SCCO Options History — January 2015

In January 2015, SCCO traded between $25.31 and $28.20. ATM implied volatility averaged 34.0%, placing in the 64.0% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 4.8% (HV 20d: 38.8%). Max pain ranged from $25.73 to $27.71. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 3.51.

Notable Days

  • 2015-01-14: Highest Volume — 19,888 contracts
  • 2015-01-14: Largest IV spike — 31.0% change
  • 2015-01-14: Highest IV Rank — 88.1%
  • 2015-01-14: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.97$25.31$28.20$28.20$26.98
Max Pain$26.62$25.73$27.71$27.71$25.73
ATM IV34.0%27.3%40.4%27.9%37.4%
Expected Move10.0%8.8%11.6%8.9%10.7%
HV 20d38.8%28.4%45.0%28.4%45.0%
HV 60d33.4%29.5%35.7%29.5%35.6%
IV Rank64.0%38.8%88.1%41.3%76.9%
IV Percentile92.2%66.3%99.6%76.6%97.2%
Term Structure-0.3%-1.3%2.7%2.7%0.3%
VWIV35.9%28.7%44.0%30.2%41.7%
Skew 25d7.4%4.5%11.2%5.9%6.4%
Skew 10d16.1%6.6%27.7%14.5%27.7%
Call IV 25d31.9%25.0%38.8%25.0%36.1%
Put IV 25d39.4%30.9%48.2%30.9%42.5%
Bid-Ask Spread %29.0023.5937.6326.9733.11
Gamma HHI0.140.100.210.140.11
Net GEX-257.6K-819.3K74.7K14.2K-285.0K
Net DEX10.8M-1.1M26.1M8.0M7.7M
Net VEX-132.7K-173.6K-91.3K-115.2K-173.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.510.5326.680.891.97
Total Volume4,685.6561219,8883,0433,552
Total OI45,435.138,41961,13138,64453,246

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$28.20$27.7127.9%8.9%28.4%41.3%30.2%5.9%2.7%14.2K8.0M-115.2K0.8926.971,6101,43322,29316,351
2015-01-05$26.76$27.7133.9%9.5%33.3%63.5%33.4%4.5%-0.9%-262.0K15.0M-103.0K2.9227.0218052522,20916,210
2015-01-06$26.79$27.7132.3%9.5%33.1%57.9%31.2%5.8%-0.8%-269.2K14.5M-102.1K0.7724.8549738222,17916,345
2015-01-07$27.26$27.7129.6%9.1%33.4%47.6%29.0%7.2%-0.4%-215.9K13.1M-104.2K0.5330.1840021222,17816,423
2015-01-08$28.05$27.7128.1%9.1%35.2%41.8%30.0%5.5%-0.2%39.8K8.4M-109.4K0.9823.591,3471,32622,55116,495
2015-01-09$28.11$27.7127.3%8.8%34.9%38.8%28.7%5.1%0.2%74.7K8.0M-109.8K0.7823.941,5721,22122,64716,625
2015-01-12$27.63$27.7128.5%8.8%35.2%43.7%29.5%5.2%0.3%-95.9K10.7M-104.1K0.8125.301,6271,32322,98916,693
2015-01-13$26.23$27.7130.8%9.8%38.5%52.2%35.7%5.9%-0.7%-392.4K18.6M-91.3K3.3728.121,9786,66223,01016,879
2015-01-14$25.31$27.7140.4%11.6%39.4%88.1%44.0%9.3%-0.9%-646.3K26.1M-103.3K4.3925.753,69116,19723,36921,869
2015-01-15$25.46$25.7340.2%11.5%37.7%87.3%40.4%8.2%-0.8%-819.3K24.8M-139.6K4.9131.542,11010,36025,05535,019
2015-01-16$26.81$25.7337.7%10.8%41.5%78.0%36.1%11.2%-0.1%-768.9K17.5M-144.0K1.5332.942,6464,05525,51435,617
2015-01-20$26.77$25.7337.7%10.8%39.6%78.0%36.8%7.2%-1.3%-174.1K5.2M-143.5K2.7729.815041,39712,88028,953
2015-01-21$27.52$25.7334.2%9.8%40.8%64.7%35.2%8.6%-0.2%-32.9K1.8M-145.9K1.2327.149411,15913,14529,660
2015-01-22$27.94$25.7334.6%9.9%40.5%66.3%37.4%8.8%-0.8%60.1K-1.1M-155.3K1.5431.521,7052,62213,74530,491
2015-01-23$26.82$25.7334.9%10.0%42.9%67.6%36.7%7.1%0.0%-65.5K3.4M-150.8K2.6224.811,2103,16914,62430,793
2015-01-26$27.38$25.7334.3%9.8%43.5%65.1%36.6%8.0%-0.4%-117.2K3.4M-159.9K2.2232.8841291314,65133,405
2015-01-27$26.70$25.7337.0%10.6%44.0%75.3%39.6%9.8%-0.9%-300.8K8.5M-163.5K26.6831.761624,31214,82133,989
2015-01-28$26.43$25.7336.9%10.6%44.1%74.8%42.4%7.6%-1.3%-409.6K10.2M-167.8K6.2137.639355,80114,86237,917
2015-01-29$26.35$25.7335.8%10.3%44.0%70.7%42.8%11.2%-0.4%-486.4K11.9M-167.6K3.1331.108632,70214,95638,044
2015-01-30$26.98$25.7337.4%10.7%45.0%76.9%41.7%6.4%0.3%-285.0K7.7M-173.6K1.9733.111,1942,35814,96738,279