SCCO Options History — May 2015

In May 2015, SCCO traded between $29.72 and $32.82. ATM implied volatility averaged 24.8%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 3.1% (HV 20d: 21.8%). Max pain ranged from $29.69 to $29.69. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.65.

Notable Days

  • 2015-05-29: Highest Volume — 5,115 contracts
  • 2015-05-13: Largest IV drop — 20.6% change
  • 2015-05-12: Highest IV Rank — 54.6%
  • 2015-05-07: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.66$29.72$32.82$32.82$29.72
Max Pain$29.69$29.69$29.69$29.69$29.69
ATM IV24.8%23.2%31.5%24.6%25.2%
Expected Move7.0%6.6%7.3%7.0%7.2%
HV 20d21.8%19.8%24.3%19.8%20.8%
HV 60d23.1%22.3%24.1%23.0%24.1%
IV Rank23.9%11.4%54.6%28.8%20.1%
IV Percentile28.1%9.5%85.3%26.6%33.3%
Term Structure0.9%-0.0%1.6%0.3%0.7%
VWIV25.3%24.0%27.9%24.4%25.6%
Skew 25d4.4%2.2%5.6%5.6%2.2%
Skew 10d10.0%3.7%18.9%18.9%3.7%
Call IV 25d22.9%21.1%24.8%21.9%24.8%
Put IV 25d27.3%25.4%28.7%27.5%27.0%
Bid-Ask Spread %21.0616.4126.3019.3120.96
Gamma HHI0.160.150.180.150.15
Net GEX288.0K-396.2K750.9K631.0K-357.6K
Net DEX-7.5M-20.7M9.5M-20.4M9.5M
Net VEX-210.5K-219.8K-200.6K-202.8K-215.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.650.074.661.361.02
Total Volume3,448.254415,1153,2125,115
Total OI44,001.0540,23447,80343,24444,222

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$32.82$29.6924.6%7.0%19.8%28.8%24.4%5.6%0.3%631.0K-20.4M-202.8K1.3619.311,3621,85015,71027,534
2015-05-04$32.30$29.6925.7%7.1%21.1%33.1%25.1%4.0%1.1%609.3K-17.5M-208.3K0.3119.2098330615,95227,878
2015-05-05$32.65$29.6926.0%7.0%21.0%34.1%25.1%4.3%0.6%694.7K-20.7M-200.6K1.0222.361,6331,65916,35728,026
2015-05-06$32.28$29.6924.9%7.2%21.8%29.8%26.8%4.7%0.5%690.4K-17.3M-212.8K1.9322.161,2882,48616,57928,181
2015-05-07$31.83$29.6925.5%7.3%21.7%32.2%27.9%4.7%1.2%750.9K-13.2M-210.8K2.9024.191,1523,33716,61529,058
2015-05-08$32.12$29.6924.0%7.2%21.7%26.5%24.2%4.3%1.3%554.1K-15.8M-213.6K0.0722.082,24415616,55530,092
2015-05-11$31.88$29.6926.8%7.2%22.0%37.0%25.0%5.6%0.6%351.8K-6.6M-214.2K0.2917.1234110014,67230,192
2015-05-12$32.07$29.6931.5%7.3%21.8%54.6%25.6%4.5%1.0%488.6K-12.5M-215.0K1.1522.201,8812,17116,12630,213
2015-05-13$32.04$29.6925.0%7.2%20.6%30.4%24.5%4.2%1.3%465.1K-13.1M-215.1K0.9223.362,3082,12116,36330,477
2015-05-14$32.64$29.6923.6%6.8%21.3%25.0%27.3%3.5%0.9%603.0K-18.9M-205.1K1.3817.741,8132,49616,57430,556
2015-05-15$32.47$29.6923.7%6.8%21.3%13.9%24.5%3.8%1.1%375.1K-16.9M-205.7K1.2418.871,6222,01216,57931,224
2015-05-18$31.90$29.6923.6%6.8%22.7%13.3%25.1%5.5%0.8%307.8K-5.8M-203.8K1.3222.7234345213,42326,811
2015-05-19$31.33$29.6923.2%6.7%22.9%11.5%24.0%5.3%1.3%151.9K-951.6K-211.0K4.6620.112651,23513,56827,214
2015-05-20$31.80$29.6923.4%6.7%23.1%12.5%24.7%4.3%0.9%240.3K-3.6M-219.8K2.2326.301,3312,96913,61928,348
2015-05-21$31.20$29.6923.2%6.6%24.3%11.4%25.0%4.2%1.0%85.9K-426.3K-214.7K2.3523.281,2873,03113,69728,354
2015-05-22$31.08$29.6924.6%7.0%22.6%17.5%24.2%3.3%-0.0%14.5K1.2M-212.1K2.2016.411,3012,86213,73928,449
2015-05-26$30.37$29.6924.5%7.0%23.5%17.1%27.7%4.5%1.6%-236.8K6.2M-210.7K2.6420.161,1102,93213,72228,458
2015-05-27$30.42$29.6924.3%7.0%20.7%16.4%24.9%4.8%0.9%-263.0K7.8M-210.2K2.9423.071,1313,32713,70228,479
2015-05-28$30.22$29.6923.5%6.7%20.7%12.9%24.3%5.1%0.5%-396.2K9.0M-208.3K1.0719.502,3932,56013,74428,959
2015-05-29$29.72$29.6925.2%7.2%20.8%20.1%25.6%2.2%0.7%-357.6K9.5M-215.9K1.0220.962,5362,57915,04029,182