SCCO Options History — October 2015

In October 2015, SCCO traded between $26.84 and $29.80. ATM implied volatility averaged 35.1%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 6.5% (HV 20d: 28.6%). Max pain ranged from $26.72 to $27.71. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.51.

Notable Days

  • 2015-10-16: Highest Volume — 6,320 contracts
  • 2015-10-12: Largest IV spike — 15.3% change
  • 2015-10-01: Highest IV Rank — 59.7%
  • 2015-10-01: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.31$26.84$29.80$26.84$27.53
Max Pain$27.62$26.72$27.71$27.71$27.71
ATM IV35.1%30.6%42.0%42.0%33.1%
Expected Move10.1%9.4%12.0%12.0%9.5%
HV 20d28.6%25.8%34.5%34.5%25.8%
HV 60d40.7%38.8%42.0%41.1%38.8%
IV Rank38.5%24.6%59.7%59.7%32.2%
IV Percentile76.6%59.5%92.9%92.9%67.5%
Term Structure-0.4%-1.7%1.4%-1.5%-0.5%
VWIV35.9%32.4%41.0%41.0%33.5%
Skew 25d7.3%4.5%10.7%9.2%7.4%
Skew 10d15.7%7.0%24.2%15.6%11.8%
Call IV 25d32.1%29.7%37.8%37.8%29.7%
Put IV 25d39.4%36.5%47.0%47.0%37.1%
Bid-Ask Spread %29.9621.5639.6830.2321.56
Gamma HHI0.170.140.230.230.19
Net GEX-657.0K-1.2M-140.5K-865.9K-1.2M
Net DEX12.1M-103.9K23.7M21.6M22.6M
Net VEX-182.2K-193.8K-172.4K-177.4K-188.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.463.320.461.78
Total Volume2,859.6821,1906,3202,4542,835
Total OI46,538.95541,97749,86141,97749,330

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$26.84$27.7142.0%12.0%34.5%59.7%41.0%9.2%-1.5%-865.9K21.6M-177.4K0.4630.231,68477011,26630,711
2015-10-02$27.29$27.7137.0%10.6%33.6%44.3%39.9%9.4%1.4%-728.0K17.6M-180.4K0.9131.1796787812,27430,801
2015-10-05$28.06$26.7239.1%10.7%32.9%51.0%36.7%10.7%-0.4%-541.1K12.3M-176.4K1.9639.6840278812,34830,917
2015-10-06$28.37$26.7235.3%10.3%28.2%38.9%40.2%8.3%0.1%-493.5K10.5M-180.9K2.2825.909832,24212,55831,188
2015-10-07$28.59$27.7135.7%10.4%28.0%40.4%39.4%7.5%-0.6%-515.1K7.7M-175.2K1.3034.401,1081,44212,88832,406
2015-10-08$28.65$27.7133.4%10.2%26.9%33.3%39.5%7.2%-1.2%-455.2K7.9M-178.3K2.1233.251,1092,34713,15632,713
2015-10-09$29.80$27.7130.6%9.5%30.1%24.6%35.2%8.8%-0.2%-361.7K790.4K-179.7K0.8726.351,9271,68313,43634,002
2015-10-12$29.49$27.7135.3%9.6%29.6%39.1%36.0%6.7%-0.2%-165.2K-103.9K-174.5K0.8233.291,2851,05714,36134,206
2015-10-13$29.08$27.7138.1%10.0%30.2%47.8%36.6%7.4%-0.6%-170.4K2.7M-178.7K0.9931.991,2451,22714,65534,407
2015-10-14$29.10$27.7134.8%10.0%29.8%37.6%36.2%6.0%-0.5%-140.5K2.9M-179.2K1.2033.521,2191,45814,69434,770
2015-10-15$29.04$27.7133.7%9.7%29.7%34.1%34.0%5.9%0.2%-275.1K3.7M-177.8K1.1333.011,2431,40814,81835,031
2015-10-16$28.47$27.7133.0%9.5%27.7%32.0%37.5%7.5%0.5%-611.4K8.0M-172.4K1.2934.292,7633,55714,83435,027
2015-10-19$28.19$27.7135.6%10.2%27.9%40.0%33.2%7.9%-1.1%-777.3K14.3M-179.6K1.5537.721,2071,87413,09129,975
2015-10-20$28.32$27.7134.0%9.7%26.6%34.9%34.0%7.8%-0.4%-732.6K14.1M-186.5K1.0325.071,0111,04413,51130,713
2015-10-21$27.78$27.7135.4%10.1%27.7%39.2%32.4%5.6%-0.7%-833.1K16.7M-186.9K1.6726.618991,49713,81330,957
2015-10-22$28.15$27.7135.1%10.1%27.4%38.4%33.8%6.4%-1.4%-840.5K14.8M-181.6K1.6727.088941,49113,84031,286
2015-10-23$28.71$27.7132.8%9.4%27.8%31.1%32.8%7.0%0.2%-636.2K10.3M-186.2K3.3224.971,1073,67813,87531,614
2015-10-26$28.33$27.7134.8%10.0%25.9%37.5%34.4%6.3%-1.7%-866.3K15.3M-193.5K1.4722.729821,44414,15734,123
2015-10-27$27.85$27.7135.6%10.2%27.1%40.0%36.1%6.7%-0.8%-1.0M19.8M-193.8K1.9029.819421,79114,18534,263
2015-10-28$27.80$27.7134.7%9.9%26.0%37.1%33.6%5.7%-0.3%-1.0M19.8M-191.0K2.0132.249151,84014,24234,244
2015-10-29$27.37$27.7133.5%9.6%26.3%33.3%33.4%4.5%0.6%-1.2M23.7M-189.5K1.5524.381,0471,62314,31634,855
2015-10-30$27.53$27.7133.1%9.5%25.8%32.2%33.5%7.4%-0.5%-1.2M22.6M-188.0K1.7821.561,0211,81414,43434,896