SCCO Options History — July 2015

In July 2015, SCCO traded between $25.80 and $29.28. ATM implied volatility averaged 31.3%, placing in the 46.5% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 2.9% (HV 20d: 28.4%). Max pain ranged from $28.70 to $30.68. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.34.

Notable Days

  • 2015-07-16: Highest Volume — 8,282 contracts
  • 2015-07-08: Largest IV spike — 17.5% change
  • 2015-07-27: Highest IV Rank — 74.3%
  • 2015-07-27: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.96$25.80$29.28$29.00$27.56
Max Pain$29.51$28.70$30.68$30.68$28.70
ATM IV31.3%26.0%37.7%27.8%28.2%
Expected Move8.6%7.5%10.8%8.0%8.1%
HV 20d28.4%23.8%32.9%27.3%32.9%
HV 60d24.8%23.9%27.2%23.9%27.2%
IV Rank46.5%23.9%74.3%31.6%33.5%
IV Percentile76.6%36.9%96.8%59.9%59.9%
Term Structure-1.1%-3.3%1.8%-0.7%1.8%
VWIV30.1%26.0%37.7%27.4%28.1%
Skew 25d5.7%2.9%9.3%2.9%7.0%
Skew 10d12.7%5.3%32.9%5.3%12.7%
Call IV 25d27.6%24.1%36.2%26.8%25.7%
Put IV 25d33.2%29.6%40.5%29.7%32.7%
Bid-Ask Spread %38.5723.8876.2727.6739.29
Gamma HHI0.170.140.270.140.18
Net GEX-968.8K-1.6M-590.9K-657.9K-1.1M
Net DEX21.2M13.2M32.8M14.2M23.5M
Net VEX-188.2K-203.5K-177.2K-192.4K-198.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.583.000.581.73
Total Volume3,173.7731,4638,2822,1483,511
Total OI41,034.95537,73545,64237,73545,642

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$29.00$30.6827.8%8.0%27.3%31.6%27.4%2.9%-0.7%-657.9K14.2M-192.4K0.5827.671,35879013,32324,412
2015-07-02$29.28$30.6826.2%7.5%27.5%24.5%26.0%3.6%0.7%-641.3K13.2M-187.2K0.6223.881,22976313,38724,428
2015-07-06$28.77$29.6930.4%8.2%28.0%42.7%29.6%4.5%-0.8%-752.8K16.1M-184.8K0.7728.3497674713,41824,515
2015-07-07$28.61$29.6931.3%8.4%28.0%46.7%31.2%5.4%-1.8%-831.3K18.3M-187.0K0.9644.831,3391,28113,51824,543
2015-07-08$28.00$29.6936.8%9.1%28.7%70.5%31.8%5.9%-1.6%-872.2K20.8M-185.4K2.0630.421,3842,84713,85124,990
2015-07-09$27.92$29.6935.5%8.9%28.2%64.8%30.1%5.6%-0.8%-954.0K21.9M-188.3K1.1528.548991,03514,04025,914
2015-07-10$28.22$29.6931.4%8.4%28.6%47.2%30.5%5.9%-0.8%-1.0M20.6M-186.9K1.1836.318721,02714,07925,994
2015-07-13$29.00$29.6932.3%8.2%30.4%51.1%28.5%5.7%-1.7%-1.2M16.5M-181.9K1.2535.148851,11014,11425,947
2015-07-14$28.93$29.6933.1%8.2%29.9%54.3%26.4%5.6%-1.5%-1.2M16.6M-184.6K1.0833.5890297314,17326,073
2015-07-15$28.62$29.6927.7%7.9%29.0%31.2%26.4%3.9%-0.5%-1.3M19.0M-182.3K0.7727.221,13987714,16126,095
2015-07-16$28.67$29.6926.0%7.5%29.0%23.9%26.3%5.5%-0.3%-1.6M18.7M-177.2K0.6029.695,1813,10114,37226,082
2015-07-17$28.16$29.6928.2%8.1%27.4%33.3%28.5%5.0%-0.6%-590.9K23.5M-189.7K0.9332.542,6812,48317,10628,148
2015-07-20$27.52$29.6930.6%8.8%25.5%43.8%29.8%5.5%-3.2%-816.4K20.5M-189.4K3.0034.587562,27014,28325,837
2015-07-21$28.09$29.6929.1%8.4%26.8%37.3%28.6%6.4%-0.9%-715.6K18.0M-190.9K1.5340.331,1151,70814,33825,826
2015-07-22$27.43$29.6929.0%8.3%27.5%36.5%32.6%5.1%0.3%-918.2K22.3M-185.8K0.8133.5081065314,40125,840
2015-07-23$27.12$29.6931.9%9.2%24.3%49.5%32.2%6.3%-2.7%-1.0M24.9M-179.9K0.9534.2788383814,41125,896
2015-07-24$26.65$28.7035.4%10.1%23.8%64.4%35.1%8.1%-2.8%-991.7K28.5M-177.9K2.2131.971,6833,72614,64626,112
2015-07-27$25.80$28.7037.7%10.8%25.0%74.3%37.7%4.3%-1.8%-1.1M32.8M-190.5K1.7040.541,7282,93215,26128,946
2015-07-28$27.03$28.7035.9%10.3%31.6%66.4%33.5%7.1%-3.3%-1.1M27.4M-197.8K2.4963.901,1882,95815,30029,180
2015-07-29$27.65$28.7030.7%8.8%32.1%44.0%30.3%9.3%-0.9%-981.6K22.9M-203.5K1.5276.271,4362,17915,49929,416
2015-07-30$27.15$28.7032.4%9.3%32.5%51.6%30.7%6.2%0.1%-1.1M26.9M-198.8K1.6775.731,3372,23315,79429,458
2015-07-31$27.56$28.7028.2%8.1%32.9%33.5%28.1%7.0%1.8%-1.1M23.5M-198.6K1.7339.291,2862,22516,01229,630