SCCO Options History — June 2016

In June 2016, SCCO traded between $25.25 and $27.72. ATM implied volatility averaged 31.4%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 5.4% (HV 20d: 26.0%). Max pain ranged from $26.72 to $27.71. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 2.32.

Notable Days

  • 2016-06-09: Highest Volume — 4,586 contracts
  • 2016-06-24: Largest IV spike — 20.1% change
  • 2016-06-27: Highest IV Rank — 36.5%
  • 2016-06-27: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.19$25.25$27.72$25.76$26.68
Max Pain$26.77$26.72$27.71$27.71$26.72
ATM IV31.4%27.4%34.6%32.8%27.4%
Expected Move9.0%7.8%9.9%9.4%7.8%
HV 20d26.0%20.0%40.7%21.1%40.7%
HV 60d27.7%25.7%31.6%27.8%31.6%
IV Rank25.7%4.6%36.5%31.2%4.6%
IV Percentile19.3%0.8%44.4%29.4%0.8%
Term Structure0.7%-1.0%3.2%-1.0%3.2%
VWIV31.3%28.1%34.0%33.1%29.0%
Skew 25d5.9%3.9%8.8%5.2%6.6%
Skew 10d14.3%-0.6%24.3%12.0%24.3%
Call IV 25d29.1%25.9%32.6%31.9%26.7%
Put IV 25d35.0%31.4%40.0%37.1%33.3%
Bid-Ask Spread %29.6322.1096.2924.0833.85
Gamma HHI0.150.110.230.160.13
Net GEX-362.1K-880.4K-48.5K-784.8K-48.5K
Net DEX11.7M3.4M19.0M16.8M6.8M
Net VEX-118.3K-126.3K-110.8K-126.3K-117.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.321.193.452.211.61
Total Volume3,428.4552,7614,5862,7613,061
Total OI43,303.81820,61558,39756,82823,387

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$25.76$27.7132.8%9.4%21.1%31.2%33.1%5.2%-1.0%-784.8K16.8M-126.3K2.2124.088601,90110,21846,610
2016-06-02$26.00$26.7232.7%9.1%21.4%31.1%34.0%6.5%1.1%-688.4K15.6M-125.4K2.8822.108662,49510,28946,611
2016-06-03$26.13$26.7232.7%9.2%21.5%31.0%31.1%5.5%0.0%-615.4K14.0M-125.0K2.7825.479012,50910,28647,276
2016-06-06$26.72$26.7230.7%8.7%22.9%24.7%31.1%5.3%-0.1%-486.8K11.5M-123.9K3.2524.078272,68410,31347,315
2016-06-07$26.29$26.7231.7%8.6%20.1%27.8%32.3%5.4%1.9%-495.7K13.1M-122.2K3.4524.477622,62610,36647,420
2016-06-08$26.56$26.7231.0%8.9%20.3%25.7%31.4%3.9%0.1%-350.6K10.9M-122.6K3.4223.428372,86310,34947,555
2016-06-09$25.92$26.7231.3%9.0%21.6%26.5%30.1%5.5%1.0%-563.8K14.7M-119.9K1.6724.271,7212,86510,48647,716
2016-06-10$25.70$26.7230.8%8.8%21.7%24.9%34.0%5.1%1.4%-656.4K16.2M-118.3K2.8832.741,0282,96210,51647,681
2016-06-13$25.73$26.7232.6%9.3%20.0%30.6%32.2%6.3%0.6%-594.9K15.8M-115.5K2.7723.471,0432,89010,51047,847
2016-06-14$25.30$26.7231.8%9.1%20.0%28.3%31.8%7.0%1.4%-880.4K19.0M-113.7K2.6524.881,0342,74210,56547,832
2016-06-15$25.93$26.7233.7%9.7%22.3%34.0%32.1%5.3%0.3%-302.5K13.9M-115.3K3.3641.299923,33810,57247,780
2016-06-16$25.80$26.7232.4%9.3%21.3%30.0%31.4%6.1%0.9%-434.1K15.6M-110.8K1.8327.091,0811,97810,62147,127
2016-06-17$26.33$26.7230.3%8.7%22.5%23.4%32.4%8.8%2.0%-148.7K13.0M-113.9K1.9526.271,0382,02110,77947,133
2016-06-20$26.98$26.7229.3%8.4%23.8%20.4%28.7%5.5%0.7%-99.5K5.9M-116.1K1.5827.131,1491,8156,70413,911
2016-06-21$26.98$26.7230.0%8.6%23.8%22.5%29.8%5.4%0.3%-69.3K5.9M-117.9K2.6223.119042,3727,23013,989
2016-06-22$27.00$26.7230.5%8.7%23.5%23.7%29.8%4.5%-0.0%-86.4K5.5M-120.6K2.8226.028292,3397,34914,590
2016-06-23$27.72$26.7228.2%8.1%24.8%16.6%28.1%4.8%1.7%-60.5K3.4M-119.8K1.5596.291,2061,8747,38014,593
2016-06-24$25.48$26.7233.9%9.7%39.5%34.3%32.8%5.6%-0.2%-193.8K10.6M-115.0K1.3827.541,4381,9807,88914,644
2016-06-27$25.25$26.7234.6%9.9%39.6%36.5%32.7%8.2%-0.6%-199.5K11.5M-111.3K1.1924.241,5521,8408,08214,781
2016-06-28$25.80$26.7231.7%9.1%39.9%19.6%31.0%6.1%1.1%-128.1K9.4M-115.7K1.5123.711,2261,8458,32714,849
2016-06-29$26.10$26.7231.1%8.9%40.1%17.5%29.7%6.5%0.7%-77.1K8.1M-116.9K1.7526.391,1371,9958,34414,862
2016-06-30$26.68$26.7227.4%7.8%40.7%4.6%29.0%6.6%3.2%-48.5K6.8M-117.1K1.6133.851,1731,8888,35415,033