SCCO Options History — October 2016

In October 2016, SCCO traded between $25.81 and $28.14. ATM implied volatility averaged 26.3%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 2.9% (HV 20d: 23.4%). Max pain ranged from $25.73 to $26.72. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.29.

Notable Days

  • 2016-10-31: Highest Volume — 2,927 contracts
  • 2016-10-05: Largest IV drop — 14.0% change
  • 2016-10-13: Highest IV Rank — 20.2%
  • 2016-10-13: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.73$25.81$28.14$26.12$28.14
Max Pain$26.11$25.73$26.72$25.73$26.72
ATM IV26.3%22.9%28.9%26.2%27.8%
Expected Move7.6%6.6%8.3%7.5%8.0%
HV 20d23.4%21.1%25.1%24.1%22.7%
HV 60d20.9%19.7%22.1%19.7%20.5%
IV Rank12.1%1.7%20.2%11.8%17.0%
IV Percentile13.0%0.4%23.4%9.9%23.4%
Term Structure0.2%-1.3%2.9%1.1%-1.1%
VWIV27.2%23.7%30.3%24.0%27.5%
Skew 25d5.1%0.6%7.4%0.6%7.0%
Skew 10d13.1%4.4%25.0%4.4%18.1%
Call IV 25d25.0%23.5%27.2%25.3%24.6%
Put IV 25d30.2%25.8%32.5%25.9%31.6%
Bid-Ask Spread %51.6023.6397.4895.3230.45
Gamma HHI0.170.140.230.150.17
Net GEX18.7K-179.2K309.1K-162.0K309.1K
Net DEX4.2M-2.3M8.6M7.4M-2.3M
Net VEX-74.3K-78.5K-70.7K-74.5K-75.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.912.041.261.09
Total Volume2,337.9521,8122,9272,4122,927
Total OI21,578.28620,31522,44920,46022,413

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$26.12$25.7326.2%7.5%24.1%11.8%24.0%0.6%1.1%-162.0K7.4M-74.5K1.2695.321,0691,3437,14013,320
2016-10-04$25.81$25.7326.7%7.7%24.2%13.4%24.3%5.3%0.7%-179.2K8.6M-74.3K2.0490.619361,9087,42713,446
2016-10-05$26.36$25.7322.9%6.6%24.8%1.7%23.7%2.1%2.9%-83.9K6.6M-78.5K1.9797.488761,7227,41113,683
2016-10-06$26.05$26.7225.8%7.8%25.1%10.6%28.9%4.9%-0.2%-119.3K7.3M-77.6K1.6525.179011,4877,62413,722
2016-10-07$25.96$26.7226.5%7.9%22.6%12.8%27.8%5.1%-0.2%-134.3K8.0M-75.3K1.6327.889161,4927,68113,737
2016-10-10$26.44$26.7224.1%7.5%22.4%5.4%26.6%5.7%0.1%-2.9K5.3M-75.7K1.7723.728391,4827,75813,724
2016-10-11$25.90$25.7326.3%8.0%21.6%12.2%27.4%5.1%-0.0%-111.8K7.8M-74.1K1.0023.789849827,87113,726
2016-10-12$26.41$25.7326.8%7.7%22.4%13.6%29.1%7.2%0.4%4.0K5.3M-75.3K1.2139.239271,1247,88613,729
2016-10-13$26.02$25.7328.9%8.3%23.2%20.2%29.9%5.8%-1.3%-60.8K7.6M-72.2K1.2225.949121,1097,95213,782
2016-10-14$25.81$25.7327.6%7.9%23.4%16.1%29.7%5.7%-0.7%-132.3K8.4M-71.3K1.1726.258359777,94513,772
2016-10-17$26.15$25.7327.9%8.0%23.7%17.1%30.3%6.6%-0.3%-20.7K7.1M-71.4K1.1456.498749958,00413,784
2016-10-18$26.34$25.7326.8%7.7%23.8%13.6%29.4%5.3%-0.2%29.7K5.8M-70.7K1.0282.721,0491,0738,05113,792
2016-10-19$27.08$25.7326.7%7.6%24.6%13.3%27.7%3.4%0.0%267.4K1.7M-71.3K1.2985.618451,0928,23513,792
2016-10-20$27.40$25.7325.4%7.3%24.8%9.2%25.1%4.5%0.4%265.2K86.0K-72.4K0.9173.931,2531,1388,42413,799
2016-10-21$27.17$25.7326.5%7.6%24.4%12.7%26.5%4.2%1.6%-88.1K-48.0K-72.8K1.0378.901,3401,3828,69713,752
2016-10-24$27.42$25.7324.8%7.1%24.3%7.5%25.3%5.7%0.5%2.8K2.7M-72.4K1.0880.361,1971,2937,65612,659
2016-10-25$27.64$26.7225.7%7.4%24.2%10.3%28.2%6.3%0.2%82.2K1.1M-74.9K1.0939.741,1891,3008,15812,803
2016-10-26$27.76$26.7227.2%7.8%21.3%14.9%26.0%7.4%-1.0%134.7K277.9K-75.9K0.9628.891,3061,2528,67712,867
2016-10-27$27.85$26.7225.8%7.4%21.1%10.7%27.4%5.1%0.8%210.6K-620.3K-78.2K1.2227.521,1141,3559,10212,876
2016-10-28$27.51$26.7225.4%7.3%21.7%9.5%25.6%4.8%-0.1%183.2K1.1M-76.0K1.3123.639961,3069,29012,977
2016-10-31$28.14$26.7227.8%8.0%22.7%17.0%27.5%7.0%-1.1%309.1K-2.3M-75.4K1.0930.451,3971,5309,42112,992