SCCO Options History — May 2016

In May 2016, SCCO traded between $25.82 and $29.24. ATM implied volatility averaged 33.7%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 8.6% (HV 20d: 25.1%). Max pain ranged from $27.71 to $28.70. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 3.62.

Notable Days

  • 2016-05-05: Highest Volume — 8,379 contracts
  • 2016-05-09: Largest IV spike — 10.9% change
  • 2016-05-17: Highest IV Rank — 41.3%
  • 2016-05-17: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.17$25.82$29.24$29.24$25.82
Max Pain$28.32$27.71$28.70$27.71$27.71
ATM IV33.7%30.1%36.0%32.6%33.4%
Expected Move9.6%8.6%10.3%9.3%9.6%
HV 20d25.1%21.2%30.3%28.3%21.7%
HV 60d32.5%27.8%36.7%36.5%27.8%
IV Rank34.0%22.9%41.3%30.7%33.0%
IV Percentile39.8%13.9%59.5%33.7%33.7%
Term Structure-0.4%-1.6%1.0%-1.0%-0.7%
VWIV36.1%27.5%42.7%34.3%27.5%
Skew 25d5.7%4.3%7.7%5.5%4.4%
Skew 10d11.8%-2.3%20.3%12.2%-2.3%
Call IV 25d31.8%29.6%33.8%32.1%32.1%
Put IV 25d37.5%35.1%39.1%37.6%36.5%
Bid-Ask Spread %22.3217.4931.9720.9623.34
Gamma HHI0.120.080.170.080.16
Net GEX-689.9K-1.3M-280.0K-280.0K-736.4K
Net DEX12.4M578.1K19.8M578.1K15.8M
Net VEX-145.4K-162.9K-127.1K-162.2K-127.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.621.156.986.982.37
Total Volume5,303.2862,8588,3797,7212,858
Total OI58,569.14353,34060,47158,72156,791

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$29.24$27.7132.6%9.3%28.3%30.7%34.3%5.5%-1.0%-280.0K578.1K-162.2K6.9820.969686,75310,57248,149
2016-05-03$28.63$27.7133.5%9.6%29.8%33.4%36.7%6.3%-1.0%-348.9K4.2M-162.7K6.4419.801,0897,01410,64848,151
2016-05-04$28.23$27.7134.3%9.8%30.3%35.8%35.2%6.3%-1.5%-377.3K5.8M-158.2K4.7824.711,3886,63810,59348,151
2016-05-05$27.95$28.7034.4%9.8%25.0%36.2%41.5%6.7%0.0%-538.9K8.4M-162.3K5.9619.941,2037,17610,74448,226
2016-05-06$28.25$28.7032.2%9.4%25.1%29.5%42.3%5.7%0.7%-481.3K6.9M-162.9K5.5821.821,1796,57810,74548,897
2016-05-09$27.26$28.7035.8%10.0%28.2%40.4%42.7%6.4%0.4%-721.1K13.6M-159.6K5.4019.411,2486,73710,79948,908
2016-05-10$27.46$28.7034.6%9.8%26.1%36.9%41.4%7.7%-1.4%-697.9K12.2M-154.9K4.9617.891,2946,41810,90249,203
2016-05-11$27.62$28.7034.1%9.8%25.3%35.3%42.1%5.0%-0.4%-592.9K10.3M-155.0K5.7019.041,1256,41310,94949,231
2016-05-12$27.50$28.7034.2%9.8%25.2%35.7%42.1%5.4%-0.1%-590.7K10.9M-151.6K6.1920.281,0556,52710,96249,224
2016-05-13$26.79$28.7035.5%10.2%26.5%39.8%34.1%5.5%-1.6%-896.4K16.8M-148.7K2.3026.361,1162,56610,97149,359
2016-05-16$27.10$28.7035.1%10.1%26.3%38.3%35.4%6.4%-0.4%-723.2K14.0M-143.1K2.0026.501,1062,21510,95849,412
2016-05-17$27.06$28.7036.0%10.3%24.2%41.3%35.1%5.5%-1.1%-766.4K14.8M-142.0K2.0025.011,1062,20910,95949,399
2016-05-18$26.51$28.7035.1%10.1%24.9%38.4%34.5%4.3%-0.6%-1.1M18.0M-134.5K2.4627.039422,31411,03249,301
2016-05-19$26.70$28.7035.0%10.0%25.2%38.0%35.0%5.9%-0.8%-1.3M17.6M-135.2K2.0420.461,0842,20811,06349,336
2016-05-20$26.40$28.7033.4%9.6%24.8%33.1%33.8%5.7%0.4%-816.3K19.8M-133.5K2.1520.701,0522,26011,15949,312
2016-05-23$26.47$28.7032.3%9.3%24.9%29.7%32.7%4.5%-0.1%-762.3K14.6M-127.9K1.4719.711,3321,9528,14445,196
2016-05-24$26.25$27.7131.6%9.0%21.3%27.4%35.0%5.3%-0.5%-739.9K14.8M-127.1K2.6120.291,2783,3418,67345,252
2016-05-25$26.59$27.7131.4%9.0%21.4%27.0%32.1%5.3%0.1%-689.2K13.6M-132.7K1.1517.491,6731,9328,89746,608
2016-05-26$26.44$27.7132.5%9.3%21.2%30.2%32.9%6.5%-0.6%-666.5K13.6M-136.6K1.7825.981,0891,9349,75346,652
2016-05-27$26.33$27.7130.1%8.6%21.2%22.9%30.6%5.4%1.0%-659.3K14.1M-134.1K1.7831.971,0791,92010,00046,671
2016-05-31$25.82$27.7133.4%9.6%21.7%33.0%27.5%4.4%-0.7%-736.4K15.8M-127.9K2.3723.348482,01010,14846,643