SCCO Options History — April 2016

In April 2016, SCCO traded between $25.41 and $29.94. ATM implied volatility averaged 33.7%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 2.2% (HV 20d: 31.5%). Max pain ranged from $24.74 to $27.71. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 6.57.

Notable Days

  • 2016-04-28: Highest Volume — 9,245 contracts
  • 2016-04-11: Largest IV spike — 22.1% change
  • 2016-04-11: Highest IV Rank — 61.1%
  • 2016-04-07: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.81$25.41$29.94$27.32$29.35
Max Pain$26.25$24.74$27.71$26.72$27.71
ATM IV33.7%30.3%42.4%32.2%31.3%
Expected Move9.5%8.7%10.4%9.2%9.0%
HV 20d31.5%28.5%35.2%31.2%30.7%
HV 60d42.1%38.3%43.3%42.9%38.3%
IV Rank34.0%23.6%61.1%29.5%26.7%
IV Percentile42.0%23.4%84.1%35.7%25.8%
Term Structure0.1%-2.0%1.5%1.5%0.8%
VWIV34.9%31.7%39.3%33.5%33.3%
Skew 25d5.6%3.1%7.3%5.7%5.3%
Skew 10d15.5%6.8%26.9%13.5%17.9%
Call IV 25d31.4%29.3%34.1%31.7%30.5%
Put IV 25d37.0%33.6%40.7%37.4%35.8%
Bid-Ask Spread %25.2118.1139.1619.0619.09
Gamma HHI0.140.080.550.120.08
Net GEX-269.7K-1.2M2.0M-384.5K-265.7K
Net DEX6.6M-2.2M23.2M8.8M293.0K
Net VEX-174.2K-199.9K-146.7K-199.7K-164.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.571.6210.084.877.06
Total Volume5,710.8572,3029,2454,1658,000
Total OI58,661.76252,74062,41560,06858,530

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$27.32$26.7232.2%9.2%31.2%29.5%33.5%5.7%1.5%-384.5K8.8M-199.7K4.8719.067093,45612,47647,592
2016-04-04$26.52$25.7337.3%10.1%31.2%45.3%34.6%6.2%-0.1%-609.4K13.8M-199.9K1.7238.541,0181,75112,48947,577
2016-04-05$26.69$26.7235.7%10.1%31.2%40.4%36.0%7.3%-1.1%-527.2K12.9M-197.3K3.3423.207072,36512,76947,674
2016-04-06$26.57$26.7235.3%10.2%28.5%39.2%36.2%5.9%-2.0%-620.0K13.8M-196.6K2.9024.986111,77312,85247,858
2016-04-07$25.41$26.7236.5%10.4%32.9%42.8%39.3%6.6%-1.1%-1.2M23.2M-194.2K4.6622.246963,24512,85847,858
2016-04-08$25.63$25.7334.7%10.1%33.0%37.3%38.4%6.2%-0.8%-1.2M22.4M-197.1K3.7421.287342,74212,95149,037
2016-04-11$26.16$24.7442.4%10.3%32.9%61.1%37.7%5.8%0.9%-908.5K15.4M-183.1K1.6222.468791,42313,09749,105
2016-04-12$26.99$24.7439.2%10.0%34.8%51.2%38.4%6.6%-0.4%-266.5K9.7M-185.0K7.2622.468626,25713,19649,219
2016-04-13$27.51$24.7433.4%9.6%35.2%33.1%38.4%6.3%-0.5%262.9K4.3M-183.2K9.7131.666626,42313,26048,262
2016-04-14$27.35$24.7433.4%9.6%32.3%33.1%36.8%6.5%0.0%512.2K3.9M-168.6K9.8239.166456,32813,25448,393
2016-04-15$27.68$25.7332.8%9.4%30.9%31.4%33.9%5.8%-0.5%2.0M897.1K-160.4K6.8218.119276,32213,22948,552
2016-04-18$28.05$25.7332.1%9.2%31.2%29.2%32.6%6.4%0.4%-294.9K3.8M-155.3K7.0825.167735,4738,89243,848
2016-04-19$28.79$25.7330.3%8.7%32.4%23.6%32.8%4.3%1.3%-224.4K2.1M-161.1K8.5423.506435,4919,18644,250
2016-04-20$28.78$26.7231.2%8.9%32.3%26.3%32.4%5.2%0.5%-117.4K-651.2K-146.7K9.0821.866125,5579,34844,338
2016-04-21$28.57$26.7231.4%9.0%29.9%27.0%35.1%5.4%-0.2%-187.5K1.3M-159.4K10.0437.235635,6519,49944,469
2016-04-22$28.88$26.7231.8%9.1%29.5%28.3%31.7%3.1%1.4%-189.5K-60.5K-154.5K10.0821.696896,9439,53645,202
2016-04-25$28.68$26.7232.1%9.2%29.5%29.1%32.5%4.5%1.0%-489.7K5.1M-170.2K7.0228.257605,3369,67547,014
2016-04-26$29.58$26.7231.6%9.1%30.7%27.7%32.6%5.5%0.4%-329.9K-232.1K-160.2K6.2618.928975,6149,83347,534
2016-04-27$29.94$27.7130.6%8.8%30.8%24.4%32.5%5.2%0.1%-298.4K-2.2M-159.7K6.2925.489806,16610,15248,149
2016-04-28$29.51$27.7131.4%9.0%30.7%27.0%34.3%4.5%-0.2%-272.3K-771.9K-162.2K10.0825.008358,41010,42448,460
2016-04-29$29.35$27.7131.3%9.0%30.7%26.7%33.3%5.3%0.8%-265.7K293.0K-164.5K7.0619.099927,00810,46248,068