SCCO Options History — February 2016

In February 2016, SCCO traded between $23.53 and $26.66. ATM implied volatility averaged 43.6%, placing in the 64.9% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 7.7% (HV 20d: 51.4%). Max pain ranged from $23.75 to $25.73. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 2.52.

Notable Days

  • 2016-02-05: Highest Volume — 10,211 contracts
  • 2016-02-10: Largest IV drop — 14.8% change
  • 2016-02-09: Highest IV Rank — 92.4%
  • 2016-02-11: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.87$23.53$26.66$25.12$23.70
Max Pain$24.94$23.75$25.73$23.75$24.74
ATM IV43.6%38.8%52.5%39.7%42.9%
Expected Move12.3%10.9%13.4%11.4%12.3%
HV 20d51.4%38.5%59.9%38.5%54.4%
HV 60d42.9%37.2%45.4%37.2%45.4%
IV Rank64.9%50.0%92.4%52.8%62.5%
IV Percentile89.1%79.8%98.8%83.7%85.7%
Term Structure-1.4%-2.7%0.2%-2.5%-2.6%
VWIV44.8%37.4%52.0%41.3%42.3%
Skew 25d8.3%4.5%10.1%7.8%7.3%
Skew 10d19.8%9.1%36.9%21.5%16.6%
Call IV 25d39.7%35.2%44.1%35.4%40.8%
Put IV 25d48.1%43.2%54.2%43.2%48.1%
Bid-Ask Spread %45.1822.6356.2852.6929.80
Gamma HHI0.130.100.170.120.15
Net GEX-1.2M-2.0M-456.7K-1.1M-1.7M
Net DEX25.7M11.4M44.2M21.2M34.5M
Net VEX-243.1K-258.8K-222.9K-239.4K-222.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.520.735.382.965.38
Total Volume5,639.353,75910,2114,0445,437
Total OI73,998.1567,13682,58967,13672,958

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$25.12$23.7539.7%11.4%38.5%52.8%41.3%7.8%-2.5%-1.1M21.2M-239.4K2.9652.691,0223,02212,18054,956
2016-02-02$23.89$23.7541.5%11.9%41.8%58.4%42.6%7.2%-0.7%-1.6M33.1M-244.3K1.5356.281,4842,27512,22356,085
2016-02-03$25.15$23.7539.2%11.2%45.9%51.3%40.4%9.6%0.0%-1.2M24.2M-245.0K2.1542.801,2682,73112,77256,768
2016-02-04$26.66$24.7438.8%10.9%49.3%50.0%37.4%9.7%-1.3%-701.0K11.4M-245.4K0.7336.173,4372,50613,15557,389
2016-02-05$26.18$24.7442.5%11.8%48.7%61.5%43.2%9.3%-1.3%-621.7K12.9M-254.1K1.7550.773,7146,49715,59457,684
2016-02-08$25.81$24.7447.7%12.7%48.3%77.6%43.2%8.9%-2.7%-848.5K16.3M-255.3K0.9151.253,3683,07915,81560,021
2016-02-09$25.12$25.7352.5%13.0%48.4%92.4%45.3%8.4%-1.9%-1.0M23.3M-257.0K1.1947.523,2563,87416,15558,931
2016-02-10$24.88$25.7344.7%12.8%47.2%68.3%47.5%7.9%-1.0%-1.2M24.9M-256.6K0.9350.962,7872,58816,16859,529
2016-02-11$24.49$25.7346.8%13.4%47.7%74.7%49.7%10.1%-1.0%-1.3M30.0M-257.8K2.0253.522,7905,62216,24059,484
2016-02-12$26.09$25.7344.7%12.8%52.1%68.1%47.4%8.9%-1.1%-688.7K16.2M-258.8K1.7348.852,6534,58416,35861,686
2016-02-16$26.15$25.7344.4%12.7%51.9%67.3%52.0%8.8%-1.1%-456.7K11.5M-238.5K4.2949.851,0734,60617,10362,013
2016-02-17$25.24$25.7344.1%12.7%53.4%66.4%49.5%8.9%-1.7%-1.2M22.1M-239.2K2.5645.122,0395,22017,40462,649
2016-02-18$24.01$25.7346.0%13.2%56.9%72.1%47.3%7.3%-2.1%-2.0M35.3M-242.6K2.8744.901,4154,05818,17263,757
2016-02-19$23.53$24.7443.9%12.6%57.3%65.7%50.1%9.5%-1.9%-1.6M44.2M-240.0K2.9849.981,3043,88118,34664,243
2016-02-22$24.69$24.7442.1%12.1%59.1%60.2%43.6%4.5%-1.6%-1.3M27.1M-224.4K3.1247.921,1793,67711,67556,356
2016-02-23$24.09$24.7444.1%12.7%59.9%66.4%43.4%9.0%-2.1%-1.5M32.4M-233.7K2.3854.271,1792,80212,44258,018
2016-02-24$24.09$24.7443.5%12.5%55.7%64.6%43.5%7.3%-0.9%-1.5M32.1M-231.0K3.5442.919973,53112,94758,016
2016-02-25$24.23$24.7442.6%12.2%55.6%61.5%43.6%9.2%0.1%-1.5M32.4M-238.3K3.8722.638053,11813,53858,480
2016-02-26$24.37$24.7440.5%11.6%55.5%55.2%42.0%7.5%0.2%-1.4M29.1M-238.1K3.6025.398513,05813,69658,957
2016-02-29$23.70$24.7442.9%12.3%54.4%62.5%42.3%7.3%-2.6%-1.7M34.5M-222.9K5.3829.808524,58513,53259,426