SCCO Options History — July 2014

In July 2014, SCCO traded between $30.31 and $33.19. ATM implied volatility averaged 24.6%, placing in the 45.9% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 0.8% (HV 20d: 23.8%). Max pain ranged from $29.69 to $33.65. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.83.

Notable Days

  • 2014-07-02: Highest Volume — 10,313 contracts
  • 2014-07-03: Largest IV spike — 10.0% change
  • 2014-07-17: Highest IV Rank — 60.3%
  • 2014-07-09: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.46$30.31$33.19$30.31$32.52
Max Pain$30.19$29.69$33.65$29.69$30.68
ATM IV24.6%20.7%27.0%22.8%24.2%
Expected Move7.6%7.3%7.9%7.7%7.4%
HV 20d23.8%18.5%26.0%22.7%18.5%
HV 60d24.2%23.0%25.6%23.7%23.0%
IV Rank45.9%22.7%60.3%35.4%43.9%
IV Percentile32.5%0.4%63.5%6.0%24.2%
Term Structure0.0%-1.6%2.8%0.7%0.6%
VWIV26.4%23.0%29.2%26.0%28.0%
Skew 25d3.0%1.1%5.9%1.8%5.9%
Skew 10d7.1%1.5%12.7%12.2%7.5%
Call IV 25d23.5%21.2%25.4%22.2%22.8%
Put IV 25d26.5%24.0%28.7%24.0%28.7%
Bid-Ask Spread %27.0321.9535.3122.2632.63
Gamma HHI0.180.150.260.190.15
Net GEX2.7M1.4M4.8M1.5M1.4M
Net DEX-43.1M-74.6M1.3M1.3M-28.1M
Net VEX-350.9K-378.1K-301.8K-301.8K-324.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.043.840.583.84
Total Volume2,516.72742310,3131,7461,195
Total OI79,370.04568,91089,54568,91075,312

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$30.31$29.6922.8%7.7%22.7%35.4%26.0%1.8%0.7%1.5M1.3M-301.8K0.5822.261,10664040,18828,722
2014-07-02$31.27$29.6920.7%7.5%23.6%22.7%26.2%3.0%2.8%2.0M-13.5M-317.4K0.1721.958,7871,52640,63028,835
2014-07-03$32.37$29.6922.8%7.6%26.0%35.1%29.2%3.8%1.3%3.0M-50.0M-366.8K0.1723.265,20486047,74429,588
2014-07-07$32.89$29.6924.7%7.7%25.3%46.7%25.7%2.7%0.1%3.5M-66.7M-370.2K0.1723.022,23337751,18030,019
2014-07-08$33.19$29.6924.3%7.5%25.3%44.1%26.7%2.6%-0.5%3.6M-74.3M-371.1K0.3722.502,19580252,28230,208
2014-07-09$33.15$29.6924.7%7.9%25.3%46.7%27.3%4.6%-1.6%3.8M-74.6M-374.4K0.3727.031,68362953,49830,696
2014-07-10$32.83$29.6925.8%7.8%25.7%53.4%27.2%3.1%-0.5%4.0M-66.6M-378.1K3.7527.124081,52954,32731,154
2014-07-11$32.64$29.6925.3%7.7%25.3%50.3%26.7%2.6%0.2%4.2M-61.0M-374.2K0.3728.861,90670754,38531,996
2014-07-14$32.76$29.6925.2%7.7%25.3%49.7%27.0%3.4%-0.6%4.3M-64.6M-368.2K0.2627.7696325155,33532,425
2014-07-15$32.47$29.6924.9%7.8%25.9%47.8%25.7%1.7%-0.5%4.8M-59.8M-365.7K3.2128.201,0883,49855,39032,517
2014-07-16$32.82$29.6924.9%7.7%25.8%48.2%0.0%3.3%0.1%4.5M-62.9M-366.8K0.1627.953,79861854,94534,600
2014-07-17$32.17$29.6927.0%7.7%25.7%60.3%0.0%2.0%-1.3%3.9M-43.2M-358.7K0.0924.942,21819553,05234,212
2014-07-18$31.99$29.6925.8%7.6%25.6%53.2%24.2%1.4%-0.8%3.0M-37.3M-347.2K0.0427.724,80721452,06634,292
2014-07-21$32.11$0.0025.5%7.6%25.5%51.6%0.0%3.6%-0.9%1.4M-19.6M-345.7K0.7823.5047637143,29430,284
2014-07-22$32.29$0.0024.9%7.3%24.1%47.9%24.9%3.5%0.2%1.5M-25.4M-350.3K0.4035.3137915243,52430,467
2014-07-23$32.68$33.6524.7%7.3%21.3%46.9%26.1%3.2%0.3%1.6M-32.0M-350.4K0.5129.5446824043,81330,514
2014-07-24$32.91$30.6824.3%7.4%21.1%44.5%0.0%1.1%-0.1%1.7M-39.4M-344.2K0.5129.9999550943,91330,594
2014-07-25$32.89$30.6824.2%7.3%21.2%43.6%23.0%4.0%1.0%1.7M-36.2M-347.7K0.5526.3241522744,12430,695
2014-07-28$32.84$30.6825.2%7.3%21.3%49.8%0.0%2.8%0.4%1.6M-36.2M-335.5K0.8524.0130826144,10930,835
2014-07-29$32.49$30.6824.1%7.4%21.2%43.2%28.3%3.4%0.4%1.5M-30.3M-332.2K0.6126.4426316044,12531,024
2014-07-30$32.47$30.6824.3%7.3%21.2%44.2%0.0%2.4%-0.6%1.5M-27.5M-329.6K0.5034.4047323444,17831,050
2014-07-31$32.52$30.6824.2%7.4%18.5%43.9%28.0%5.9%0.6%1.4M-28.1M-324.3K3.8432.6324794844,19531,117