SCCO Options History — December 2016

In December 2016, SCCO traded between $31.30 and $34.58. ATM implied volatility averaged 29.2%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 4.5% (HV 20d: 33.7%). Max pain ranged from $29.69 to $29.69. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.44.

Notable Days

  • 2016-12-13: Highest Volume — 4,485 contracts
  • 2016-12-12: Largest IV spike — 23.9% change
  • 2016-12-13: Highest IV Rank — 48.2%
  • 2016-12-01: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.71$31.30$34.58$32.69$31.58
Max Pain$29.69$29.69$29.69$29.69$29.69
ATM IV29.2%26.4%37.8%30.8%27.7%
Expected Move8.0%7.6%8.8%8.8%8.0%
HV 20d33.7%23.3%54.2%54.2%23.5%
HV 60d37.6%36.5%38.4%37.7%37.7%
IV Rank21.2%12.5%48.2%26.4%16.7%
IV Percentile31.8%15.9%81.3%39.7%26.2%
Term Structure1.6%-1.2%4.4%-1.2%1.6%
VWIV29.1%26.3%34.0%32.7%27.5%
Skew 25d4.3%2.5%5.9%2.9%3.4%
Skew 10d11.4%2.8%19.5%15.8%14.6%
Call IV 25d26.6%25.1%30.3%30.3%26.9%
Put IV 25d30.9%28.5%34.2%33.2%30.2%
Bid-Ask Spread %21.7316.3427.9423.5916.34
Gamma HHI0.160.130.230.130.15
Net GEX410.3K-83.8K1.0M491.2K-83.8K
Net DEX-20.6M-37.5M-7.3M-24.3M-8.3M
Net VEX-78.7K-84.8K-66.2K-83.1K-81.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.440.825.611.693.25
Total Volume2,895.8572,3194,4852,5052,609
Total OI31,625.85725,54237,00533,55327,938

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$32.69$29.6930.8%8.8%54.2%26.4%32.7%2.9%-1.2%491.2K-24.3M-83.1K1.6923.599301,57514,71018,843
2016-12-02$32.76$29.6929.4%8.4%54.0%22.0%34.0%5.5%-0.8%483.5K-23.5M-83.6K1.9223.088061,55114,79418,872
2016-12-05$33.49$29.6930.9%7.9%54.0%26.6%28.3%5.4%1.0%713.7K-29.4M-72.7K1.7426.318481,47114,83718,901
2016-12-06$33.77$29.6929.9%7.9%53.9%23.4%27.6%5.6%1.0%807.4K-31.7M-70.5K1.7623.629061,59314,90218,925
2016-12-07$34.06$29.6930.1%8.0%53.2%24.0%26.9%4.7%1.3%799.9K-33.5M-68.1K0.8224.621,8331,50714,98619,132
2016-12-08$34.45$29.6929.9%7.9%52.8%23.6%29.4%5.9%1.2%881.2K-36.1M-67.5K1.6123.219501,53115,21219,206
2016-12-09$34.58$29.6928.3%7.9%25.6%18.5%29.4%5.5%1.4%974.3K-37.5M-69.0K1.6722.679091,52015,45519,256
2016-12-12$34.22$29.6935.1%8.0%23.3%39.7%28.2%4.0%1.8%1.0M-36.5M-66.2K1.1318.101,6431,85915,64019,299
2016-12-13$32.99$29.6937.8%8.6%27.0%48.2%31.7%5.0%0.8%871.5K-27.8M-81.0K2.0722.971,4623,02316,24919,615
2016-12-14$32.94$29.6929.3%8.4%25.7%21.6%31.7%4.3%1.0%873.0K-26.6M-84.5K1.4223.621,3941,98116,28220,624
2016-12-15$32.83$29.6928.3%8.1%24.6%18.4%30.1%3.9%2.0%810.3K-25.7M-82.3K2.5318.897561,91416,25520,750
2016-12-16$32.18$29.6927.9%8.0%25.8%17.2%29.2%4.0%1.7%74.7K-20.2M-82.8K2.4017.007761,86616,25320,751
2016-12-19$31.30$29.6928.3%8.1%27.7%18.5%28.5%4.4%1.8%-24.4K-7.3M-81.2K5.6127.946783,8019,98115,561
2016-12-20$32.03$29.6927.5%7.9%28.8%15.8%28.9%4.8%1.5%22.8K-9.5M-84.8K3.4118.105771,96610,02716,580
2016-12-21$32.11$29.6927.0%7.7%26.7%14.5%28.4%2.5%2.8%63.6K-10.8M-81.8K2.6821.467071,89310,12416,593
2016-12-22$31.68$29.6926.4%7.6%26.5%12.5%28.5%4.2%3.4%209-9.1M-84.1K2.7324.757382,01110,28816,581
2016-12-23$31.74$29.6926.4%7.6%26.3%12.6%27.6%4.3%4.4%-51.7K-8.3M-84.5K2.8117.947332,05510,28617,204
2016-12-27$31.98$29.6927.4%7.9%26.1%15.8%29.4%3.5%2.3%-9.9K-9.8M-80.1K3.1721.717412,35010,30917,220
2016-12-28$31.82$29.6927.1%7.8%24.6%14.6%26.3%3.8%2.0%-40.9K-9.2M-82.8K3.6020.985752,07010,30517,520
2016-12-29$31.66$29.6927.1%7.8%23.6%14.7%27.5%2.8%3.6%-79.4K-8.3M-81.6K3.1919.506462,05910,35617,521
2016-12-30$31.58$29.6927.7%8.0%23.5%16.7%27.5%3.4%1.6%-83.8K-8.3M-81.0K3.2516.346141,99510,39617,542