SCCO Options History — August 2016

In August 2016, SCCO traded between $25.13 and $26.40. ATM implied volatility averaged 26.0%, placing in the 3.1% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 6.3% (HV 20d: 19.7%). Max pain ranged from $25.73 to $26.72. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.49.

Notable Days

  • 2016-08-22: Highest Volume — 2,954 contracts
  • 2016-08-24: Largest IV spike — 11.0% change
  • 2016-08-31: Highest IV Rank — 8.8%
  • 2016-08-01: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.84$25.13$26.40$25.13$25.57
Max Pain$26.46$25.73$26.72$25.73$25.73
ATM IV26.0%23.6%28.6%28.6%26.4%
Expected Move7.4%6.8%8.2%8.2%7.6%
HV 20d19.7%14.2%21.6%21.6%14.2%
HV 60d28.8%28.2%29.4%29.2%28.2%
IV Rank3.1%0.0%8.8%7.1%8.8%
IV Percentile1.4%0.0%6.0%2.8%6.0%
Term Structure1.5%0.0%3.0%0.3%0.5%
VWIV24.3%20.6%29.2%29.2%20.6%
Skew 25d4.3%2.3%7.0%4.0%4.6%
Skew 10d11.5%-12.6%22.0%6.4%14.8%
Call IV 25d24.6%21.9%26.7%26.7%24.7%
Put IV 25d28.9%25.3%31.8%30.7%29.3%
Bid-Ask Spread %65.1118.73102.5953.76101.83
Gamma HHI0.140.120.180.180.14
Net GEX-431.3K-634.1K-329.7K-634.1K-472.8K
Net DEX11.1M9.2M14.4M14.4M11.8M
Net VEX-90.7K-102.1K-83.9K-96.4K-84.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.373.481.611.36
Total Volume2,072.0871542,9542,4761,945
Total OI23,533.30420,38424,95624,00222,094

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$25.13$25.7328.6%8.2%21.6%7.1%29.2%4.0%0.3%-634.1K14.4M-96.4K1.6153.769481,5287,32616,676
2016-08-02$25.56$25.7328.2%8.1%18.0%5.6%27.2%6.5%0.0%-540.7K12.8M-98.4K1.7433.951,0461,8247,36016,692
2016-08-03$26.40$25.7326.0%7.4%21.1%0.0%27.8%7.0%1.4%-391.7K9.7M-101.3K1.79101.189361,6767,44116,725
2016-08-04$26.36$26.7226.3%7.5%21.0%1.2%23.0%5.4%2.2%-352.5K9.2M-102.1K1.7334.399091,5697,58416,769
2016-08-05$25.96$26.7227.3%7.9%20.9%4.5%21.7%4.7%1.1%-424.0K10.6M-99.1K1.6825.668551,4377,58816,768
2016-08-08$25.71$26.7227.8%7.6%20.8%6.1%21.7%3.5%1.0%-493.0K11.5M-94.6K1.7229.848651,4877,58916,772
2016-08-09$25.69$26.7226.9%7.5%20.4%3.2%22.6%4.3%1.0%-473.8K11.6M-93.0K1.1631.761,2451,4507,59616,756
2016-08-10$25.71$26.7226.5%7.6%19.6%1.7%22.7%4.2%1.3%-449.5K11.7M-93.3K1.3624.921,0761,4607,97916,761
2016-08-11$25.77$26.7226.0%7.5%19.6%0.2%22.1%4.3%1.4%-395.7K11.1M-92.2K1.3325.351,0671,4207,99216,765
2016-08-12$25.84$26.7225.6%7.3%19.6%0.0%22.2%4.5%1.0%-363.9K11.4M-90.4K1.3029.881,0691,3867,99316,800
2016-08-15$25.93$26.7226.6%7.6%19.6%3.6%23.6%4.5%0.4%-329.7K10.5M-89.5K1.3629.061,0411,4177,98916,840
2016-08-16$25.88$26.7226.3%7.5%19.0%2.4%23.4%4.1%0.9%-364.4K10.7M-88.1K1.6018.738981,4388,09716,790
2016-08-17$25.97$26.7225.8%7.4%19.1%0.7%26.8%4.7%1.6%-360.8K10.9M-88.2K3.48102.59612118,09116,800
2016-08-18$26.12$26.7226.2%7.5%19.0%2.2%24.6%3.0%2.1%-385.3K9.7M-88.9K0.3791.89131488,08916,839
2016-08-19$25.72$26.7224.3%7.0%19.7%0.0%24.2%3.4%2.4%-477.6K11.5M-87.3K1.4193.701,0011,4078,14116,815
2016-08-22$26.02$26.7223.9%6.9%20.2%0.0%24.0%5.2%1.9%-415.6K10.8M-84.6K1.8794.521,0281,9266,11814,266
2016-08-23$26.05$26.7223.6%6.8%19.6%0.0%24.5%3.4%2.6%-402.1K10.0M-87.9K1.7198.057571,2936,49314,925
2016-08-24$25.47$26.7226.2%7.5%21.1%8.3%25.8%4.3%0.6%-469.0K11.9M-85.7K0.4294.41109456,55514,935
2016-08-25$25.72$26.7224.5%7.0%20.9%2.8%24.9%4.7%2.2%-447.1K11.5M-83.9K1.5897.046911,0956,60614,965
2016-08-26$25.92$26.7225.3%7.3%21.0%5.4%25.1%2.3%3.0%-423.1K10.6M-87.4K1.2198.779211,1166,66515,135
2016-08-29$25.99$25.7325.0%7.2%18.9%4.4%25.0%3.3%1.9%-415.8K10.6M-86.0K1.3087.418381,0916,88015,136
2016-08-30$25.73$25.7324.6%7.0%18.4%2.9%25.9%3.4%2.4%-438.0K11.2M-84.0K1.1898.918701,0276,92015,150
2016-08-31$25.57$25.7326.4%7.6%14.2%8.8%20.6%4.6%0.5%-472.8K11.8M-84.0K1.36101.838251,1206,92515,169