SCCO Options History — June 2014

In June 2014, SCCO traded between $28.36 and $30.30. ATM implied volatility averaged 23.8%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 2.4% (HV 20d: 21.4%). 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 21 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2014-06-23: Highest Volume — 5,894 contracts
  • 2014-06-30: Largest IV spike — 9.6% change
  • 2014-06-17: Highest IV Rank — 47.1%
  • 2014-06-18: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.13$28.36$30.30$29.62$30.06
Max Pain$29.69$29.69$29.69$29.69$29.69
ATM IV23.8%22.4%24.8%23.8%24.5%
Expected Move7.8%7.6%7.9%7.8%7.7%
HV 20d21.4%14.0%27.5%27.1%22.6%
HV 60d25.2%23.3%30.0%30.0%23.6%
IV Rank41.3%32.9%47.1%41.1%45.8%
IV Percentile16.8%3.6%29.8%14.3%29.4%
Term Structure1.4%0.3%2.3%1.4%0.3%
VWIV27.6%23.9%29.2%27.4%26.8%
Skew 25d3.0%1.1%5.4%3.4%5.4%
Skew 10d6.9%2.8%10.3%9.5%9.4%
Call IV 25d23.1%21.2%24.4%23.5%21.6%
Put IV 25d26.0%24.6%27.8%27.0%27.0%
Bid-Ask Spread %23.9921.4027.3721.4024.59
Gamma HHI0.180.130.470.160.18
Net GEX1.5M614.0K4.0M2.0M1.0M
Net DEX10.5M-6.8M19.6M-6.8M10.3M
Net VEX-274.2K-308.5K-239.7K-305.7K-282.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.172.771.860.30
Total Volume1,516.5242225,8942,035966
Total OI73,473.8161,22479,25472,68968,283

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$29.62$29.6923.8%7.8%27.1%41.1%27.4%3.4%1.4%2.0M-6.8M-305.7K1.8621.407101,32546,19926,490
2014-06-03$29.45$29.6923.3%7.8%26.1%38.3%29.2%2.8%1.8%2.0M-3.1M-308.5K1.1622.3350258146,63927,606
2014-06-04$28.90$29.6924.8%7.8%27.0%47.0%29.0%3.1%0.4%1.6M7.7M-286.9K0.8821.4159252146,76427,967
2014-06-05$28.96$29.6924.3%7.8%27.0%44.5%0.0%1.9%1.0%1.7M6.4M-295.8K2.7722.3913336946,69628,276
2014-06-06$28.59$29.6922.9%7.7%27.5%35.8%28.9%2.4%1.9%1.5M11.8M-279.1K1.9525.0824147146,73128,421
2014-06-09$28.81$29.6923.7%7.8%27.5%40.7%28.3%3.0%1.5%1.5M12.6M-271.2K0.7924.5445936446,71028,647
2014-06-10$28.76$29.6922.9%7.7%21.9%36.0%28.4%1.6%2.2%1.5M12.8M-268.6K0.2124.2363713646,98128,828
2014-06-11$28.64$29.6924.1%7.7%21.4%43.1%28.8%1.1%1.7%1.5M14.0M-261.1K0.3824.2269626247,31128,874
2014-06-12$28.36$29.6924.6%7.8%15.2%45.9%25.0%2.8%1.6%1.3M18.9M-249.8K1.4725.6055681547,64528,888
2014-06-13$28.43$29.6924.3%7.8%14.1%44.7%0.0%4.1%2.3%1.2M19.5M-251.0K1.3425.1926034947,82929,567
2014-06-16$28.45$29.6924.8%7.8%14.0%47.0%26.9%2.3%1.7%1.2M18.3M-244.1K0.1724.7679413447,85029,588
2014-06-17$28.51$29.6924.8%7.8%14.1%47.1%28.3%4.3%1.3%1.2M19.6M-239.7K0.5223.3559630948,45629,675
2014-06-18$29.46$29.6924.6%7.9%18.6%46.4%23.9%5.0%1.9%2.4M1.2M-266.2K1.0024.101,3941,40048,75929,832
2014-06-19$29.25$29.6923.6%7.8%18.7%40.5%27.1%2.2%1.3%2.2M5.7M-264.8K0.6522.991,9331,25547,35129,865
2014-06-20$29.51$29.6923.3%7.7%18.7%38.4%28.6%3.4%2.0%4.0M5.6M-268.2K0.3824.081,80768948,44230,812
2014-06-23$30.30$29.6923.8%7.8%20.8%41.1%28.6%3.0%1.0%835.6K5.8M-289.2K0.4223.094,1491,74535,13926,085
2014-06-24$29.47$29.6923.5%7.7%22.4%39.3%25.6%2.9%1.0%708.3K12.2M-281.3K0.4523.332,4911,11637,95827,498
2014-06-25$29.38$29.6923.3%7.6%21.8%38.1%28.1%1.2%1.1%635.0K16.3M-283.1K0.4323.9038916839,47128,430
2014-06-26$29.40$29.6922.6%7.7%21.5%34.0%29.1%3.3%1.1%614.0K16.7M-280.7K0.7327.371289439,60928,495
2014-06-27$29.44$29.6922.4%7.6%21.5%32.9%26.4%3.4%1.9%646.5K16.0M-281.3K0.4525.802159639,70528,578
2014-06-30$30.06$29.6924.5%7.7%22.6%45.8%26.8%5.4%0.3%1.0M10.3M-282.5K0.3024.5974222439,70528,578