22.2%	27.4%	27.4%	23.6%
Expected Move	8.0%	7.7%	8.5%	8.5%	8.1%
HV 20d	28.0%	21.0%	31.1%	21.0%	30.4%
HV 60d	24.9%	22.2%	25.9%	22.9%	25.9%
IV Rank	30.7%	19.5%	42.3%	42.3%	25.5%
IV Percentile	31.5%	11.1%	59.5%	59.5%	18.3%
Term Structure	0.1%	-0.8%	1.3%	-0.7%	1.3%
VWIV	27.9%	24.9%	32.8%	28.9%	27.2%
Skew 25d	2.7%	1.4%	3.6%	1.4%	3.3%
Skew 10d	6.0%	-8.7%	13.2%	-8.7%	2.7%
Call IV 25d	24.4%	22.2%	28.7%	28.7%	23.1%
Put IV 25d	27.0%	25.7%	30.0%	30.0%	26.4%
Bid-Ask Spread %	18.66	14.48	27.64	19.21	15.73
Gamma HHI	0.21	0.13	0.35	0.13	0.21
Net GEX	1.6M	780.0K	2.5M	780.0K	1.2M
Net DEX	-29.6M	-54.9M	-3.1M	-3.1M	-20.5M
Net VEX	-293.0K	-397.0K	-202.4K	-202.4K	-339.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.04	8.66	1.40	0.04
Total Volume	3,998.053	351	21,596	613	3,525
Total OI	58,198.947	48,701	70,662	48,701	61,847

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2014-02-03	$27.30	$24.74	27.4%	8.5%	21.0%	42.3%	28.9%	1.4%	-0.7%	780.0K	-3.1M	-202.4K	1.40	19.21	256	357	31,673	17,028
2014-02-04	$27.59	$24.74	27.0%	8.3%	21.0%	40.5%	27.2%	2.6%	-0.2%	863.8K	-4.4M	-203.0K	0.33	15.97	563	185	31,677	17,178
2014-02-05	$27.96	$24.74	27.1%	8.4%	21.1%	41.0%	32.8%	1.9%	-0.6%	1.1M	-9.1M	-215.4K	8.66	23.53	356	3,079	31,731	17,264
2014-02-06	$28.15	$24.74	26.9%	8.4%	21.1%	39.8%	29.3%	1.7%	-0.2%	864.2K	-7.6M	-216.5K	0.23	17.36	285	66	31,934	19,202
2014-02-07	$29.61	$24.74	23.4%	7.7%	26.2%	24.5%	28.8%	3.2%	-0.2%	1.8M	-27.8M	-230.3K	1.65	27.64	1,870	3,082	32,008	19,224
2014-02-10	$30.17	$24.74	23.5%	8.1%	26.5%	25.1%	24.9%	2.7%	0.1%	2.2M	-37.7M	-241.1K	0.27	18.66	4,311	1,168	32,733	21,104
2014-02-11	$31.49	$24.74	23.0%	7.7%	29.8%	22.7%	25.8%	3.6%	0.4%	1.8M	-54.9M	-233.4K	0.51	23.98	4,724	2,428	31,819	21,845
2014-02-12	$31.03	$24.74	22.2%	7.8%	30.3%	19.5%	27.5%	2.8%	-0.0%	2.0M	-48.2M	-249.7K	0.19	21.93	11,454	2,165	32,780	23,375
2014-02-13	$31.31	$24.74	24.1%	7.9%	30.3%	27.6%	26.2%	3.0%	0.1%	1.9M	-33.1M	-270.8K	0.46	19.34	1,261	576	28,526	25,033
2014-02-14	$31.99	$24.74	25.9%	7.8%	30.8%	35.4%	26.1%	2.0%	-0.6%	1.6M	-41.6M	-271.5K	0.10	20.50	19,616	1,980	28,431	25,266
2014-02-18	$31.90	$24.74	25.9%	8.0%	30.6%	35.7%	29.1%	3.1%	-0.8%	2.4M	-52.0M	-397.0K	0.35	14.56	1,410	492	43,950	26,538
2014-02-19	$31.24	$24.74	24.9%	7.9%	31.1%	31.4%	25.3%	1.8%	-0.1%	2.5M	-42.7M	-374.3K	0.18	18.40	2,296	424	43,895	26,767
2014-02-20	$31.39	$24.74	24.8%	7.9%	31.1%	30.5%	29.8%	3.1%	-0.0%	2.3M	-41.4M	-370.0K	0.47	16.16	641	304	43,428	26,342
2014-02-21	$31.37	$24.74	23.8%	7.8%	31.1%	26.6%	0.0%	2.8%	0.9%	2.1M	-42.0M	-371.5K	1.11	16.02	317	352	43,556	26,471
2014-02-24	$30.82	$24.74	24.4%	7.9%	29.0%	29.0%	29.5%	2.9%	0.8%	1.5M	-30.4M	-354.5K	0.31	17.74	863	270	40,822	19,253
2014-02-25	$30.20	$24.74	24.6%	8.1%	30.2%	29.7%	29.8%	3.4%	0.7%	1.2M	-21.7M	-340.7K	0.65	16.89	1,345	878	40,876	19,389
2014-02-26	$30.26	$24.74	24.3%	8.1%	30.2%	28.5%	26.0%	2.8%	0.9%	1.2M	-21.2M	-343.9K	0.16	16.38	1,837	292	41,781	19,800
2014-02-27	$30.38	$24.74	24.4%	8.1%	30.1%	28.9%	28.3%	2.6%	0.2%	1.3M	-22.8M	-341.5K	0.49	14.48	627	308	41,403	19,831
2014-02-28	$30.20	$24.74	23.6%	8.1%	30.4%	25.5%	27.2%	3.3%	1.3%	1.2M	-20.5M	-339.0K	0.04	15.73	3,392	133	41,901	19,946