SCCO Options History — November 2014

In November 2014, SCCO traded between $28.70 and $31.08. ATM implied volatility averaged 27.3%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 2.7% (HV 20d: 30.0%). Max pain ranged from $29.69 to $30.68. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.89.

Notable Days

  • 2014-11-21: Highest Volume — 7,792 contracts
  • 2014-11-28: Largest IV spike — 11.4% change
  • 2014-11-03: Highest IV Rank — 47.1%
  • 2014-11-18: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.76$28.70$31.08$29.06$29.64
Max Pain$30.52$29.69$30.68$30.68$29.69
ATM IV27.3%25.0%29.5%29.5%28.0%
Expected Move8.1%7.7%8.3%8.2%8.0%
HV 20d30.0%25.2%34.0%28.8%34.0%
HV 60d28.2%26.2%30.7%26.5%30.7%
IV Rank38.9%30.5%47.1%47.1%41.7%
IV Percentile75.8%47.6%93.3%93.3%83.3%
Term Structure-0.3%-1.6%0.7%-1.6%-1.5%
VWIV28.9%27.5%30.5%28.7%30.5%
Skew 25d4.2%1.6%5.9%1.6%3.6%
Skew 10d10.0%3.9%17.7%17.4%5.9%
Call IV 25d25.7%23.6%28.3%28.2%26.6%
Put IV 25d29.8%27.4%31.3%29.8%30.2%
Bid-Ask Spread %26.3420.1932.2027.3329.57
Gamma HHI0.160.100.290.100.23
Net GEX891.8K179.9K1.8M273.7K821.7K
Net DEX-3.5M-21.6M8.8M7.1M-1.2M
Net VEX-181.7K-193.1K-168.9K-181.7K-168.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.301.730.790.58
Total Volume2,895.8421207,7923,444565
Total OI51,558.15849,58153,13449,58150,968

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-11-03$29.06$30.6829.5%8.2%28.8%47.1%28.7%1.6%-1.6%273.7K7.1M-181.7K0.7927.331,9251,51927,87621,705
2014-11-04$28.81$30.6828.2%8.3%28.0%42.3%27.9%2.9%0.1%221.3K8.3M-178.3K0.6125.742,2371,37328,46421,875
2014-11-05$28.72$30.6827.9%8.1%27.6%41.0%27.9%2.0%-0.4%179.9K8.8M-176.8K0.8728.112,2621,96729,01121,995
2014-11-06$28.70$30.6827.8%8.3%25.2%40.9%27.5%3.2%-0.6%274.2K7.5M-181.5K0.9628.341,9741,88629,21822,041
2014-11-07$29.87$30.6827.1%8.0%28.7%38.1%28.8%5.9%-0.2%804.7K-3.3M-193.1K1.5923.791,6782,66129,34822,013
2014-11-10$29.57$30.6827.6%8.1%28.9%40.1%29.0%3.8%0.1%766.5K-2.9M-190.2K1.2925.071,4591,88829,46922,116
2014-11-11$29.91$30.6827.8%8.3%28.4%40.9%29.3%5.5%-0.6%907.7K-4.6M-186.7K1.3126.001,3111,72128,81621,687
2014-11-12$29.70$30.6827.7%8.1%28.6%40.3%28.9%3.7%-0.3%778.7K-2.8M-185.0K0.9324.131,8521,73129,73622,269
2014-11-13$29.02$30.6827.7%8.1%29.9%40.6%29.0%4.8%-0.3%434.0K3.8M-181.2K0.8524.151,5981,36430,27222,462
2014-11-14$30.22$30.6826.5%8.0%33.0%35.9%29.5%4.9%-1.0%1.1M-8.2M-186.7K0.5324.5634318230,34522,376
2014-11-17$30.05$30.6828.0%8.3%33.0%41.5%29.9%5.4%-0.1%1.1M-7.2M-183.9K0.8725.271,5711,36730,42822,503
2014-11-18$30.00$30.6828.2%8.3%29.7%42.4%29.5%5.3%-0.6%1.1M-6.4M-180.9K0.7924.351,8291,43830,42422,510
2014-11-19$29.55$30.6827.6%8.3%28.1%39.9%28.6%5.0%-0.4%897.2K-1.4M-174.6K0.3727.26883230,75222,382
2014-11-20$29.61$30.6826.9%8.2%28.0%37.6%29.7%5.0%0.7%970.9K-1.2M-169.4K1.0126.081,4031,42430,19322,150
2014-11-21$31.08$30.6826.3%8.1%32.6%35.3%28.7%5.2%0.5%1.8M-21.6M-180.8K0.3027.355,9761,81630,48522,177
2014-11-24$30.69$0.0025.7%7.9%32.8%32.9%28.5%4.3%-0.1%1.5M-14.0M-185.3K1.7320.1936262730,83719,176
2014-11-25$30.52$29.6925.0%7.8%32.6%30.5%28.8%2.9%0.7%1.5M-12.4M-183.9K1.0332.201,4141,46031,05019,599
2014-11-26$30.74$29.6925.2%7.7%31.3%31.0%27.7%4.0%0.6%1.6M-14.6M-184.2K0.5131.0047624231,13919,738
2014-11-28$29.64$29.6928.0%8.0%34.0%41.7%30.5%3.6%-1.5%821.7K-1.2M-168.9K0.5829.5735820731,20719,761