SCCO Options History — June 2015

In June 2015, SCCO traded between $29.16 and $31.01. ATM implied volatility averaged 25.1%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 2.2% (HV 20d: 22.9%). Max pain ranged from $29.69 to $30.68. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.96.

Notable Days

  • 2015-06-19: Highest Volume — 6,013 contracts
  • 2015-06-29: Largest IV spike — 19.6% change
  • 2015-06-30: Highest IV Rank — 36.6%
  • 2015-06-30: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.13$29.16$31.01$29.81$29.16
Max Pain$30.55$29.69$30.68$29.69$30.68
ATM IV25.1%22.7%29.0%25.3%29.0%
Expected Move7.1%6.5%8.3%7.2%8.3%
HV 20d22.9%19.5%27.9%19.5%27.4%
HV 60d23.8%23.1%25.2%23.9%23.9%
IV Rank19.8%9.4%36.6%20.5%36.6%
IV Percentile30.2%5.6%73.0%34.1%73.0%
Term Structure1.0%-1.3%2.5%0.0%-0.3%
VWIV24.6%22.2%26.9%25.0%26.9%
Skew 25d4.3%2.7%5.9%3.9%3.5%
Skew 10d8.7%-5.3%21.4%11.8%-5.3%
Call IV 25d23.3%20.6%26.8%24.0%26.8%
Put IV 25d27.6%25.1%30.3%27.9%30.3%
Bid-Ask Spread %28.1221.7035.1623.7128.95
Gamma HHI0.160.130.220.150.14
Net GEX-263.7K-674.9K745.2K-429.2K-580.2K
Net DEX7.2M-1.2M12.8M10.7M12.8M
Net VEX-196.9K-211.2K-182.8K-206.5K-190.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.281.811.320.68
Total Volume2,774.3186886,0134,2662,225
Total OI42,347.77334,35845,94944,33637,700

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$29.81$29.6925.3%7.2%19.5%20.5%25.0%3.9%0.0%-429.2K10.7M-206.5K1.3223.711,8422,42415,12529,211
2015-06-02$30.58$29.6925.7%7.4%21.8%22.4%24.3%5.3%-1.2%13.1K4.2M-210.2K0.2821.7053615215,26829,300
2015-06-03$30.31$29.6925.6%7.3%21.3%22.0%26.6%5.9%-1.3%-132.8K5.2M-211.2K1.1922.711,5801,87515,46829,395
2015-06-04$30.04$30.6826.0%7.4%21.2%23.8%25.1%4.7%1.3%-289.7K8.6M-207.1K0.9735.161,4101,36215,51729,448
2015-06-05$30.14$30.6826.6%7.3%21.0%26.2%24.5%4.7%2.2%-318.9K8.3M-205.6K0.9731.561,3861,34015,58429,490
2015-06-08$29.96$30.6827.7%7.4%20.5%30.9%25.6%4.5%1.0%-393.1K9.5M-201.6K0.9928.901,4431,43415,58629,478
2015-06-09$30.07$30.6826.2%7.4%20.6%24.4%25.3%4.3%1.3%-300.6K7.9M-201.1K0.9433.401,3971,31415,61229,454
2015-06-10$30.40$30.6824.3%7.0%21.0%16.5%24.3%3.9%1.0%-172.4K4.7M-194.2K1.0426.411,4071,46615,62629,449
2015-06-11$30.18$30.6824.9%7.1%21.0%18.9%23.9%3.5%1.4%-379.0K7.3M-197.7K1.1027.261,2251,34615,68529,527
2015-06-12$30.39$30.6823.3%6.7%19.8%11.9%22.2%4.2%1.8%-290.0K6.4M-196.2K1.0828.561,2071,30915,68329,520
2015-06-15$29.85$30.6825.6%7.3%20.5%21.9%25.8%4.8%1.1%-674.9K10.8M-190.5K1.1622.331,2201,41815,68429,520
2015-06-16$30.42$30.6824.5%7.0%21.4%17.1%23.9%5.5%0.8%-272.0K6.4M-191.7K1.1128.841,2701,41615,76829,513
2015-06-17$30.22$30.6824.6%7.1%20.7%17.7%25.3%3.5%0.9%-495.4K7.3M-185.2K1.1631.971,2611,45715,79729,518
2015-06-18$31.01$30.6824.0%6.9%22.2%14.9%23.0%4.4%1.3%745.2K-1.2M-182.8K0.8428.061,8451,54815,92129,566
2015-06-19$29.86$30.6824.0%6.9%25.0%14.8%24.8%2.9%0.8%-330.0K7.4M-182.8K0.8034.643,3372,67616,24529,704
2015-06-22$29.60$30.6822.7%6.5%25.1%9.4%23.1%2.7%2.5%-434.6K9.4M-189.3K1.8127.987891,42911,04823,310
2015-06-23$29.84$30.6823.5%6.7%24.1%12.7%23.5%3.4%1.4%-431.7K9.7M-191.5K1.3029.3769690211,29023,923
2015-06-24$30.77$30.6823.6%6.8%26.6%13.5%24.1%5.5%1.1%-121.8K3.6M-192.8K0.4534.602,3451,06511,42523,949
2015-06-25$30.05$30.6824.8%7.1%27.9%18.6%23.6%4.2%2.3%-190.3K5.9M-202.3K0.4922.711,64781113,11424,178
2015-06-26$30.26$30.6822.9%6.6%27.3%10.2%23.1%4.8%1.6%-109.2K5.6M-202.7K0.5125.151,58981713,26324,239
2015-06-29$29.91$30.6827.4%7.8%27.6%29.6%26.9%3.8%0.4%-213.5K7.1M-198.5K1.0124.5890291513,31224,238
2015-06-30$29.16$30.6829.0%8.3%27.4%36.6%26.9%3.5%-0.3%-580.2K12.8M-190.9K0.6828.951,32390213,37724,323