CME Options History — May 2010

In May 2010, CME traded between $60.60 and $66.60. ATM implied volatility averaged 36.3%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 2.2% (HV 20d: 34.1%). Max pain ranged from $64.00 to $64.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.85.

Notable Days

  • 2010-05-07: Highest Volume — 56,620 contracts
  • 2010-05-13: Largest IV spike — 21.3% change
  • 2010-05-20: Highest IV Rank — 67.5%
  • 2010-05-20: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.80$60.60$66.60$65.79$63.33
Max Pain$64.00$64.00$64.00$64.00$64.00
ATM IV36.3%28.2%46.7%31.3%32.8%
Expected Move10.6%9.0%13.4%9.0%9.4%
HV 20d34.1%28.4%38.5%28.4%38.5%
HV 60d27.9%26.4%28.9%27.6%28.9%
IV Rank34.6%11.3%67.5%17.5%28.6%
IV Percentile48.8%22.2%89.3%31.3%38.1%
Term Structure2.8%0.0%5.8%1.8%2.8%
VWIV38.3%32.9%45.7%32.9%34.1%
Skew 25d6.7%1.8%10.7%1.8%6.4%
Skew 10d13.8%3.1%23.0%3.1%13.4%
Call IV 25d34.9%30.6%42.7%31.1%31.3%
Put IV 25d41.6%32.9%52.2%32.9%37.7%
Bid-Ask Spread %47.8437.2664.0154.5640.85
Gamma HHI0.090.060.130.090.07
Net GEX4.7M-8.5M14.8M10.9M4.6M
Net DEX-111.7M-288.0M70.6M-225.6M-84.8M
Net VEX-3.2M-3.5M-3.0M-3.3M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.401.590.600.59
Total Volume27,284.2512,84556,62016,31015,700
Total OI388,339.5314,950420,015390,350351,325

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$65.79$64.0031.3%9.0%28.4%17.5%32.9%1.8%1.8%10.9M-225.6M-3.3M0.6054.56N/AN/A10,1806,130225,880164,470
2010-05-04$64.43$64.0033.8%9.7%29.5%22.5%34.6%1.9%1.3%6.4M-144.0M-3.3M0.6559.13N/AN/A12,8808,310228,460166,025
2010-05-05$64.93$64.0035.0%10.0%29.4%25.0%35.8%2.1%1.7%8.4M-181.1M-3.4M0.8454.87N/AN/A12,07510,105233,510165,840
2010-05-06$64.28$64.0035.9%10.3%29.5%26.9%36.9%2.9%1.1%6.9M-160.7M-3.5M1.1464.01N/AN/A12,61514,415236,100167,090
2010-05-07$63.04$64.0038.8%12.0%30.5%32.7%44.5%8.5%2.0%2.4M-72.2M-3.5M0.9138.35N/AN/A29,58027,040237,290169,400
2010-05-10$66.60$64.0033.1%10.4%36.0%21.2%39.9%6.7%5.2%14.8M-288.0M-3.4M0.6247.38N/AN/A17,70511,025232,260159,985
2010-05-11$65.84$64.0031.1%10.0%36.3%17.2%36.5%5.7%5.6%12.3M-236.3M-3.3M0.6945.02N/AN/A12,7458,735234,510163,330
2010-05-12$65.85$64.0028.2%9.5%35.0%11.3%34.4%5.6%5.8%12.3M-233.4M-3.3M0.4849.79N/AN/A19,2109,185237,215164,505
2010-05-13$64.77$64.0034.3%9.8%35.5%23.5%34.8%5.9%5.0%7.9M-167.8M-3.2M0.7052.77N/AN/A10,0857,055241,845163,520
2010-05-14$63.08$64.0036.6%10.5%35.3%39.2%36.9%7.1%3.6%887.9K-60.6M-3.2M0.9046.15N/AN/A12,21010,940244,870165,450
2010-05-17$63.21$64.0036.6%10.5%33.8%39.2%39.2%8.1%4.2%380.4K-58.1M-3.1M1.1640.81N/AN/A11,17512,915244,420166,745
2010-05-18$61.65$64.0038.6%11.1%34.9%44.6%39.5%7.9%3.5%-5.7M35.7M-3.0M1.1950.90N/AN/A14,56517,375245,055168,600
2010-05-19$62.14$64.0039.5%11.3%34.9%47.4%41.2%8.3%2.3%-4.4M9.8M-3.1M1.5948.26N/AN/A11,70518,645245,975171,435
2010-05-20$60.60$64.0046.7%13.4%30.7%67.5%45.7%9.6%0.0%-8.5M70.6M-3.0M1.1347.83N/AN/A14,60516,550246,035171,505
2010-05-21$63.70$64.0040.5%11.6%36.4%50.2%42.2%10.7%2.6%5.2M-94.7M-3.1M1.0246.53N/AN/A24,37524,975248,600171,415
2010-05-24$64.60$64.0040.2%11.5%35.9%49.3%40.7%9.4%2.3%6.8M-151.1M-3.1M0.5937.26N/AN/A19,53011,450190,820124,130
2010-05-25$62.46$64.0042.7%12.2%36.7%56.1%44.0%9.7%0.9%4.3M-64.7M-3.1M1.0038.44N/AN/A17,09017,075198,730129,775
2010-05-26$61.93$64.0038.6%11.1%36.7%44.6%39.2%8.5%1.6%3.1M-38.7M-3.0M0.7346.80N/AN/A13,2559,630202,845138,675
2010-05-27$63.79$64.0032.4%9.3%38.5%27.4%33.0%7.0%2.8%5.3M-87.7M-3.0M0.4047.17N/AN/A9,1753,670206,000143,150
2010-05-28$63.33$64.0032.8%9.4%38.5%28.6%34.1%6.4%2.8%4.6M-84.8M-3.0M0.5940.85N/AN/A9,8855,815207,690143,635