SCCO Options History — May 2014

In May 2014, SCCO traded between $28.23 and $30.32. ATM implied volatility averaged 24.2%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 1.9% (HV 20d: 26.1%). 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 18 of 21 days. Put/call ratio averaged 1.77.

Notable Days

  • 2014-05-27: Highest Volume — 6,282 contracts
  • 2014-05-15: Largest IV spike — 43.6% change
  • 2014-05-13: Highest IV Rank — 64.3%
  • 2014-05-16: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.30$28.23$30.32$29.09$29.41
Max Pain$29.69$29.69$29.69$29.69$29.69
ATM IV24.2%16.9%29.1%26.3%23.2%
Expected Move7.8%7.7%8.0%7.9%7.7%
HV 20d26.1%22.0%28.6%22.1%27.0%
HV 60d29.9%27.7%31.4%31.2%30.1%
IV Rank37.1%0.0%64.3%42.1%37.4%
IV Percentile20.7%0.0%73.8%43.7%7.1%
Term Structure0.8%-0.4%1.8%0.1%0.9%
VWIV26.9%19.0%29.4%27.1%27.9%
Skew 25d3.0%1.2%4.7%2.8%2.7%
Skew 10d6.9%-3.4%11.7%11.7%7.0%
Call IV 25d23.6%21.1%25.5%25.5%24.0%
Put IV 25d26.6%23.7%28.2%28.2%26.7%
Bid-Ask Spread %23.4621.3426.1223.0324.96
Gamma HHI0.150.130.270.140.15
Net GEX1.9M1.2M3.3M1.6M1.9M
Net DEX-18.3M-39.9M-3.2M-16.4M-4.6M
Net VEX-281.6K-306.9K-255.6K-287.3K-306.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.1112.060.152.49
Total Volume2,054.3334166,2821,567642
Total OI69,359.42958,09774,94367,80572,275

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$29.09$29.6926.3%7.9%22.1%42.1%0.0%2.8%0.1%1.6M-16.4M-287.3K0.1523.031,36320448,56819,237
2014-05-02$29.13$29.6925.4%7.8%22.0%35.4%27.1%3.8%-0.4%1.7M-16.7M-282.6K0.5821.341,33577949,66519,303
2014-05-05$28.56$29.6927.5%7.8%22.9%51.4%27.9%1.7%-0.2%1.6M-11.3M-273.3K3.2522.343441,11650,72419,841
2014-05-06$28.40$29.6924.9%7.9%22.7%31.5%0.0%2.7%0.6%1.5M-8.4M-266.4K1.0223.2158459750,77720,443
2014-05-07$28.38$29.6925.3%7.9%22.3%34.0%28.6%3.6%1.5%1.3M-5.3M-260.9K0.5723.5259233651,08820,750
2014-05-08$28.36$29.6925.6%7.8%22.2%36.6%0.0%2.6%1.2%1.3M-4.7M-259.9K0.2723.2851414051,25920,912
2014-05-09$28.23$29.6923.7%7.7%22.1%21.9%26.4%3.8%0.7%1.2M-3.2M-255.6K3.6024.523201,15451,15521,001
2014-05-12$29.54$29.6922.8%8.0%27.0%14.6%19.0%3.6%-0.3%1.9M-23.3M-284.2K0.5521.922,7791,53651,28921,909
2014-05-13$29.14$29.6929.1%7.9%27.2%64.3%26.9%1.2%0.5%1.6M-17.2M-276.6K0.1922.891,84736051,70021,997
2014-05-14$30.32$29.6916.9%7.9%28.1%0.0%25.4%2.6%1.1%3.3M-39.9M-289.7K0.1122.073,90742152,78622,137
2014-05-15$29.74$29.6924.3%7.9%28.4%44.1%27.7%3.0%1.1%2.1M-29.3M-284.0K0.3423.3958719753,09721,846
2014-05-16$29.84$29.6924.5%8.0%28.4%45.8%29.3%2.5%0.9%1.9M-29.9M-277.4K0.1522.401,46522651,63221,724
2014-05-19$29.80$29.6923.6%7.7%28.4%40.2%0.0%4.7%1.2%1.9M-24.1M-274.3K0.1326.125,52874040,71717,380
2014-05-20$29.54$29.6923.6%7.8%28.2%39.9%28.2%2.0%1.8%2.3M-25.1M-290.6K1.6325.3225741745,96818,090
2014-05-21$29.58$29.6923.1%7.8%28.2%37.0%27.5%3.1%1.0%2.3M-24.0M-286.1K0.1424.5594213046,09118,431
2014-05-22$29.88$29.6923.5%7.7%28.4%39.4%29.4%3.8%0.4%2.4M-28.2M-292.3K0.1624.513595745,71018,609
2014-05-23$30.12$29.6923.4%7.8%28.0%38.8%27.1%2.6%1.0%2.6M-31.7M-293.2K0.9923.4122422145,75918,530
2014-05-27$29.63$29.6924.3%7.8%28.6%44.5%24.7%3.4%0.4%2.4M-24.8M-279.5K12.0622.184815,80145,70218,485
2014-05-28$29.21$29.6923.8%7.7%28.3%41.3%27.9%2.7%1.5%1.9M-8.4M-290.8K6.7922.443672,48945,90723,099
2014-05-29$29.47$29.6923.6%7.9%28.5%39.9%0.0%4.0%1.3%1.9M-7.2M-303.0K2.0725.225801,20345,85225,103
2014-05-30$29.41$29.6923.2%7.7%27.0%37.4%0.0%2.7%0.9%1.9M-4.6M-306.9K2.4924.9618445846,14426,131