SCCO Options History — August 2014

In August 2014, SCCO traded between $31.03 and $32.78. ATM implied volatility averaged 23.8%, placing in the 42.0% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 5.4% (HV 20d: 18.4%). Max pain ranged from $30.68 to $32.66. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.93.

Notable Days

  • 2014-08-12: Highest Volume — 9,735 contracts
  • 2014-08-26: Largest IV drop — 10.9% change
  • 2014-08-06: Highest IV Rank — 59.4%
  • 2014-08-12: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.87$31.03$32.78$31.99$32.47
Max Pain$31.39$30.68$32.66$30.68$32.66
ATM IV23.8%21.2%26.8%25.7%21.2%
Expected Move7.4%7.1%7.8%7.6%7.1%
HV 20d18.4%15.1%22.1%15.1%21.7%
HV 60d21.5%20.4%23.8%23.3%21.5%
IV Rank42.0%26.5%59.4%52.5%26.5%
IV Percentile24.2%1.2%63.1%49.6%1.2%
Term Structure0.6%-0.5%1.4%0.7%1.3%
VWIV25.5%21.3%28.7%23.1%24.3%
Skew 25d2.4%-0.5%4.9%-0.5%3.3%
Skew 10d5.9%-0.0%11.1%-0.0%4.2%
Call IV 25d24.0%20.0%26.3%26.3%20.0%
Put IV 25d26.4%23.2%29.1%25.8%23.2%
Bid-Ask Spread %28.8025.4734.4630.2931.08
Gamma HHI0.180.140.260.150.16
Net GEX609.4K-457.1K1.5M1.4M1.1M
Net DEX-8.4M-30.8M15.7M-17.4M-27.1M
Net VEX-297.6K-328.0K-269.2K-326.8K-280.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.082.851.100.45
Total Volume2,387.0953749,735376885
Total OI74,809.66766,43478,20676,21676,522

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$31.99$30.6825.7%7.6%15.1%52.5%23.1%-0.5%0.7%1.4M-17.4M-326.8K1.1030.2917919744,24731,969
2014-08-04$32.78$30.6826.1%7.5%16.6%55.0%27.3%3.3%-0.2%1.5M-30.8M-324.7K0.5728.9954731044,24832,078
2014-08-05$32.55$31.6725.4%7.7%16.4%50.8%26.6%2.0%-0.3%1.5M-28.8M-328.0K0.2231.1179317444,32032,306
2014-08-06$31.93$31.6726.8%7.7%17.6%59.4%0.0%2.8%0.6%1.4M-16.3M-319.4K2.8527.804551,29644,55032,335
2014-08-07$31.76$31.6725.5%7.6%17.4%51.3%0.0%3.5%0.2%1.2M-9.4M-315.3K1.0229.4157658744,50233,270
2014-08-08$31.62$31.6724.2%7.6%17.4%43.6%0.0%1.7%-0.5%1.2M-7.7M-310.6K1.6927.1913923544,41033,311
2014-08-11$31.75$31.6725.8%7.8%17.4%53.4%28.7%0.6%0.8%1.3M-11.5M-303.8K0.4127.9359324044,47033,415
2014-08-12$32.09$30.6824.6%7.8%17.7%46.4%27.9%3.2%0.8%1.2M-18.8M-304.3K0.1032.038,82990644,79133,415
2014-08-13$31.52$30.6823.2%7.7%18.2%37.6%26.3%2.5%0.6%-243.9K7.0M-290.9K0.4228.551,32255939,83633,740
2014-08-14$31.24$30.6824.6%7.5%17.1%46.0%24.0%3.6%-0.3%-298.8K12.6M-285.0K0.5328.0757930940,25633,501
2014-08-15$31.43$30.6823.9%7.4%17.3%43.5%0.0%3.9%0.5%-457.1K10.2M-278.3K0.1326.521,76623140,38733,407
2014-08-18$31.82$30.6824.0%7.4%17.8%43.6%25.3%1.7%1.3%-173.5K1.6M-287.9K0.0834.464,61735935,36931,065
2014-08-19$31.47$30.6822.8%7.3%18.0%36.3%0.0%0.5%1.1%116.9K4.0M-287.1K0.4527.3754424438,45731,256
2014-08-20$31.57$30.6822.5%7.3%17.4%34.5%24.1%0.9%0.8%102.6K2.6M-284.7K2.5227.7830577038,75431,345
2014-08-21$31.03$30.6822.5%7.3%18.0%34.4%25.2%2.9%1.0%-214.0K15.7M-269.2K0.5725.471,64793838,91231,869
2014-08-22$31.73$30.6822.8%7.3%20.1%36.7%26.7%2.5%0.3%210.4K-199.0K-291.7K0.8130.254,1633,38439,45132,053
2014-08-25$31.60$32.6623.8%7.3%20.1%42.6%26.4%2.5%0.5%-57.1K-495.0K-291.3K0.0828.041,62213741,73334,296
2014-08-26$32.33$32.6621.2%7.2%21.6%26.6%21.3%4.9%1.4%122.2K-15.8M-295.3K1.4530.362,2503,27243,08934,300
2014-08-27$32.47$32.6621.4%7.1%21.7%27.9%24.2%2.4%1.3%937.7K-25.9M-292.7K1.4825.741,1971,77344,68332,468
2014-08-28$32.10$32.6622.4%7.3%22.1%33.8%26.1%2.5%1.2%905.2K-19.7M-282.9K2.4826.3034585544,89031,727
2014-08-29$32.47$32.6621.2%7.1%21.7%26.5%24.3%3.3%1.3%1.1M-27.1M-280.3K0.4531.0860927645,02831,494