SCCO Options History — March 2014

In March 2014, SCCO traded between $26.82 and $30.69. ATM implied volatility averaged 28.5%, placing in the 46.8% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 4.2% (HV 20d: 32.8%). Max pain ranged from $24.74 to $29.69. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2014-03-25: Highest Volume — 14,139 contracts
  • 2014-03-07: Largest IV spike — 17.2% change
  • 2014-03-13: Highest IV Rank — 58.5%
  • 2014-03-13: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.06$26.82$30.69$30.04$28.81
Max Pain$27.81$24.74$29.69$24.74$29.69
ATM IV28.5%24.0%31.1%26.9%28.3%
Expected Move8.3%8.0%8.6%8.1%8.1%
HV 20d32.8%29.8%39.3%30.6%39.3%
HV 60d28.9%25.9%31.5%25.9%31.2%
IV Rank46.8%27.3%58.5%39.9%38.6%
IV Percentile65.5%21.0%87.7%54.4%63.1%
Term Structure0.7%-0.6%2.3%-0.6%1.2%
VWIV28.5%18.9%39.3%25.2%29.3%
Skew 25d3.2%0.7%4.8%2.3%4.7%
Skew 10d7.5%2.8%16.2%2.8%14.4%
Call IV 25d27.5%23.4%30.8%25.6%26.0%
Put IV 25d30.7%25.2%34.3%27.9%30.7%
Bid-Ask Spread %19.7313.3524.6216.9822.21
Gamma HHI0.140.110.200.180.11
Net GEX765.0K-123.8K1.7M1.3M1.6M
Net DEX-997.0K-37.2M20.5M-19.1M-21.3M
Net VEX-305.4K-379.5K-269.2K-338.0K-329.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.172.081.400.69
Total Volume3,390.47637114,139538694
Total OI76,307.66764,63186,40164,63177,013

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$30.04$24.7426.9%8.1%30.6%39.9%25.2%2.3%-0.6%1.3M-19.1M-338.0K1.4016.9822431444,61120,020
2014-03-04$29.99$24.7425.8%8.1%29.9%35.2%29.4%3.6%-0.3%1.3M-18.7M-333.8K2.0816.0818638744,74520,127
2014-03-05$30.35$24.7424.0%8.1%29.9%27.3%0.0%0.7%1.6%1.5M-23.5M-340.6K0.4517.337,5963,45644,77520,468
2014-03-06$30.69$24.7424.1%8.0%29.8%27.6%0.0%1.8%1.4%1.7M-37.2M-379.5K0.1817.161,78532748,88123,324
2014-03-07$28.70$24.7428.2%8.0%39.2%45.8%25.7%4.7%-0.6%255.4K-4.4M-314.7K0.6120.602,9521,78748,74823,453
2014-03-10$27.69$24.7429.0%8.5%36.5%49.1%25.7%3.7%0.3%-120.3K10.8M-284.4K0.9013.352,0911,87849,64224,454
2014-03-11$27.16$24.7430.6%8.2%36.0%56.1%18.9%2.6%0.7%-123.8K16.8M-270.1K0.3420.883,0011,01549,86425,032
2014-03-12$27.42$24.7430.6%8.3%31.8%56.4%31.0%3.1%0.2%-48.9K11.0M-288.3K0.3624.626,9492,53051,51225,356
2014-03-13$27.36$29.6931.1%8.6%31.7%58.5%30.7%4.0%0.2%309.2K8.3M-315.6K0.2220.503,16668655,91427,199
2014-03-14$27.57$29.6930.5%8.5%31.6%55.8%0.0%3.4%0.5%505.1K5.4M-321.1K0.3416.991,18439957,72827,525
2014-03-17$27.39$29.6930.4%8.5%29.9%55.3%27.4%3.6%0.2%491.5K8.9M-307.0K0.1718.542,09335858,49627,823
2014-03-18$27.56$29.6929.1%8.4%30.3%49.6%28.9%3.3%1.2%397.9K9.2M-303.0K2.0518.8436274358,19327,953
2014-03-19$26.82$29.6930.1%8.4%30.7%54.3%26.2%2.0%1.4%458.5K20.5M-280.2K0.7623.351,10884558,17028,231
2014-03-20$26.84$29.6929.0%8.5%30.5%49.3%30.6%2.3%2.3%747.0K19.8M-271.1K1.0519.8134135857,67527,528
2014-03-21$27.13$29.6928.8%8.5%31.1%48.5%29.7%3.4%0.8%905.1K16.3M-282.1K0.8519.9185772457,65727,697
2014-03-24$27.13$29.6928.7%8.5%31.0%47.9%27.4%3.3%1.1%922.8K33.2K-269.2K0.4121.6093738747,58918,330
2014-03-25$27.71$29.6928.6%8.5%32.0%47.4%39.3%3.0%0.7%1.1M-7.4M-290.7K0.6518.308,5955,54447,85618,519
2014-03-26$26.86$29.6929.6%8.4%33.3%51.7%29.0%2.9%0.9%642.5K2.5M-281.4K1.0723.1968974153,07223,351
2014-03-27$27.34$29.6928.1%8.5%34.1%45.3%0.0%3.4%0.4%768.6K-8.8K-284.0K0.3621.762729953,31923,598
2014-03-28$28.73$29.6927.7%8.1%39.3%43.4%29.3%4.8%0.6%1.5M-18.8M-328.7K1.1522.241,6441,89653,40523,608
2014-03-31$28.81$29.6928.3%8.1%39.3%38.6%29.3%4.7%1.2%1.6M-21.3M-329.4K0.6922.2141028453,40523,608