SCCO Options History — November 2015

In November 2015, SCCO traded between $25.42 and $28.06. ATM implied volatility averaged 34.0%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 10.1% (HV 20d: 23.9%). Max pain ranged from $27.71 to $27.71. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 3.48.

Notable Days

  • 2015-11-20: Highest Volume — 8,583 contracts
  • 2015-11-12: Largest IV spike — 8.4% change
  • 2015-11-13: Highest IV Rank — 42.3%
  • 2015-11-13: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.37$25.42$28.06$27.82$25.47
Max Pain$27.71$27.71$27.71$27.71$27.71
ATM IV34.0%31.9%36.4%33.6%35.1%
Expected Move9.7%9.1%10.4%9.6%10.1%
HV 20d23.9%20.2%28.9%24.0%28.4%
HV 60d35.3%29.1%38.5%38.5%29.1%
IV Rank34.9%28.3%42.3%33.8%38.5%
IV Percentile70.4%61.5%82.1%69.4%75.4%
Term Structure0.0%-1.5%0.9%-1.5%0.3%
VWIV34.5%30.1%38.1%33.8%35.6%
Skew 25d6.7%4.4%8.7%8.7%7.4%
Skew 10d16.6%10.6%25.2%19.8%19.8%
Call IV 25d31.7%29.1%34.3%29.1%33.4%
Put IV 25d38.4%35.6%40.8%37.9%40.8%
Bid-Ask Spread %24.2417.8228.3928.1027.52
Gamma HHI0.250.180.310.180.31
Net GEX-1.9M-2.8M-1.1M-1.2M-2.3M
Net DEX36.2M18.1M50.5M20.9M47.4M
Net VEX-170.0K-185.6K-153.4K-182.0K-177.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.480.5819.751.833.48
Total Volume3,640.14158,5833,0491,818
Total OI53,531.3549,67060,67049,75160,670

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$27.82$27.7133.6%9.6%24.0%33.8%33.8%8.7%-1.5%-1.2M20.9M-182.0K1.8328.101,0791,97014,54235,209
2015-11-03$28.06$27.7133.6%9.6%23.9%33.8%33.4%5.3%-0.5%-1.1M18.1M-180.0K1.0917.829301,01614,62835,187
2015-11-04$27.59$27.7131.9%9.2%24.3%28.6%32.1%6.4%0.2%-1.3M22.0M-178.8K1.3121.758241,08014,78935,210
2015-11-05$27.36$27.7131.9%9.1%24.4%28.3%34.4%5.3%0.3%-1.4M24.2M-174.7K1.3023.718701,13514,86735,179
2015-11-06$26.67$27.7132.0%9.3%20.2%28.7%35.9%5.8%0.5%-1.6M30.2M-171.2K1.0519.5139441214,89435,103
2015-11-09$26.40$27.7133.6%9.5%20.2%33.7%30.1%7.0%-1.2%-1.7M33.1M-161.1K6.4326.7011775415,00935,026
2015-11-10$26.56$27.7132.8%9.6%20.3%31.3%36.3%7.2%-0.1%-1.7M31.4M-158.7K4.3225.009033,90315,02434,646
2015-11-11$26.64$27.7132.7%9.4%20.4%31.0%34.2%6.7%-0.7%-1.8M31.9M-167.3K4.3427.629003,90315,10836,224
2015-11-12$25.95$27.7135.4%10.2%21.8%39.5%38.1%8.6%0.6%-1.9M38.5M-159.6K5.9527.489055,38815,10236,085
2015-11-13$25.86$27.7136.4%10.4%21.2%42.3%34.8%7.4%0.2%-2.2M43.6M-170.7K0.8528.391,6901,44015,18139,395
2015-11-16$25.51$27.7135.0%10.0%21.3%38.2%35.5%7.1%0.4%-2.4M47.2M-159.3K1.1721.1935040814,51639,188
2015-11-17$25.43$27.7134.9%10.0%21.0%37.7%30.6%7.4%-0.5%-2.4M50.5M-153.4K0.8726.981,8061,57614,72739,231
2015-11-18$26.15$27.7135.0%10.0%23.5%38.2%33.9%6.6%0.1%-2.7M41.8M-158.9K1.4323.872,1613,10014,88139,399
2015-11-19$26.52$27.7133.7%9.7%23.6%34.0%32.5%6.0%0.2%-2.8M36.7M-166.9K0.8925.731,8681,65515,38840,796
2015-11-20$27.07$27.7133.9%9.7%23.7%34.6%34.2%7.4%0.6%-1.8M28.7M-163.7K0.9326.824,4514,13215,67540,753
2015-11-23$25.73$27.7135.4%10.2%28.9%39.5%36.8%5.7%0.5%-1.9M40.3M-168.0K19.7520.042765,44914,89438,757
2015-11-24$25.80$27.7134.2%9.8%28.7%35.7%35.1%7.1%0.9%-2.2M43.3M-185.6K0.5823.3526315215,04442,441
2015-11-25$25.48$27.7134.0%9.7%28.8%34.9%35.6%6.8%0.1%-2.2M46.1M-181.3K4.4122.611,4966,60415,23442,465
2015-11-27$25.42$27.7134.4%9.9%28.5%36.3%36.2%4.4%0.8%-2.2M47.8M-181.4K7.5620.546574,96715,29044,870
2015-11-30$25.47$27.7135.1%10.1%28.4%38.5%35.6%7.4%0.3%-2.3M47.4M-177.0K3.4827.524061,41215,37145,299