SCCO Options History — September 2016

In September 2016, SCCO traded between $24.93 and $26.37. ATM implied volatility averaged 26.5%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 6.7% (HV 20d: 19.9%). Max pain ranged from $25.73 to $26.72. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.43.

Notable Days

  • 2016-09-27: Highest Volume — 2,548 contracts
  • 2016-09-13: Largest IV spike — 32.8% change
  • 2016-09-13: Highest IV Rank — 54.3%
  • 2016-09-15: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.62$24.93$26.37$25.58$26.11
Max Pain$26.06$25.73$26.72$25.73$25.73
ATM IV26.5%22.4%40.3%25.4%24.1%
Expected Move7.4%6.4%8.7%7.3%6.9%
HV 20d19.9%13.8%24.3%14.3%24.3%
HV 60d24.8%20.1%28.3%28.1%20.1%
IV Rank10.0%0.0%54.3%5.7%5.4%
IV Percentile10.3%0.0%83.3%2.8%2.0%
Term Structure1.3%-1.5%3.0%1.3%2.9%
VWIV26.5%23.5%30.0%23.9%24.2%
Skew 25d4.7%0.3%8.1%0.3%6.6%
Skew 10d12.7%2.1%24.1%10.2%11.2%
Call IV 25d24.4%21.8%26.9%26.6%25.1%
Put IV 25d29.1%25.9%32.7%26.9%31.6%
Bid-Ask Spread %83.4436.14109.9396.91100.94
Gamma HHI0.150.130.180.140.14
Net GEX-403.8K-624.9K-180.2K-472.7K-180.2K
Net DEX11.0M7.2M14.6M11.9M7.7M
Net VEX-75.5K-83.2K-70.0K-83.1K-76.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.882.031.361.64
Total Volume2,077.7621,6462,5481,9692,215
Total OI20,790.38117,87622,79422,06820,159

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$25.58$25.7325.4%7.3%14.3%5.7%23.9%0.3%1.3%-472.7K11.9M-83.1K1.3696.918351,1346,93215,136
2016-09-02$25.81$25.7323.9%6.8%13.8%0.7%23.5%3.0%1.7%-436.2K11.1M-83.2K1.4936.147661,1416,95715,158
2016-09-06$26.09$26.7224.9%7.1%13.8%4.0%26.6%1.8%1.6%-376.1K9.8M-80.9K1.8577.397551,3996,97215,089
2016-09-07$25.72$26.7223.8%7.3%14.8%0.3%27.1%4.7%1.7%-535.6K11.3M-80.1K1.5184.897701,1666,97615,390
2016-09-08$25.84$26.7224.2%7.2%14.9%1.7%26.5%3.6%1.9%-454.8K10.8M-78.2K1.4578.938231,1936,98515,176
2016-09-09$25.09$26.7228.0%7.8%18.2%14.2%27.7%4.8%1.5%-582.1K13.7M-75.9K1.5278.317971,2117,01415,171
2016-09-12$25.59$26.7230.3%7.4%19.7%21.9%27.9%4.9%0.8%-577.4K12.6M-75.3K1.4589.068731,2677,03015,220
2016-09-13$24.93$26.7240.3%8.3%21.6%54.3%30.0%8.1%0.6%-578.4K14.2M-74.5K1.4284.759811,3917,11515,291
2016-09-14$25.11$26.7230.1%8.6%21.9%21.2%29.9%4.3%-1.5%-624.9K14.6M-72.1K0.9382.701,1891,1037,27715,517
2016-09-15$25.17$25.7330.2%8.7%21.8%21.4%29.8%3.8%-1.1%-511.8K13.5M-73.5K0.9386.471,1921,1147,49615,295
2016-09-16$25.09$25.7327.4%7.9%21.7%12.3%26.9%4.3%1.2%-423.0K13.9M-72.1K0.9760.951,1601,1237,47015,294
2016-09-19$25.25$25.7325.5%7.3%21.3%5.9%25.9%4.6%2.3%-408.1K11.9M-70.0K0.8880.161,1611,0165,11212,764
2016-09-20$25.38$25.7325.2%7.2%20.9%4.9%26.6%6.1%1.0%-360.8K11.2M-71.6K1.3283.077449805,59512,842
2016-09-21$25.92$25.7325.4%7.3%22.4%5.8%24.5%7.1%1.4%-332.5K9.5M-74.8K1.38109.937099775,62512,845
2016-09-22$26.05$25.7324.7%7.1%20.8%3.4%25.3%5.3%1.7%-280.2K8.7M-74.6K1.5784.506471,0185,82912,856
2016-09-23$25.69$25.7324.8%7.1%21.1%3.7%25.6%4.1%2.4%-306.0K9.8M-72.6K1.6485.106221,0245,96312,915
2016-09-26$25.55$25.7324.8%7.1%21.0%3.8%26.8%7.1%1.5%-297.3K10.5M-70.9K1.7785.927601,3465,98312,905
2016-09-27$25.47$25.7325.4%7.3%21.0%5.8%26.8%5.1%0.6%-344.3K10.7M-72.4K1.0291.271,2621,2866,10913,247
2016-09-28$26.37$25.7322.4%6.4%24.2%0.0%24.9%4.2%3.0%-206.3K7.2M-75.8K1.8086.888071,4506,54313,247
2016-09-29$26.23$25.7326.6%7.6%24.2%13.0%25.8%4.9%1.1%-191.3K7.3M-77.6K2.0387.897351,4916,81313,285
2016-09-30$26.11$25.7324.1%6.9%24.3%5.4%24.2%6.6%2.9%-180.2K7.7M-76.4K1.64100.948381,3776,87713,282