SCCO Options History — September 2015

In September 2015, SCCO traded between $25.24 and $28.01. ATM implied volatility averaged 42.8%, placing in the 62.6% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 8.0% (HV 20d: 50.8%). Max pain ranged from $26.72 to $27.71. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2015-09-17: Highest Volume — 5,483 contracts
  • 2015-09-28: Largest IV spike — 15.6% change
  • 2015-09-01: Highest IV Rank — 100.0%
  • 2015-09-01: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.79$25.24$28.01$25.24$26.44
Max Pain$27.57$26.72$27.71$27.71$27.71
ATM IV42.8%37.9%55.0%55.0%42.3%
Expected Move12.2%10.9%15.8%15.8%12.1%
HV 20d50.8%36.4%55.3%51.4%36.4%
HV 60d40.8%38.8%41.7%38.8%41.2%
IV Rank62.6%47.0%100.0%100.0%60.6%
IV Percentile94.7%90.5%100.0%100.0%94.0%
Term Structure-1.6%-6.1%-0.2%-6.1%-2.1%
VWIV42.3%39.0%50.6%50.6%39.6%
Skew 25d10.0%7.2%12.9%12.9%10.2%
Skew 10d23.6%14.4%35.6%24.3%26.5%
Call IV 25d38.5%34.3%47.2%47.2%38.2%
Put IV 25d48.6%42.8%60.1%60.1%48.4%
Bid-Ask Spread %40.8228.5554.7254.7230.47
Gamma HHI0.220.170.340.210.24
Net GEX-622.1K-1.1M989.4K-874.6K-960.9K
Net DEX20.6M7.5M30.8M30.8M24.8M
Net VEX-188.7K-205.2K-171.3K-197.9K-175.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.092.092.090.79
Total Volume2,742.7146685,4833,5041,668
Total OI45,527.8138,80050,70146,88141,757

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$25.24$27.7155.0%15.8%51.4%100.0%50.6%12.9%-6.1%-874.6K30.8M-197.9K2.0954.721,1332,37114,56332,318
2015-09-02$26.16$27.7146.9%13.4%53.3%76.5%44.0%9.0%-3.3%-851.0K27.1M-201.4K1.4939.121,2281,83414,58332,350
2015-09-03$26.90$27.7143.2%12.4%53.6%65.8%43.6%10.2%-2.3%-677.5K20.7M-205.2K1.2647.941,1731,47314,72632,459
2015-09-04$26.12$27.7147.0%13.0%53.9%76.8%44.3%9.3%-1.4%-813.1K25.9M-201.3K1.3151.441,1871,56114,81332,583
2015-09-08$27.45$27.7145.5%12.1%54.9%70.9%40.4%12.4%-1.6%-584.3K17.4M-201.1K0.6953.7939627214,77132,603
2015-09-09$27.22$27.7143.2%12.4%53.5%63.5%41.7%8.5%-1.1%-542.8K16.8M-198.4K1.2650.611,1291,42315,12732,623
2015-09-10$27.86$27.7140.1%11.5%54.1%53.9%42.5%10.6%-0.2%-422.5K14.1M-200.3K1.2650.669991,26115,39732,937
2015-09-11$27.87$27.7141.0%11.8%53.9%56.8%43.0%10.7%-0.8%-388.6K13.8M-198.8K1.6241.961,0411,68615,45533,043
2015-09-14$27.40$27.7141.7%11.9%54.3%58.7%44.8%7.2%-1.4%-436.6K16.5M-194.8K1.5446.251,0911,68015,54033,319
2015-09-15$27.55$27.7141.5%11.9%54.3%58.3%41.8%11.0%-1.7%-347.9K15.4M-192.7K0.0942.333,83934515,57733,314
2015-09-16$28.01$27.7139.9%11.4%53.9%53.2%42.7%9.2%-0.6%298.0K8.0M-190.0K1.4730.011,2061,77617,30433,281
2015-09-17$27.86$27.7137.9%10.9%53.7%47.0%39.8%8.5%-0.3%989.4K7.5M-185.6K0.4442.873,8051,67817,32233,379
2015-09-18$26.91$27.7139.1%11.2%55.3%51.0%40.1%9.3%-0.4%-826.1K20.7M-180.1K1.2045.071,2591,50816,96133,436
2015-09-21$26.74$27.7138.6%11.1%54.1%49.1%39.0%8.0%-0.3%-878.0K21.1M-174.3K1.2836.231,5011,92810,01228,788
2015-09-22$26.23$27.7142.0%12.1%52.9%59.9%39.3%12.3%-2.0%-951.9K25.0M-179.3K1.1235.721,3211,48210,57529,707
2015-09-23$26.12$27.7141.8%12.0%52.5%59.3%40.9%9.8%-0.8%-932.5K24.6M-180.3K1.1533.381,3261,53010,80429,976
2015-09-24$26.59$26.7240.2%11.5%52.4%54.1%39.0%8.7%-0.4%-896.5K23.1M-179.3K0.8528.551,3021,11210,89929,970
2015-09-25$26.40$26.7239.9%11.4%39.1%53.4%41.6%9.3%-0.9%-918.1K23.6M-181.6K1.1233.059491,06311,04730,133
2015-09-28$25.66$26.7246.2%13.2%39.8%72.7%45.3%11.7%-2.5%-999.3K28.2M-173.0K0.7730.541,13086911,09730,127
2015-09-29$25.81$27.7146.2%13.2%39.3%72.7%43.8%11.6%-3.7%-1.1M28.0M-171.3K0.9932.591,0351,02711,12130,287
2015-09-30$26.44$27.7142.3%12.1%36.4%60.6%39.6%10.2%-2.1%-960.9K24.8M-175.4K0.7930.4793173711,16730,590