SCCO Options History — April 2015

In April 2015, SCCO traded between $28.60 and $32.26. ATM implied volatility averaged 27.7%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 1.3% (HV 20d: 26.4%). Max pain ranged from $28.70 to $29.69. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.67.

Notable Days

  • 2015-04-17: Highest Volume — 5,217 contracts
  • 2015-04-27: Largest IV spike — 6.6% change
  • 2015-04-14: Highest IV Rank — 50.0%
  • 2015-04-14: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.80$28.60$32.26$28.60$32.26
Max Pain$29.64$28.70$29.69$28.70$29.69
ATM IV27.7%25.3%30.2%27.3%25.3%
Expected Move8.0%7.3%8.7%7.8%7.3%
HV 20d26.4%19.4%29.1%29.1%19.4%
HV 60d27.9%22.9%32.3%32.3%22.9%
IV Rank40.5%31.5%50.0%38.9%31.5%
IV Percentile58.1%34.1%81.0%54.8%34.1%
Term Structure-0.1%-1.4%2.1%2.1%-0.1%
VWIV29.8%25.3%33.8%27.8%32.3%
Skew 25d5.7%3.8%7.4%4.0%5.1%
Skew 10d13.6%7.7%20.6%12.0%20.6%
Call IV 25d25.7%23.2%28.0%27.0%23.9%
Put IV 25d31.4%27.5%34.4%31.0%29.0%
Bid-Ask Spread %24.7317.0534.2724.0327.24
Gamma HHI0.190.130.570.130.16
Net GEX322.2K-420.5K3.3M-363.9K567.4K
Net DEX3.3M-15.3M12.6M12.1M-15.3M
Net VEX-215.7K-229.7K-205.9K-229.7K-212.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.854.541.471.59
Total Volume3,232.6192685,2174,0173,460
Total OI42,963.52437,11347,18544,05942,602

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$28.60$28.7027.3%7.8%29.1%38.9%27.8%4.0%2.1%-363.9K12.1M-229.7K1.4724.031,6262,39115,00129,058
2015-04-02$28.88$29.6927.5%8.4%28.9%39.6%30.3%6.2%0.4%-226.6K11.4M-229.6K1.3527.241,6612,24815,22829,223
2015-04-06$29.25$29.6927.1%8.3%28.3%38.1%32.2%6.4%-0.4%37.7K7.3M-222.1K1.6928.831,1261,90215,48229,282
2015-04-07$29.15$29.6927.7%8.6%28.4%40.3%33.8%7.4%-0.4%38.2K6.9M-228.4K2.0127.149711,94915,41629,271
2015-04-08$29.21$29.6928.4%8.2%27.3%43.2%30.6%5.6%1.0%91.1K6.6M-225.0K4.5422.184822015,44429,391
2015-04-09$28.78$29.6930.2%8.7%27.0%49.9%32.8%5.1%-0.7%-303.3K10.6M-216.1K2.2222.661,0322,28715,45229,444
2015-04-10$28.75$29.6929.9%8.6%26.8%48.6%33.3%6.7%-0.0%-375.7K12.2M-219.3K1.9627.191,0141,98915,55029,832
2015-04-13$28.68$29.6930.1%8.6%26.6%49.7%33.7%6.4%-0.6%-420.5K12.6M-213.7K2.2829.079492,16315,58229,826
2015-04-14$29.06$29.6930.2%8.7%27.0%50.0%28.3%4.8%-0.8%-120.5K9.2M-214.6K1.2023.161,5791,89715,64029,881
2015-04-15$29.77$29.6928.7%8.2%28.2%44.1%29.9%7.4%-0.4%932.5K2.4M-213.7K0.8524.342,1991,87115,86929,896
2015-04-16$29.81$29.6928.0%8.0%27.8%41.8%30.1%5.1%-0.0%1.4M704.3K-214.1K2.0319.131,1782,39516,71029,918
2015-04-17$29.67$29.6927.4%7.9%27.8%39.4%29.4%5.9%0.7%3.3M2.6M-212.8K0.9022.132,7412,47616,79730,388
2015-04-20$29.69$29.6927.8%8.0%26.8%40.8%30.0%6.3%-0.8%111.7K5.2M-213.4K1.8524.049961,84012,59724,516
2015-04-21$29.21$29.6928.0%8.0%27.0%41.7%29.0%7.1%-1.1%-90.7K7.7M-209.0K1.5122.769101,37312,85225,261
2015-04-22$29.53$29.6927.2%7.8%27.1%38.7%28.5%6.3%0.0%5.9K6.7M-213.5K1.4717.059621,41813,05725,346
2015-04-23$29.85$29.6926.7%7.6%26.9%36.5%27.7%5.7%0.8%127.6K5.0M-210.3K1.6921.229581,61913,21525,465
2015-04-24$30.64$29.6925.5%7.3%28.1%32.1%26.7%5.3%0.2%306.2K-1.4M-205.9K0.8824.612,1621,89613,43625,851
2015-04-27$31.07$29.6927.2%7.8%23.9%38.4%27.2%3.8%-1.4%518.7K-6.3M-214.6K1.1824.161,6051,88914,50826,218
2015-04-28$31.99$29.6925.4%7.3%21.2%31.8%25.3%5.3%0.5%579.3K-13.5M-206.0K1.2326.821,6562,03714,87026,606
2015-04-29$32.01$29.6926.1%7.5%20.3%34.5%27.1%4.2%-0.3%658.6K-14.3M-206.1K1.2634.271,4121,78015,28726,966
2015-04-30$32.26$29.6925.3%7.3%19.4%31.5%32.3%5.1%-0.1%567.4K-15.3M-212.4K1.5927.241,3352,12515,52427,078