SCCO Options History — February 2015

In February 2015, SCCO traded between $27.09 and $30.39. ATM implied volatility averaged 31.5%, placing in the 54.7% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 5.4% (HV 20d: 36.9%). Max pain ranged from $25.73 to $28.70. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 2.22.

Notable Days

  • 2015-02-11: Highest Volume — 14,714 contracts
  • 2015-02-05: Largest IV drop — 14.0% change
  • 2015-02-02: Highest IV Rank — 79.0%
  • 2015-02-02: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.41$27.09$30.39$27.09$29.47
Max Pain$27.56$25.73$28.70$25.73$27.71
ATM IV31.5%25.1%38.0%38.0%25.1%
Expected Move9.1%7.2%10.9%10.9%7.2%
HV 20d36.9%26.5%45.1%44.9%26.5%
HV 60d35.8%33.9%37.4%35.6%33.9%
IV Rank54.7%30.8%79.0%79.0%30.8%
IV Percentile81.4%34.5%98.0%98.0%34.5%
Term Structure-0.2%-1.7%1.6%-0.2%1.4%
VWIV34.2%27.1%44.2%38.6%27.7%
Skew 25d8.1%5.4%11.1%9.6%6.7%
Skew 10d19.4%12.1%27.8%22.6%17.4%
Call IV 25d28.5%23.4%33.1%33.1%23.4%
Put IV 25d36.6%30.1%42.7%42.7%30.1%
Bid-Ask Spread %26.5521.0236.8533.4028.40
Gamma HHI0.130.100.190.110.15
Net GEX376.6K-144.4K733.0K-144.4K294.9K
Net DEX-6.3M-14.2M4.5M4.5M1.0M
Net VEX-223.8K-262.9K-157.4K-157.4K-245.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.220.2210.532.771.79
Total Volume4,287.47434514,7141,9923,020
Total OI64,991.68453,65572,89653,65566,604

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-02-02$27.09$25.7338.0%10.9%44.9%79.0%38.6%9.6%-0.2%-144.4K4.5M-157.4K2.7733.405281,46415,35638,299
2015-02-03$28.60$25.7334.6%9.9%45.0%66.5%35.3%8.0%-0.9%119.4K-3.6M-164.3K1.5632.182,9894,67515,54838,754
2015-02-04$28.96$25.7335.3%10.1%45.1%69.1%34.6%7.3%-0.3%340.8K-6.7M-190.5K1.7236.852,1853,76017,06540,914
2015-02-05$29.37$27.7130.4%9.5%45.0%50.6%41.4%11.1%-1.6%423.1K-9.6M-196.5K3.6224.101,3114,74517,76241,615
2015-02-06$28.81$27.7132.4%9.8%44.7%58.0%44.2%9.7%-1.7%342.0K-5.2M-198.2K2.7224.439802,66517,87242,736
2015-02-09$29.28$27.7133.2%9.5%45.0%61.0%43.5%10.1%-1.7%401.1K-8.9M-193.3K2.9326.558422,46417,99742,847
2015-02-10$29.20$27.7134.3%9.7%44.5%65.1%34.3%8.9%-0.6%675.5K-11.6M-172.0K2.7622.861,1273,10518,07042,874
2015-02-11$28.98$27.7134.0%9.8%39.8%64.1%35.8%9.3%-1.3%519.6K-7.7M-184.1K10.5327.541,27613,43818,23342,850
2015-02-12$29.79$27.7131.5%9.0%37.4%54.7%31.1%9.1%1.2%494.0K-8.0M-262.9K1.2823.371,7442,23318,11753,529
2015-02-13$30.09$27.7131.2%8.9%37.4%53.6%32.1%7.6%-0.1%607.4K-12.7M-260.1K1.4221.971,4762,09318,64653,764
2015-02-17$30.12$27.7132.6%9.3%33.8%58.8%33.6%8.2%-0.5%600.4K-13.3M-257.4K1.3324.481,3941,85418,78853,967
2015-02-18$30.39$27.7130.6%8.8%33.7%51.2%33.3%8.3%-0.7%624.2K-14.2M-255.9K0.9434.272,0201,89518,88554,011
2015-02-19$29.87$27.7131.6%9.1%33.7%55.2%34.6%6.6%-0.9%733.0K-9.7M-254.2K0.7322.9120014518,23353,863
2015-02-20$29.89$27.7130.7%8.8%33.5%51.8%30.9%6.3%0.1%116.4K-10.4M-250.4K0.2224.241,89041918,16153,958
2015-02-23$29.76$28.7030.2%8.7%29.3%49.9%29.6%8.6%-0.5%216.9K-192.2K-254.6K0.9026.502,0831,88415,29550,739
2015-02-24$29.77$28.7028.3%8.1%28.8%42.9%32.7%6.5%1.6%162.2K-746.8K-257.6K1.6023.861,3242,12215,48350,894
2015-02-25$29.79$28.7027.4%7.8%26.7%39.2%28.6%5.4%1.3%287.7K-885.4K-248.6K1.5121.021,2511,89015,50851,154
2015-02-26$29.58$27.7127.1%7.8%26.5%38.3%27.1%6.0%0.8%341.1K-1.3M-248.7K1.8825.621,0331,93815,56550,886
2015-02-27$29.47$27.7125.1%7.2%26.5%30.8%27.7%6.7%1.4%294.9K1.0M-245.6K1.7928.401,0821,93815,63250,972