SCCO Options History — April 2014

In April 2014, SCCO traded between $29.01 and $30.43. ATM implied volatility averaged 26.3%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 2.6% (HV 20d: 28.9%). Max pain ranged from $29.69 to $29.69. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2014-04-03: Highest Volume — 5,895 contracts
  • 2014-04-10: Largest IV spike — 14.3% change
  • 2014-04-29: Highest IV Rank — 47.5%
  • 2014-04-07: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.76$29.01$30.43$29.31$29.83
Max Pain$29.69$29.69$29.69$29.69$29.69
ATM IV26.3%24.3%29.3%25.8%25.7%
Expected Move8.1%7.9%8.2%8.2%7.9%
HV 20d28.9%20.2%39.9%39.9%20.4%
HV 60d30.8%30.3%31.3%31.1%30.8%
IV Rank31.9%17.1%47.5%24.7%37.3%
IV Percentile39.8%15.9%72.2%32.9%32.9%
Term Structure0.3%-1.5%2.6%2.0%-1.0%
VWIV28.2%24.0%31.0%28.3%30.1%
Skew 25d4.0%1.5%5.3%5.2%2.8%
Skew 10d8.1%3.1%16.8%8.1%3.1%
Call IV 25d25.7%23.9%27.5%24.3%24.6%
Put IV 25d29.8%27.5%32.3%29.5%27.5%
Bid-Ask Spread %21.3718.6226.7520.9126.75
Gamma HHI0.130.110.150.110.15
Net GEX1.8M1.5M2.1M1.8M1.9M
Net DEX-30.1M-42.7M-18.8M-28.4M-26.2M
Net VEX-312.5K-353.1K-285.8K-334.3K-299.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.052.350.740.47
Total Volume1,574.9054415,8953,407441
Total OI73,653.61963,43281,55578,70468,164

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$29.31$29.6925.8%8.2%39.9%24.7%28.3%5.2%2.0%1.8M-28.4M-334.3K0.7420.911,9571,45053,94624,758
2014-04-02$29.61$29.6926.1%8.1%39.9%26.2%26.2%5.3%1.8%2.0M-33.7M-353.1K0.5021.421,18259054,92126,005
2014-04-03$29.74$29.6924.9%8.2%39.7%19.9%28.3%4.7%2.6%2.0M-34.7M-349.6K0.0518.625,59629955,19226,363
2014-04-04$29.83$29.6925.6%8.2%31.2%23.5%24.4%4.0%-0.8%1.9M-36.4M-337.4K0.2220.232,01844250,64826,557
2014-04-07$30.01$29.6926.9%8.2%27.9%30.1%28.3%3.2%-0.7%1.9M-37.0M-326.6K0.6320.7648730950,47626,663
2014-04-08$30.29$29.6925.4%8.1%26.5%22.5%26.7%3.8%-0.9%2.0M-42.7M-332.2K0.4120.6973130250,49326,783
2014-04-09$30.38$29.6924.3%8.0%26.4%17.1%30.4%3.2%0.7%2.1M-42.6M-329.8K1.6221.5341367150,61026,700
2014-04-10$30.43$29.6927.8%8.1%26.3%34.8%27.2%4.2%-1.5%2.0M-42.1M-327.4K0.8220.4234928750,58427,070
2014-04-11$29.74$29.6928.6%8.1%28.2%38.8%27.8%5.0%-0.9%1.9M-32.7M-318.7K2.3519.7527865350,60127,181
2014-04-14$30.02$29.6928.2%8.2%27.9%37.1%30.0%3.9%-0.3%2.0M-36.5M-316.8K1.3521.5531943050,56827,508
2014-04-15$29.01$29.6929.3%8.1%31.1%42.4%30.1%4.8%-1.0%1.9M-19.7M-289.1K0.6221.931,7371,08250,63527,624
2014-04-16$29.54$29.6926.1%8.2%29.5%25.9%0.0%4.0%1.0%1.5M-27.6M-295.5K0.7521.2859544850,48527,600
2014-04-17$29.53$29.6925.7%8.2%29.5%24.1%28.1%3.8%1.7%1.5M-27.8M-294.0K0.5821.3876244250,73327,857
2014-04-21$29.44$29.6926.3%8.1%29.5%33.7%30.6%4.0%0.5%1.5M-18.8M-285.8K0.1125.668278945,11118,321
2014-04-22$29.80$29.6925.5%8.0%29.6%34.2%25.9%4.8%1.5%1.8M-24.5M-289.6K0.1519.812,47036845,49818,371
2014-04-23$29.70$29.6925.6%8.1%29.1%35.0%28.9%3.3%1.7%1.8M-23.9M-295.4K0.3520.7853018646,85718,495
2014-04-24$29.89$29.6926.1%7.9%26.0%40.3%24.0%4.5%0.2%1.9M-26.9M-299.5K0.2219.261,39230647,10818,621
2014-04-25$29.48$29.6925.1%8.0%26.5%33.0%29.7%3.8%1.1%1.7M-22.3M-294.7K0.4321.0045119647,88218,812
2014-04-28$29.35$29.6926.2%8.0%20.2%41.2%31.0%5.0%0.4%1.7M-20.2M-290.5K0.7522.1770753048,12418,877
2014-04-29$29.91$29.6927.0%8.0%21.2%47.5%29.0%1.5%-1.3%1.9M-27.1M-302.8K1.5722.9129245948,70319,221
2014-04-30$29.83$29.6925.7%7.9%20.4%37.3%30.1%2.8%-1.0%1.9M-26.2M-299.1K0.4726.7530014148,75219,412