SCCO Options History — March 2015

In March 2015, SCCO traded between $28.04 and $30.08. ATM implied volatility averaged 28.8%, placing in the 44.4% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 8.5% (HV 20d: 20.3%). Max pain ranged from $27.71 to $28.70. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.45.

Notable Days

  • 2015-03-31: Highest Volume — 4,695 contracts
  • 2015-03-10: Largest IV spike — 14.0% change
  • 2015-03-10: Highest IV Rank — 64.0%
  • 2015-03-10: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.05$28.04$30.08$29.50$28.92
Max Pain$28.57$27.71$28.70$27.71$28.70
ATM IV28.8%25.6%34.0%27.0%28.7%
Expected Move8.2%7.3%9.0%7.7%8.2%
HV 20d20.3%16.6%29.1%25.6%29.1%
HV 60d33.0%31.6%34.2%33.8%34.0%
IV Rank44.4%32.6%64.0%37.7%44.3%
IV Percentile67.7%39.7%90.5%53.2%73.4%
Term Structure0.9%-0.9%2.6%1.4%-0.0%
VWIV29.7%26.2%35.5%29.7%32.5%
Skew 25d6.6%4.2%9.0%7.1%6.9%
Skew 10d18.1%9.5%27.5%15.5%17.0%
Call IV 25d26.2%23.8%28.7%25.2%25.2%
Put IV 25d32.8%29.2%36.4%32.2%32.2%
Bid-Ask Spread %26.1919.8535.3824.9330.81
Gamma HHI0.170.140.600.150.14
Net GEX264.3K-438.8K4.1M294.1K-173.2K
Net DEX5.8M-4.3M14.4M1.3M10.8M
Net VEX-234.8K-245.1K-225.0K-240.5K-230.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.094.641.821.95
Total Volume1,967.1821494,6953,4174,695
Total OI60,203.09139,24271,91366,80943,336

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$29.50$27.7127.0%7.7%25.6%37.7%29.7%7.1%1.4%294.1K1.3M-240.5K1.8224.931,2102,20715,75951,050
2015-03-03$29.27$27.7127.6%7.9%26.0%40.1%28.4%6.7%-0.9%263.1K2.1M-244.2K1.7219.851,1682,00515,92151,340
2015-03-04$29.55$27.7127.8%8.0%18.2%40.7%35.5%9.0%0.1%297.5K2.6M-245.1K1.2323.611,7332,12915,96651,498
2015-03-05$29.13$28.7028.9%8.4%18.6%45.2%27.4%7.0%1.3%245.6K3.0M-242.4K1.0627.381,7171,82216,65251,560
2015-03-06$28.55$28.7028.6%8.5%19.1%44.0%29.8%7.1%0.4%19.7K8.2M-243.7K1.1125.641,8292,03516,68451,632
2015-03-09$28.60$28.7029.8%8.5%17.9%48.4%34.1%8.0%1.1%-37.8K8.9M-239.7K0.8728.2311810316,62351,654
2015-03-10$28.04$28.7034.0%9.0%18.1%64.0%29.7%7.7%1.1%-252.8K11.6M-232.5K1.2024.4414417316,65551,719
2015-03-11$28.61$28.7030.9%8.9%19.8%52.4%31.0%6.7%-0.6%-30.0K9.1M-237.2K0.9924.6131130916,72251,793
2015-03-12$28.91$28.7030.0%8.6%20.0%49.2%28.4%6.6%1.0%162.1K5.5M-235.7K0.1526.304957616,80751,798
2015-03-13$28.68$28.7029.7%8.5%17.3%47.8%32.4%6.5%1.6%16.8K8.2M-230.6K2.0629.696331,30117,08451,794
2015-03-16$28.69$28.7030.3%8.7%16.7%50.1%31.0%7.1%0.4%-69.4K8.3M-229.7K0.9328.01777217,09652,904
2015-03-17$28.88$28.7031.2%9.0%17.0%53.7%32.7%5.9%-0.3%126.4K6.2M-230.2K2.5727.7627169617,10452,925
2015-03-18$29.30$28.7027.8%8.0%17.5%40.7%28.5%7.5%2.1%387.9K4.5M-231.1K0.7335.3836326417,33153,385
2015-03-19$29.11$28.7029.5%8.5%16.6%47.1%27.4%5.3%1.0%182.1K4.8M-229.9K0.0923.161,86516817,41153,504
2015-03-20$29.72$28.7026.7%7.7%18.4%36.7%27.9%5.8%2.1%4.1M-4.3M-230.9K0.7524.531,29897918,46153,452
2015-03-23$30.08$28.7026.6%7.6%18.8%36.3%26.2%6.4%1.3%233.7K1.6M-231.7K0.2120.881,07122813,00126,241
2015-03-24$29.76$28.7026.4%7.6%19.2%35.6%28.1%5.4%1.7%302.8K1.5M-233.5K1.2822.3226133313,91326,376
2015-03-25$29.35$28.7025.6%7.3%19.8%32.6%27.5%4.2%2.6%215.3K3.7M-231.9K4.6425.582521,16714,14326,573
2015-03-26$29.13$28.7028.0%8.0%19.9%41.6%27.1%6.0%1.0%-44.5K6.7M-235.3K1.6823.771,0681,79814,22127,663
2015-03-27$28.04$28.7030.3%8.7%23.9%50.3%29.7%5.7%-0.1%-438.8K14.4M-225.0K3.5829.1623684614,30627,734
2015-03-30$29.29$28.7027.3%7.8%28.9%38.9%28.1%6.1%0.9%-12.1K8.4M-233.8K1.2530.131,6672,08514,44228,235
2015-03-31$28.92$28.7028.7%8.2%29.1%44.3%32.5%6.9%-0.0%-173.2K10.8M-230.6K1.9530.811,5923,10314,93028,406