SCCO Options History — January 2016

In January 2016, SCCO traded between $22.09 and $25.68. ATM implied volatility averaged 43.0%, placing in the 63.0% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 5.3% (HV 20d: 37.8%). Max pain ranged from $23.75 to $25.73. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 2.74.

Notable Days

  • 2016-01-12: Highest Volume — 12,065 contracts
  • 2016-01-13: Largest IV drop — 19.2% change
  • 2016-01-11: Highest IV Rank — 98.0%
  • 2016-01-19: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.74$22.09$25.68$25.43$25.65
Max Pain$24.74$23.75$25.73$25.73$23.75
ATM IV43.0%35.4%54.3%38.9%35.4%
Expected Move11.6%10.1%13.0%10.1%10.1%
HV 20d37.8%27.4%42.9%42.9%37.8%
HV 60d34.0%32.5%37.0%33.2%37.0%
IV Rank63.0%39.2%98.0%50.3%39.2%
IV Percentile89.6%67.9%99.6%86.5%67.9%
Term Structure-1.0%-2.2%1.0%0.0%1.0%
VWIV43.6%35.5%51.7%35.5%37.2%
Skew 25d9.1%6.4%13.2%6.5%7.0%
Skew 10d22.1%13.9%39.7%13.9%32.4%
Call IV 25d37.1%31.7%40.9%33.8%33.6%
Put IV 25d46.2%40.2%54.1%40.3%40.6%
Bid-Ask Spread %38.7632.0848.3533.9248.35
Gamma HHI0.170.120.260.220.12
Net GEX-1.7M-2.6M-1.0M-2.4M-1.0M
Net DEX47.9M20.1M79.9M42.6M20.1M
Net VEX-226.4K-248.8K-199.4K-228.8K-244.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.741.145.351.143.66
Total Volume4,836.2631,73012,0654,9701,730
Total OI69,598.52655,77785,16675,47465,825

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$25.43$25.7338.9%10.1%42.9%50.3%35.5%6.5%0.0%-2.4M42.6M-228.8K1.1433.922,3282,64216,69758,777
2016-01-05$25.68$25.7336.4%10.1%40.1%42.3%40.5%8.5%-0.2%-2.3M38.6M-218.1K1.5438.511,3942,14316,60957,678
2016-01-06$24.99$25.7340.8%10.7%39.7%56.2%39.8%6.4%0.3%-2.6M47.6M-220.0K1.3336.631,4511,93016,82057,878
2016-01-07$24.33$25.7346.6%11.2%37.6%74.0%41.7%10.5%-1.4%-2.4M54.2M-218.9K1.8635.841,4742,74516,95157,847
2016-01-08$23.80$25.7347.8%11.6%37.8%77.6%41.8%7.8%-2.0%-2.4M59.0M-218.0K1.5544.371,4822,29917,14957,664
2016-01-11$23.19$25.7354.3%11.7%38.7%98.0%42.9%8.2%0.9%-2.1M69.4M-199.4K2.8838.621,6004,60917,14757,553
2016-01-12$22.56$25.7353.4%12.1%39.4%95.1%42.9%10.0%-1.7%-1.8M75.5M-203.7K4.7434.762,1039,96217,43459,066
2016-01-13$22.46$24.7443.1%12.4%39.2%63.3%44.3%9.9%-1.2%-1.9M79.9M-224.6K1.4732.082,0493,01318,12566,277
2016-01-14$22.63$24.7442.9%12.3%38.7%62.6%44.8%11.1%-1.9%-1.8M79.8M-225.1K1.6234.231,4422,33818,20566,961
2016-01-15$22.50$24.7444.8%12.8%38.2%68.5%50.6%13.2%-2.1%-1.2M79.0M-217.7K4.7641.131,2916,14218,27464,772
2016-01-19$22.09$24.7445.4%13.0%37.5%70.5%47.0%10.0%-2.2%-1.4M40.0M-218.1K3.0539.339322,8379,72346,181
2016-01-20$22.44$24.7444.0%12.6%38.3%66.1%47.4%9.6%-1.7%-1.3M37.3M-219.3K5.3539.799174,90510,09745,680
2016-01-21$22.80$23.7543.9%12.6%38.5%65.6%51.7%10.4%-2.1%-1.4M38.2M-236.8K4.4737.367333,27310,36448,503
2016-01-22$23.37$23.7539.2%11.2%39.1%51.2%46.8%8.1%-1.4%-1.4M35.0M-236.9K2.0238.619891,99610,45148,511
2016-01-25$23.26$23.7543.0%12.3%27.4%62.9%42.7%9.6%-2.2%-1.4M35.8M-237.5K2.3739.611,1132,64010,77249,191
2016-01-26$24.71$23.7540.0%11.5%36.1%53.6%44.7%8.8%-1.1%-1.2M26.0M-242.2K2.5233.221,5843,98811,06949,925
2016-01-27$24.45$23.7539.2%11.2%35.4%51.2%43.3%8.5%-0.1%-1.3M26.7M-243.3K3.0443.161,3424,07511,70651,299
2016-01-28$24.70$23.7538.7%11.1%35.1%49.5%43.7%8.6%-0.1%-1.2M26.3M-248.8K2.6746.951,1973,20111,85053,341
2016-01-29$25.65$23.7535.4%10.1%37.8%39.2%37.2%7.0%1.0%-1.0M20.1M-244.6K3.6648.353711,35911,94353,882