SCCO Options History — August 2015

In August 2015, SCCO traded between $24.10 and $28.37. ATM implied volatility averaged 37.8%, placing in the 65.7% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 1.8% (HV 20d: 39.5%). Max pain ranged from $27.71 to $28.70. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 2.05.

Notable Days

  • 2015-08-20: Highest Volume — 9,839 contracts
  • 2015-08-24: Largest IV spike — 23.4% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.67$24.10$28.37$26.80$26.44
Max Pain$27.85$27.71$28.70$28.70$27.71
ATM IV37.8%29.2%52.1%31.3%45.3%
Expected Move10.8%8.4%14.9%9.0%13.0%
HV 20d39.5%33.7%50.4%33.7%49.9%
HV 60d31.1%27.6%37.7%27.6%37.7%
IV Rank65.7%37.7%100.0%46.7%78.6%
IV Percentile89.5%67.1%100.0%81.0%98.8%
Term Structure-1.2%-5.3%0.4%0.4%-2.6%
VWIV38.9%25.5%57.3%32.9%46.9%
Skew 25d6.9%3.5%10.7%6.2%10.7%
Skew 10d15.9%3.7%41.1%3.7%17.2%
Call IV 25d36.0%28.3%53.2%29.3%42.1%
Put IV 25d42.9%33.8%61.3%35.6%52.8%
Bid-Ask Spread %36.1319.1960.2153.3737.27
Gamma HHI0.210.160.270.210.20
Net GEX-1.2M-1.9M-648.8K-1.3M-777.9K
Net DEX28.5M16.5M43.9M29.0M24.5M
Net VEX-192.1K-207.3K-175.4K-191.5K-206.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.050.455.314.612.22
Total Volume3,872.5714269,8394263,626
Total OI47,424.52443,32955,59345,69346,750

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$26.80$28.7031.3%9.0%33.7%46.7%32.9%6.2%0.4%-1.3M29.0M-191.5K4.6153.377635016,03729,656
2015-08-04$27.50$28.7029.2%8.4%35.3%37.7%31.1%5.8%-0.6%-1.2M24.5M-195.7K1.5060.219701,45216,03229,713
2015-08-05$27.23$28.7029.8%8.5%34.7%40.1%25.5%3.5%0.4%-1.2M24.6M-191.6K0.9129.561,1011,00716,08929,543
2015-08-06$27.89$27.7131.0%8.9%35.8%45.5%30.6%5.8%-0.1%-1.1M21.5M-189.6K0.9729.771,1701,13116,10829,580
2015-08-07$27.23$27.7131.4%8.8%36.5%47.1%31.0%5.2%-0.4%-1.2M25.7M-190.7K1.0530.851,1231,17916,19529,712
2015-08-10$28.37$27.7130.3%8.6%38.3%42.5%30.0%5.7%-0.7%-856.0K16.5M-192.7K1.6923.341,4492,44216,21829,761
2015-08-11$27.38$27.7135.3%9.6%40.3%63.8%36.4%6.2%-2.1%-1.1M24.9M-188.5K2.4526.025311,30116,41429,694
2015-08-12$27.43$27.7134.0%9.8%40.2%58.6%37.2%5.7%-2.9%-1.2M25.0M-190.1K2.5734.141,1602,97716,69630,530
2015-08-13$27.13$27.7135.2%10.1%40.3%63.5%36.8%4.7%-0.7%-1.4M26.0M-190.3K2.9335.421,5354,49016,68830,605
2015-08-14$27.30$27.7133.1%9.5%40.0%54.7%37.8%5.7%-0.1%-1.5M26.9M-195.6K3.4028.001,3174,47717,01732,203
2015-08-17$27.36$27.7132.7%9.4%39.2%52.9%37.5%7.7%-1.0%-1.7M27.0M-190.4K2.6230.671,2943,39117,06232,228
2015-08-18$26.73$27.7137.0%10.6%39.2%71.6%40.2%6.6%-0.3%-1.6M31.9M-188.9K5.3119.191,4317,59217,04132,245
2015-08-19$26.42$27.7136.9%10.6%38.6%70.8%38.2%6.1%-0.5%-1.9M37.5M-197.8K2.2125.2319442917,39637,041
2015-08-20$26.46$27.7137.5%10.8%38.4%73.7%36.6%7.3%-0.8%-1.9M35.8M-196.2K0.8327.845,3754,46417,54837,042
2015-08-21$25.64$27.7142.2%12.1%39.5%93.9%39.9%8.9%0.4%-945.9K43.9M-196.1K0.4531.063,9041,74218,59636,997
2015-08-24$24.75$27.7152.1%14.9%39.8%100.0%57.3%8.1%-4.6%-962.1K36.0M-180.9K1.2555.361,0811,35212,32131,008
2015-08-25$24.39$27.7149.0%14.0%35.7%90.3%50.6%4.6%-1.8%-979.4K35.4M-180.9K1.2256.801,1351,38612,52431,310
2015-08-26$24.10$27.7151.9%14.9%34.1%99.5%49.5%10.3%-5.3%-987.5K38.0M-175.4K1.2253.421,1611,41412,60731,398
2015-08-27$26.60$27.7143.1%12.4%50.4%71.6%43.7%10.0%-0.0%-904.5K25.5M-196.6K0.9736.852,4222,34712,74531,630
2015-08-28$27.00$27.7144.6%12.8%50.4%76.2%47.1%10.1%-1.8%-648.8K19.2M-207.3K2.7034.271,1733,17314,31931,616
2015-08-31$26.44$27.7145.3%13.0%49.9%78.6%46.9%10.7%-2.6%-777.9K24.5M-206.6K2.2237.271,1262,50014,51832,232