SCCO Options History — December 2014

In December 2014, SCCO traded between $25.88 and $29.89. ATM implied volatility averaged 30.0%, placing in the 49.2% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 1.0% (HV 20d: 31.0%). Max pain ranged from $27.71 to $30.68. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.88.

Notable Days

  • 2014-12-02: Highest Volume — 6,086 contracts
  • 2014-12-12: Largest IV spike — 16.0% change
  • 2014-12-16: Highest IV Rank — 72.8%
  • 2014-12-16: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.12$25.88$29.89$29.52$27.91
Max Pain$28.79$27.71$30.68$29.69$27.71
ATM IV30.0%27.3%36.3%27.9%27.5%
Expected Move8.8%7.9%10.1%8.3%8.8%
HV 20d31.0%28.0%34.5%33.8%28.1%
HV 60d30.0%28.4%30.9%30.7%29.7%
IV Rank49.2%39.1%72.8%41.2%39.7%
IV Percentile88.0%70.2%98.8%82.5%70.2%
Term Structure0.8%-1.4%3.4%-0.3%3.4%
VWIV30.8%27.3%35.2%29.9%30.4%
Skew 25d4.1%2.3%7.0%4.2%3.8%
Skew 10d8.5%3.4%19.4%7.1%9.3%
Call IV 25d28.4%25.2%34.2%26.8%26.9%
Put IV 25d32.6%30.2%38.7%31.0%30.7%
Bid-Ask Spread %30.8423.4441.2431.7328.23
Gamma HHI0.160.120.300.220.13
Net GEX31.3K-592.0K797.9K779.2K17.3K
Net DEX9.8M-2.3M25.5M67.2K7.5M
Net VEX-131.6K-164.6K-107.1K-164.6K-117.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.231.711.171.71
Total Volume3,008.6362146,0863,008379
Total OI46,249.31837,07151,62151,34338,465

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$29.52$29.6927.9%8.3%33.8%41.2%29.9%4.2%-0.3%779.2K67.2K-164.6K1.1731.731,3831,62531,35619,987
2014-12-02$29.39$29.6927.6%7.9%33.2%39.9%29.5%2.9%-0.3%696.2K1.2M-160.6K0.3430.814,5561,53031,38220,018
2014-12-03$29.56$29.6927.5%8.2%33.1%39.9%27.3%3.4%-0.5%797.9K-673.7K-160.0K1.1528.621,3201,51531,67219,949
2014-12-04$29.71$29.6927.9%8.2%33.0%41.2%0.0%4.8%-0.2%578.1K-332.4K-156.6K0.2331.761744029,08220,096
2014-12-05$29.89$29.6927.8%8.2%33.1%40.9%27.7%5.1%0.5%703.6K-2.3M-156.7K1.2327.381,2841,58029,13920,127
2014-12-08$29.22$30.6829.5%8.1%31.0%47.4%28.4%4.1%0.4%399.0K3.2M-147.5K1.0128.051,3861,39329,18820,157
2014-12-09$29.01$30.6830.8%8.4%30.9%52.0%28.4%2.6%0.0%268.6K5.4M-143.8K1.0227.431,2521,27629,19320,140
2014-12-10$28.60$30.6831.3%8.6%30.9%53.9%29.4%3.6%0.4%-20.1K10.0M-136.1K1.1232.141,3091,46729,19720,269
2014-12-11$28.28$30.6828.5%8.4%31.0%43.6%29.7%2.3%0.7%-245.7K14.0M-131.8K1.0236.451,3461,37329,28920,356
2014-12-12$27.47$29.6933.1%9.5%31.5%60.8%31.5%2.4%0.1%-315.9K16.4M-125.9K0.9836.361,7541,71729,46220,209
2014-12-15$26.76$27.7134.3%9.7%28.1%65.3%34.6%2.9%0.1%-510.0K21.6M-117.6K1.3829.131,9322,66629,67220,283
2014-12-16$25.88$27.7136.3%10.1%29.8%72.8%35.1%4.7%-1.4%-592.0K25.5M-107.1K0.9723.442,3262,26229,80320,304
2014-12-17$26.45$27.7134.5%9.9%31.5%66.0%35.2%3.8%0.6%-567.7K23.2M-112.4K0.9734.192,1692,10030,33920,474
2014-12-18$27.35$27.7131.5%9.2%34.2%54.8%34.3%4.3%0.8%-498.5K18.5M-117.3K0.6926.682,7701,89930,14420,273
2014-12-19$27.57$27.7129.3%8.9%34.5%46.6%31.2%5.8%1.7%-545.3K16.2M-119.3K0.3329.501,61952730,38320,260
2014-12-22$27.06$27.7131.9%9.2%28.8%56.4%31.5%5.4%-0.6%-137.4K12.1M-118.3K0.7141.241,9851,40521,37915,692
2014-12-23$27.47$27.7128.9%9.0%29.8%45.1%30.8%4.3%1.9%-84.8K10.8M-120.0K0.6738.142,1551,43521,64715,806
2014-12-24$27.61$27.7127.3%8.9%30.0%39.1%31.4%7.0%2.5%-79.9K10.9M-119.0K0.6736.171,9601,30921,94415,979
2014-12-26$27.98$27.7128.6%8.8%30.4%44.0%31.0%5.0%2.2%13.8K7.7M-122.2K0.7229.531,6701,19421,93915,997
2014-12-29$27.95$27.7128.5%8.8%28.0%43.7%31.2%3.5%3.1%8.0K7.9M-120.2K0.8224.541,5221,24822,06416,088
2014-12-30$28.06$27.7129.5%8.9%28.1%47.2%29.1%5.5%1.4%24.9K7.3M-119.6K0.5327.0224713122,13716,145
2014-12-31$27.91$27.7127.5%8.8%28.1%39.7%30.4%3.8%3.4%17.3K7.5M-117.8K1.7128.2314023922,28316,182