SCCO Options History — September 2014

In September 2014, SCCO traded between $29.20 and $32.58. ATM implied volatility averaged 23.9%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 0.0% (HV 20d: 23.9%). Max pain ranged from $31.67 to $33.65. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2014-09-19: Highest Volume — 5,642 contracts
  • 2014-09-22: Largest IV spike — 15.0% change
  • 2014-09-22: Highest IV Rank — 61.4%
  • 2014-09-29: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.07$29.20$32.58$32.12$29.34
Max Pain$33.08$31.67$33.65$32.66$31.67
ATM IV23.9%20.5%26.9%22.7%26.0%
Expected Move7.4%7.1%7.7%7.3%7.7%
HV 20d23.9%18.8%31.7%20.1%30.5%
HV 60d22.4%20.1%25.3%21.4%23.0%
IV Rank43.1%22.5%61.4%35.5%56.3%
IV Percentile32.1%0.4%74.6%7.9%67.9%
Term Structure1.2%0.1%2.5%1.0%0.9%
VWIV25.7%24.2%27.3%24.9%25.2%
Skew 25d2.6%0.6%4.8%0.6%2.9%
Skew 10d5.5%-3.1%13.1%1.4%5.9%
Call IV 25d23.7%21.4%26.7%23.0%26.7%
Put IV 25d26.3%23.5%30.0%23.5%29.5%
Bid-Ask Spread %27.6824.8232.1224.8229.98
Gamma HHI0.180.130.320.160.13
Net GEX840.9K221.9K2.3M931.1K374.4K
Net DEX-7.3M-30.7M8.3M-20.6M8.0M
Net VEX-233.0K-268.7K-190.8K-268.7K-205.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.132.691.040.95
Total Volume2,083.7144575,6421,354942
Total OI70,384.90546,80584,67276,79954,033

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$32.12$32.6622.7%7.3%20.1%35.5%24.9%0.6%1.0%931.1K-20.6M-268.7K1.0424.8266469045,19931,600
2014-09-03$32.30$33.6521.6%7.3%20.1%28.7%25.1%0.8%1.7%1.1M-25.7M-266.7K0.4425.9154223945,29131,796
2014-09-04$32.45$33.6521.1%7.1%18.9%25.8%0.0%3.1%1.6%1.1M-27.4M-262.4K1.3724.8330742045,24531,875
2014-09-05$32.58$33.6520.5%7.2%18.8%22.5%0.0%2.7%1.3%1.2M-30.7M-257.4K0.9626.7532831645,35031,688
2014-09-08$31.81$33.6522.5%7.2%20.7%34.4%24.2%1.3%1.7%679.3K-12.6M-243.2K2.6925.554201,12945,43531,695
2014-09-09$31.62$33.6523.1%7.3%20.8%38.0%27.3%2.1%1.2%612.6K-6.5M-239.4K0.2328.952,63261645,43031,637
2014-09-10$31.29$33.6523.3%7.2%20.7%39.6%24.3%2.8%1.3%591.9K826.8K-239.2K0.1526.434,39666047,18931,751
2014-09-11$31.65$33.6523.4%7.3%20.2%39.9%25.2%4.2%2.0%1.1M-11.0M-250.7K0.5330.7769036749,47431,875
2014-09-12$31.60$33.6523.0%7.3%19.9%37.9%25.0%2.1%1.5%1.1M-7.6M-244.5K1.3929.048031,12049,28332,048
2014-09-15$31.52$33.6524.1%7.2%19.8%44.3%25.4%2.3%0.8%1.0M-2.2M-238.4K0.3926.0793936249,44732,727
2014-09-16$32.20$33.6523.5%7.1%20.8%40.7%26.8%1.6%1.2%561.3K-23.9M-245.8K0.3829.753,6771,38449,66932,734
2014-09-17$31.87$33.6524.0%7.2%20.7%43.7%25.3%1.3%0.9%1.3M-12.4M-237.3K1.1732.1241047851,20933,463
2014-09-18$32.04$33.6523.4%7.5%20.8%40.1%25.7%1.9%2.5%2.3M-22.1M-231.2K0.4929.691,32965050,56130,994
2014-09-19$31.27$33.6523.4%7.2%21.7%39.8%26.1%2.8%1.4%1.3M-905.8K-217.8K0.9125.522,9592,68351,08631,066
2014-09-22$29.20$33.6526.9%7.6%31.4%61.4%27.3%2.6%0.9%221.9K8.3M-190.8K1.5430.591,4982,30927,45319,352
2014-09-23$29.43$32.6625.4%7.7%31.7%52.7%25.8%3.0%0.1%273.2K7.9M-206.3K0.1329.972,27929028,31520,938
2014-09-24$29.85$31.6725.9%7.6%30.8%55.4%26.8%3.8%1.3%690.4K3.2M-216.8K0.9026.031,1901,07730,28021,081
2014-09-25$29.34$31.6725.6%7.7%31.0%53.5%26.0%3.8%0.7%415.3K7.6M-210.8K1.6725.286741,12730,23222,017
2014-09-26$29.46$31.6725.9%7.7%31.1%55.3%25.7%3.5%0.6%431.3K7.3M-211.2K0.5226.7630015730,56623,101
2014-09-29$29.54$31.6726.5%7.7%30.6%59.3%26.0%4.8%0.1%469.1K7.1M-209.2K0.3026.4254216330,74823,150
2014-09-30$29.34$31.6726.0%7.7%30.5%56.3%25.2%2.9%0.9%374.4K8.0M-205.1K0.9529.9848445830,83123,202