SCCO Options History — October 2014

In October 2014, SCCO traded between $27.82 and $30.03. ATM implied volatility averaged 30.7%, placing in the 63.3% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 2.0% (HV 20d: 28.7%). Max pain ranged from $30.68 to $31.67. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.95.

Notable Days

  • 2014-10-08: Highest Volume — 6,541 contracts
  • 2014-10-13: Largest IV spike — 29.7% change
  • 2014-10-10: Highest IV Rank — 100.0%
  • 2014-10-15: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.64$27.82$30.03$29.04$28.48
Max Pain$30.81$30.68$31.67$31.67$30.68
ATM IV30.7%25.9%43.6%28.3%25.9%
Expected Move8.3%7.9%9.2%8.1%8.0%
HV 20d28.7%20.0%31.7%30.3%28.0%
HV 60d24.6%22.9%26.3%22.9%26.1%
IV Rank63.3%33.7%100.0%70.3%33.7%
IV Percentile90.8%65.5%100.0%88.9%65.5%
Term Structure-0.6%-2.8%1.1%-0.1%1.1%
VWIV29.2%26.7%34.4%26.9%27.8%
Skew 25d4.4%2.1%7.8%2.2%3.9%
Skew 10d7.6%1.1%16.3%2.1%16.3%
Call IV 25d27.9%24.7%31.9%27.4%27.2%
Put IV 25d32.2%28.7%39.0%29.5%31.1%
Bid-Ask Spread %29.9722.0237.8725.3226.88
Gamma HHI0.130.100.220.120.11
Net GEX-55.7K-560.1K367.5K187.3K22.7K
Net DEX13.2M2.8M20.4M11.0M13.3M
Net VEX-185.4K-202.6K-170.9K-202.6K-171.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.225.271.560.78
Total Volume2,352.9134346,5411,2853,236
Total OI52,295.78343,35557,93254,74649,497

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$29.04$31.6728.3%8.1%30.3%70.3%26.9%2.2%-0.1%187.3K11.0M-202.6K1.5625.3250178431,21423,532
2014-10-02$28.73$31.6728.3%7.9%30.2%70.9%27.7%4.4%0.1%-21.8K14.8M-192.7K0.7523.2654440631,32623,562
2014-10-03$28.66$31.6727.7%8.0%30.0%69.7%26.7%3.8%-0.8%-62.5K15.5M-191.4K0.3524.0647416731,71623,644
2014-10-06$28.90$30.6828.7%8.1%29.6%76.0%27.0%3.6%-0.8%78.1K13.3M-191.4K0.2222.0254212131,96023,724
2014-10-07$28.34$30.6829.3%8.3%30.1%80.2%29.8%2.9%0.1%-180.4K17.1M-183.1K0.7024.1243130331,96023,794
2014-10-08$28.74$30.6829.9%8.2%30.8%86.5%28.8%5.4%0.1%-80.8K16.1M-185.2K0.5629.354,1872,35431,93523,978
2014-10-09$27.89$30.6831.6%8.6%31.6%97.6%0.0%2.1%-0.9%-376.9K20.4M-175.6K0.4227.4930512933,83424,098
2014-10-10$27.95$30.6833.6%8.8%31.7%100.0%31.3%3.7%-1.4%-374.0K20.4M-178.2K5.2732.152171,14632,05024,127
2014-10-13$27.82$30.6843.6%8.7%31.6%100.0%34.4%4.2%-2.8%-438.8K20.2M-182.8K0.7132.9529921132,03924,578
2014-10-14$28.38$30.6839.2%8.8%31.5%83.6%31.4%5.9%-1.3%-341.1K18.7M-186.9K1.1433.062,1742,47032,04724,586
2014-10-15$28.43$30.6839.9%9.2%31.6%86.0%32.3%7.4%-2.6%-560.1K17.4M-189.1K0.6737.872,9301,96632,65124,586
2014-10-16$28.33$30.6834.5%9.0%31.4%65.8%31.4%7.8%-2.0%-425.7K17.2M-184.8K0.8734.5836731931,70824,191
2014-10-17$28.52$30.6830.2%8.5%30.9%49.8%29.6%4.8%-0.7%-435.3K15.9M-184.1K0.7637.421,3621,03831,72024,224
2014-10-20$28.84$30.6829.7%8.4%20.0%47.9%30.6%5.4%0.2%-60.5K11.2M-179.8K0.8437.161,6351,37823,20420,151
2014-10-21$30.03$30.6828.3%8.2%24.6%42.6%28.7%7.0%-1.0%242.0K2.8M-189.0K0.2831.324,9751,41723,69320,238
2014-10-22$29.14$30.6828.7%8.3%26.4%44.1%28.3%2.9%0.9%367.5K3.8M-196.9K0.6829.421,8651,27526,77320,258
2014-10-23$28.94$30.6828.1%8.2%25.9%41.8%28.0%4.6%-0.1%282.0K6.8M-190.1K0.8931.821,3631,20727,19820,444
2014-10-24$28.96$30.6828.2%8.1%25.8%42.2%28.4%3.0%-1.3%296.4K6.7M-189.4K0.9834.931,4351,40327,30920,518
2014-10-27$28.70$30.6829.5%8.1%25.9%47.1%27.7%4.5%-1.1%180.6K9.3M-180.6K1.0626.5028730327,42120,740
2014-10-28$29.16$30.6827.5%8.0%26.6%39.7%29.7%3.3%-0.3%353.1K5.7M-187.7K0.4626.6366630827,50120,935
2014-10-29$28.52$30.6827.1%7.9%27.4%38.4%28.3%5.0%0.3%112.8K11.0M-179.5K1.1432.951,3251,51027,76221,137
2014-10-30$28.14$30.6828.2%8.3%27.6%42.3%28.3%2.5%-0.5%-46.3K14.3M-170.9K0.8427.961,5161,26627,82621,414
2014-10-31$28.48$30.6825.9%8.0%28.0%33.7%27.8%3.9%1.1%22.7K13.3M-171.6K0.7826.881,8161,42028,04121,456