SCCO Options History — December 2015

In December 2015, SCCO traded between $24.19 and $26.63. ATM implied volatility averaged 35.6%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 2.9% (HV 20d: 38.5%). Max pain ranged from $27.71 to $29.69. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 3.01.

Notable Days

  • 2015-12-10: Highest Volume — 23,173 contracts
  • 2015-12-07: Largest IV spike — 15.9% change
  • 2015-12-14: Highest IV Rank — 55.4%
  • 2015-12-14: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.40$24.19$26.63$25.87$25.92
Max Pain$29.24$27.71$29.69$27.71$28.70
ATM IV35.6%29.7%40.6%35.0%32.9%
Expected Move10.2%8.5%11.6%10.0%9.4%
HV 20d38.5%28.8%44.5%28.8%42.6%
HV 60d30.8%27.6%33.7%28.7%33.0%
IV Rank40.0%21.8%55.4%38.0%31.7%
IV Percentile71.7%38.1%91.3%73.8%56.0%
Term Structure-0.0%-2.1%2.5%-0.2%0.8%
VWIV36.0%28.4%41.1%35.1%34.9%
Skew 25d6.8%3.9%9.2%6.1%5.8%
Skew 10d17.3%6.8%26.8%26.8%22.4%
Call IV 25d33.2%27.8%38.0%32.4%31.1%
Put IV 25d40.0%34.7%45.1%38.6%36.9%
Bid-Ask Spread %22.7017.2033.9926.5625.97
Gamma HHI0.260.170.350.290.19
Net GEX-2.4M-3.3M-1.7M-2.3M-2.1M
Net DEX48.4M27.6M65.5M44.3M35.2M
Net VEX-208.2K-234.1K-180.8K-183.4K-230.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.010.6921.890.691.18
Total Volume6,190.3641,01223,1733,3564,530
Total OI71,466.27362,03179,92262,03174,848

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$25.87$27.7135.0%10.0%28.8%38.0%35.1%6.1%-0.2%-2.3M44.3M-183.4K0.6926.561,9841,37215,68846,343
2015-12-02$25.00$27.7137.8%10.8%30.3%46.8%36.8%3.9%-0.4%-2.3M52.6M-186.2K5.2229.081,1496,00017,11347,519
2015-12-03$25.43$29.6936.4%10.3%31.1%42.4%37.6%7.0%-0.1%-2.4M50.1M-193.8K5.5420.999735,39517,49549,002
2015-12-04$26.52$29.6932.3%9.7%35.1%29.8%35.1%7.0%0.4%-2.4M36.0M-199.9K1.3717.951,7522,40817,76849,837
2015-12-07$25.69$29.6937.5%10.4%35.7%45.7%36.4%7.5%-1.0%-2.5M46.5M-191.0K2.1120.0632568718,09450,181
2015-12-08$24.57$29.6940.1%10.7%38.7%53.8%38.1%7.3%-0.5%-2.5M59.2M-180.8K2.2425.571,2222,74118,28750,261
2015-12-09$24.94$29.6938.7%11.1%39.1%49.7%38.5%7.1%-0.9%-2.5M56.1M-181.4K1.9617.491,0332,02318,48350,272
2015-12-10$25.05$29.6938.3%11.0%39.2%48.4%38.6%7.3%-1.0%-2.6M54.7M-183.4K21.8921.221,01222,16118,61650,438
2015-12-11$24.64$29.6939.3%11.3%38.5%51.4%39.5%9.2%-2.0%-2.8M63.5M-233.3K1.8918.901,0341,95718,83460,717
2015-12-14$24.78$29.6940.6%11.6%38.7%55.4%41.0%7.0%-2.1%-2.7M62.6M-221.2K1.9821.648631,70718,93458,206
2015-12-15$25.20$29.6939.2%11.2%39.0%51.2%41.1%7.2%-1.4%-2.9M57.3M-218.0K3.5524.311,5965,66519,04758,234
2015-12-16$25.48$29.6936.1%10.3%39.2%41.5%37.4%7.0%-0.3%-3.0M54.0M-223.5K1.2933.992,8443,67019,41760,505
2015-12-17$24.75$29.6936.9%10.6%39.0%44.0%37.3%7.0%0.0%-3.3M63.9M-216.1K1.1325.652,2062,50019,52759,207
2015-12-18$24.67$29.6936.2%10.4%38.4%41.9%38.5%8.4%-0.2%-2.1M65.5M-211.6K1.3418.552,1072,81319,61758,695
2015-12-21$24.19$29.6937.0%10.6%37.8%44.4%36.3%6.8%-1.7%-2.2M56.1M-196.6K1.7821.091,6782,98614,19451,505
2015-12-22$24.61$29.6932.2%9.2%34.6%29.6%34.1%5.3%1.7%-2.4M53.4M-205.0K2.7427.031,5134,14014,52053,204
2015-12-23$26.45$28.7029.9%8.6%43.5%22.4%29.3%7.4%2.0%-2.1M32.9M-221.0K2.5125.663,6429,13214,65255,080
2015-12-24$26.63$28.7029.7%8.5%43.3%21.8%28.4%6.0%2.5%-1.8M27.6M-222.5K1.9217.202,8185,41815,57254,599
2015-12-28$26.00$28.7033.1%9.5%44.3%32.4%31.3%7.1%1.8%-1.9M31.3M-214.4K1.5719.973,4725,46415,60254,207
2015-12-29$26.40$28.7031.4%9.0%44.5%26.8%30.0%5.7%0.6%-1.7M29.9M-234.1K0.7619.522,8472,15416,43057,398
2015-12-30$26.08$28.7032.5%9.3%44.5%30.4%37.5%7.0%1.3%-2.0M32.8M-231.6K1.5621.052,0293,16616,54857,562
2015-12-31$25.92$28.7032.9%9.4%42.6%31.7%34.9%5.8%0.8%-2.1M35.2M-230.8K1.1825.972,0772,45316,63858,210