SCCO Options History — July 2016

In July 2016, SCCO traded between $25.03 and $26.46. ATM implied volatility averaged 30.2%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 6.2% (HV 20d: 36.5%). Max pain ranged from $25.73 to $26.72. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.70.

Notable Days

  • 2016-07-07: Highest Volume — 3,799 contracts
  • 2016-07-13: Largest IV drop — 16.6% change
  • 2016-07-12: Highest IV Rank — 31.5%
  • 2016-07-06: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.89$25.03$26.46$26.18$25.74
Max Pain$25.78$25.73$26.72$26.72$25.73
ATM IV30.2%26.6%35.2%29.8%26.6%
Expected Move8.6%7.6%9.6%8.5%7.6%
HV 20d36.5%21.0%42.5%41.3%21.0%
HV 60d30.0%28.9%31.4%30.5%28.9%
IV Rank12.5%0.0%31.5%12.9%0.0%
IV Percentile11.7%0.0%52.0%4.8%0.0%
Term Structure-0.7%-2.2%0.5%0.5%0.4%
VWIV30.3%26.3%34.3%28.1%32.3%
Skew 25d5.6%4.0%7.0%6.7%4.3%
Skew 10d13.7%7.0%24.8%17.0%8.6%
Call IV 25d28.0%25.1%30.9%26.4%25.1%
Put IV 25d33.6%29.4%36.9%33.2%29.4%
Bid-Ask Spread %41.7222.8694.8431.3394.84
Gamma HHI0.140.130.200.140.14
Net GEX-279.7K-489.3K54.1K-82.8K-489.3K
Net DEX10.5M8.3M13.2M8.3M12.1M
Net VEX-105.3K-114.4K-100.8K-114.4K-100.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.701.272.591.522.25
Total Volume2,943.852,3293,7992,9653,102
Total OI23,130.121,57524,26223,32923,895

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$26.18$26.7229.8%8.5%41.3%12.9%28.1%6.7%0.5%-82.8K8.3M-114.4K1.5231.331,1751,7908,39314,936
2016-07-05$25.20$25.7332.8%9.4%42.5%23.5%31.1%5.5%0.1%-251.1K12.0M-107.2K1.5636.711,1071,7278,38014,962
2016-07-06$25.14$25.7333.4%9.6%42.2%25.3%32.6%5.1%-1.1%-262.7K12.7M-104.3K1.6331.051,2081,9668,38515,007
2016-07-07$25.03$25.7333.7%9.4%42.0%26.4%34.3%6.0%-0.5%-303.2K13.2M-104.3K1.8126.831,3532,4468,41415,239
2016-07-08$25.52$25.7329.0%8.9%41.9%10.4%33.4%6.7%-0.0%-263.9K11.7M-107.5K1.9230.571,2602,4198,27215,571
2016-07-11$25.80$25.7332.0%9.3%42.0%20.8%32.3%4.9%-1.1%-242.9K11.1M-106.9K1.7134.471,1411,9548,26615,580
2016-07-12$26.11$25.7335.2%9.1%42.2%31.5%32.0%6.7%-1.3%-152.8K9.9M-107.7K1.6529.171,1451,8878,32415,638
2016-07-13$26.46$25.7329.3%8.4%41.9%11.3%32.3%6.6%0.0%54.1K8.3M-110.0K1.4826.841,2231,8158,35015,840
2016-07-14$26.34$25.7330.1%8.6%41.1%13.9%30.1%5.1%-1.3%-59.5K8.8M-109.0K1.3027.261,2051,5628,37815,884
2016-07-15$26.16$25.7330.8%8.8%41.1%16.4%30.1%7.0%-1.5%-318.2K9.9M-107.1K1.2730.071,1981,5178,27415,932
2016-07-18$26.17$25.7330.7%8.8%40.5%12.1%29.9%6.0%-0.9%-330.7K9.8M-104.7K1.6333.349081,4836,56315,012
2016-07-19$25.82$25.7330.9%8.9%39.6%12.9%30.0%5.0%-2.2%-349.4K10.3M-103.2K1.7122.868801,5026,64915,014
2016-07-20$25.85$25.7329.7%8.5%39.6%8.6%31.6%6.3%-0.3%-349.0K10.4M-102.0K1.8423.368191,5106,75715,040
2016-07-21$26.06$25.7329.5%8.5%39.8%7.8%29.0%4.4%-1.7%-353.1K9.9M-102.1K1.6427.461,0291,6916,72115,099
2016-07-22$25.98$25.7327.6%7.9%38.4%0.8%28.4%5.2%-0.3%-353.3K10.4M-102.9K1.4324.841,1511,6496,96215,347
2016-07-25$25.93$25.7328.8%8.3%23.5%5.2%26.6%5.9%-0.6%-370.7K10.5M-100.8K1.4575.771,1611,6857,02915,370
2016-07-26$26.27$25.7327.2%7.8%23.5%0.0%26.3%5.7%-0.1%-323.9K9.7M-103.0K1.3877.481,1231,5497,12115,389
2016-07-27$26.19$25.7328.9%8.3%22.4%6.1%27.2%4.0%-0.9%-334.6K9.5M-102.5K2.5964.099832,5437,22715,520
2016-07-28$25.80$25.7328.4%8.1%22.7%4.5%28.5%4.3%-1.1%-457.3K11.4M-104.5K2.1386.089622,0497,31316,549
2016-07-29$25.74$25.7326.6%7.6%21.0%0.0%32.3%4.3%0.4%-489.3K12.1M-100.9K2.2594.849542,1487,33716,558