SCCO Options History — March 2016

In March 2016, SCCO traded between $24.49 and $28.20. ATM implied volatility averaged 36.0%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 6.0% (HV 20d: 42.0%). Max pain ranged from $23.75 to $26.72. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 2.97.

Notable Days

  • 2016-03-16: Highest Volume — 9,337 contracts
  • 2016-03-09: Largest IV drop — 12.1% change
  • 2016-03-08: Highest IV Rank — 62.6%
  • 2016-03-01: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.88$24.49$28.20$24.49$27.45
Max Pain$25.42$23.75$26.72$24.74$26.72
ATM IV36.0%32.8%42.9%40.4%34.0%
Expected Move10.2%9.4%11.6%11.6%9.8%
HV 20d42.0%31.4%55.4%55.4%31.4%
HV 60d44.4%42.6%46.0%45.4%42.9%
IV Rank41.3%31.3%62.6%54.9%35.1%
IV Percentile59.2%40.9%86.1%79.4%48.4%
Term Structure0.7%-1.8%2.2%-1.8%0.3%
VWIV37.5%34.5%40.2%40.1%36.8%
Skew 25d6.8%4.9%12.4%12.4%5.0%
Skew 10d18.1%10.5%31.7%31.7%11.9%
Call IV 25d33.1%29.8%36.4%36.4%32.3%
Put IV 25d40.0%36.5%48.8%48.8%37.2%
Bid-Ask Spread %30.3218.6645.3531.1621.04
Gamma HHI0.120.110.220.130.12
Net GEX-448.2K-1.6M1.2M-1.6M-252.7K
Net DEX7.9M-16.6M30.6M30.6M6.8M
Net VEX-209.2K-234.1K-184.2K-234.1K-202.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.970.367.153.035.86
Total Volume4,888.9092,7769,3373,8115,219
Total OI73,221.31854,47489,13174,89359,366

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$24.49$24.7440.4%11.6%55.4%54.9%40.1%12.4%-1.8%-1.6M30.6M-234.1K3.0331.169462,86513,69861,195
2016-03-02$25.47$24.7436.4%10.4%54.1%42.4%39.1%6.8%0.7%-1.2M22.3M-226.5K1.5922.011,1821,88113,95561,413
2016-03-03$25.86$23.7536.7%10.1%51.3%43.3%37.1%8.4%2.2%-1.0M18.1M-227.6K3.3242.381,2594,17814,59561,804
2016-03-04$26.70$23.7537.9%10.4%48.1%47.1%36.3%6.4%1.0%-494.0K8.7M-220.4K1.1141.973,7624,16114,86963,737
2016-03-07$26.64$23.7541.4%10.8%47.6%57.9%39.5%7.8%-0.5%-529.2K8.2M-214.5K3.9838.389063,61116,50565,395
2016-03-08$25.73$24.7442.9%10.9%49.0%62.6%40.2%7.3%0.2%-993.2K17.3M-218.2K1.4737.471,3792,03216,62665,565
2016-03-09$25.88$24.7437.7%10.8%48.0%46.5%39.7%8.2%1.0%-945.5K17.1M-220.3K2.2040.109112,00316,61565,819
2016-03-10$25.98$24.7438.1%10.9%47.8%47.7%39.1%8.2%0.5%-901.6K15.1M-210.4K2.5139.158072,02916,66866,038
2016-03-11$26.54$24.7435.6%10.2%47.8%40.0%38.4%7.2%1.1%-593.2K10.2M-214.7K2.2532.068881,99816,82166,166
2016-03-14$26.60$24.7436.4%10.4%42.3%42.4%39.9%5.9%0.3%-527.4K7.9M-198.0K2.0523.019091,86716,96566,334
2016-03-15$26.34$25.7334.9%10.0%42.5%37.9%38.1%6.2%1.4%-545.1K9.1M-196.1K1.6023.531,2381,97817,15466,558
2016-03-16$27.40$24.7433.7%9.7%42.5%34.1%34.9%6.8%1.9%-45.9K617.1K-184.2K0.3645.356,8852,45217,56066,742
2016-03-17$28.20$25.7333.6%9.6%38.2%33.8%37.1%7.4%2.1%1.2M-16.6M-204.7K0.9832.732,6412,58821,94467,187
2016-03-18$28.01$25.7333.1%9.5%37.1%32.4%34.5%6.1%1.4%37.2K-15.3M-190.2K0.9931.294,0914,03121,44467,171
2016-03-21$27.85$25.7334.0%9.7%34.3%35.0%36.3%5.7%0.4%-152.1K3.1M-200.9K1.0425.342,6292,73711,94442,530
2016-03-22$28.11$26.7233.8%9.7%32.3%34.4%36.2%7.3%1.1%-108.8K1.7M-203.1K2.0622.362,5825,32212,22643,724
2016-03-23$27.19$26.7234.6%9.9%35.4%36.9%38.8%5.9%-0.3%-294.1K7.6M-212.5K7.1523.397915,65712,34245,922
2016-03-24$27.66$26.7232.8%9.4%35.6%31.3%37.0%5.3%1.8%-261.8K6.1M-211.5K5.7826.646563,79012,31546,647
2016-03-28$27.44$26.7235.2%10.1%36.0%38.6%36.5%5.3%-0.9%-288.4K7.2M-207.0K5.1823.976723,48112,33346,738
2016-03-29$27.95$26.7234.9%10.0%33.9%37.8%35.8%5.9%1.2%-191.6K4.6M-204.1K5.8924.976013,54212,33046,750
2016-03-30$27.88$26.7234.5%9.9%32.9%36.6%34.9%4.9%-0.5%-184.9K3.8M-201.4K5.0018.667333,66612,36346,796
2016-03-31$27.45$26.7234.0%9.8%31.4%35.1%36.8%5.0%0.3%-252.7K6.8M-202.2K5.8621.047614,45812,44546,921