SCCO Options History — November 2016

In November 2016, SCCO traded between $26.46 and $33.42. ATM implied volatility averaged 31.4%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 14.6% (HV 20d: 46.0%). Max pain ranged from $25.73 to $29.69. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.77.

Notable Days

  • 2016-11-10: Highest Volume — 10,379 contracts
  • 2016-11-10: Largest IV spike — 20.8% change
  • 2016-11-14: Highest IV Rank — 44.0%
  • 2016-11-14: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.75$26.46$33.42$27.56$32.58
Max Pain$27.99$25.73$29.69$26.72$29.69
ATM IV31.4%27.2%36.4%30.0%30.8%
Expected Move8.8%7.8%10.4%8.6%8.8%
HV 20d46.0%23.7%57.3%23.7%56.6%
HV 60d32.3%20.9%37.9%20.9%37.9%
IV Rank28.0%15.0%44.0%23.7%26.3%
IV Percentile42.6%21.0%76.6%31.0%39.3%
Term Structure-1.2%-3.0%0.1%-2.2%-1.5%
VWIV31.7%27.7%37.8%29.6%33.1%
Skew 25d5.0%2.5%7.2%4.8%5.1%
Skew 10d13.0%9.4%22.7%9.6%9.8%
Call IV 25d29.1%24.1%33.0%28.0%29.0%
Put IV 25d34.1%29.9%40.2%32.8%34.1%
Bid-Ask Spread %29.5019.4774.6531.9521.84
Gamma HHI0.130.090.230.160.12
Net GEX217.0K-227.4K492.3K247.7K447.7K
Net DEX-15.8M-30.5M6.3M135.2K-22.7M
Net VEX-85.2K-101.2K-59.4K-78.3K-84.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.854.621.332.08
Total Volume3,715.5242,04010,3793,4072,367
Total OI30,227.90523,39937,28123,39933,335

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$27.56$26.7230.0%8.6%23.7%23.7%29.6%4.8%-2.2%247.7K135.2K-78.3K1.3331.951,4621,94510,07913,320
2016-11-02$26.59$26.7231.5%9.0%26.5%28.6%31.3%6.3%-2.3%-4.5K5.7M-77.2K1.7374.651,1081,92110,25514,066
2016-11-03$26.46$25.7331.8%8.2%26.2%29.4%28.5%5.5%-0.8%-17.3K6.3M-75.4K1.1126.411,1561,28210,25114,031
2016-11-04$27.08$25.7335.4%8.7%27.3%40.7%30.1%5.4%-1.1%107.3K3.5M-78.0K1.0319.471,2381,27710,39314,124
2016-11-07$27.61$25.7330.9%8.1%27.4%26.6%28.2%5.3%-0.7%280.3K167.4K-78.0K1.1526.291,0691,22510,47814,124
2016-11-08$28.51$25.7332.3%7.9%27.9%30.9%28.6%4.9%-0.1%355.5K-5.6M-78.4K1.1225.631,1491,28810,53914,057
2016-11-09$29.30$25.7327.2%7.8%28.6%15.0%27.7%5.8%-1.2%457.2K-11.4M-76.0K1.2731.361,1511,46610,77714,151
2016-11-10$33.42$25.7332.8%9.4%52.4%32.7%34.9%5.4%-2.0%73.6K-27.4M-59.4K1.0237.095,1415,23811,03214,116
2016-11-11$32.46$27.7135.2%10.1%54.0%40.2%36.5%7.2%-2.0%330.7K-28.1M-93.1K1.3032.392,6863,49515,16016,144
2016-11-14$32.79$27.7136.4%10.4%54.0%44.0%37.8%6.8%-3.0%329.9K-30.5M-93.5K1.9327.251,9303,71815,99618,386
2016-11-15$32.07$27.7133.5%9.6%55.3%34.7%35.3%5.1%-1.9%127.3K-26.7M-95.8K3.9232.381,3695,37216,33118,826
2016-11-16$31.47$29.6932.8%9.4%55.8%32.5%35.0%4.7%-1.1%-120.5K-21.4M-101.2K4.6224.988013,70216,44020,347
2016-11-17$31.32$29.6931.8%9.1%55.9%29.5%32.3%4.8%-1.3%-227.4K-21.1M-99.6K2.2929.951,0742,46116,54620,498
2016-11-18$31.38$29.6929.3%8.4%55.7%21.5%31.4%5.1%-0.2%100.5K-21.8M-93.4K2.5025.721,1052,76716,72720,554
2016-11-21$31.61$29.6929.5%8.5%55.7%22.4%30.3%4.0%-0.9%107.2K-15.3M-93.5K1.4726.049511,39512,91018,038
2016-11-22$32.56$29.6928.4%8.2%56.3%18.9%29.6%3.8%0.1%225.5K-20.4M-88.6K0.8527.581,7801,51913,02418,344
2016-11-23$33.04$29.6928.9%8.3%56.3%20.3%30.9%2.5%-0.3%413.1K-24.2M-88.2K1.4927.101,1381,69113,68518,521
2016-11-25$33.25$29.6928.1%8.1%56.2%17.9%28.9%4.5%-0.1%476.1K-26.0M-86.3K1.1824.701,4031,65014,11318,618
2016-11-28$32.77$29.6930.7%8.8%56.4%25.9%32.9%3.1%-1.5%492.3K-24.7M-83.8K2.0021.478311,66514,52518,622
2016-11-29$31.97$29.6931.2%8.9%57.3%27.5%33.3%5.2%-1.9%354.5K-19.6M-86.0K1.8525.207151,32514,63118,672
2016-11-30$32.58$29.6930.8%8.8%56.6%26.3%33.1%5.1%-1.5%447.7K-22.7M-84.7K2.0821.847691,59814,57418,761