CME Options History — July 2010

In July 2010, CME traded between $53.25 and $57.31. ATM implied volatility averaged 31.2%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 4.2% (HV 20d: 27.0%). Max pain ranged from $56.00 to $60.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2010-07-16: Highest Volume — 39,700 contracts
  • 2010-07-29: Largest IV drop — 18.6% change
  • 2010-07-16: Highest IV Rank — 43.7%
  • 2010-07-06: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.60$53.25$57.31$55.70$55.76
Max Pain$57.24$56.00$60.00$60.00$56.00
ATM IV31.2%26.0%36.3%36.3%27.1%
Expected Move9.2%7.5%10.7%10.4%7.8%
HV 20d27.0%22.7%32.7%32.7%26.3%
HV 60d33.7%32.4%34.8%34.4%33.5%
IV Rank29.1%12.6%43.7%38.3%16.4%
IV Percentile35.8%10.7%55.6%55.6%16.3%
Term Structure0.6%-1.6%4.4%3.7%1.4%
VWIV32.9%26.9%38.8%37.5%28.1%
Skew 25d5.0%3.3%6.7%6.7%3.4%
Skew 10d10.7%6.3%16.6%14.1%6.3%
Call IV 25d30.3%25.5%34.3%34.3%26.2%
Put IV 25d35.3%29.0%41.0%41.0%29.6%
Bid-Ask Spread %35.7417.6353.1050.1844.08
Gamma HHI0.090.070.120.080.10
Net GEX-228.0K-4.9M6.5M-3.8M4.0M
Net DEX111.6M3.5M241.4M153.7M71.5M
Net VEX-2.1M-2.3M-1.9M-2.3M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.323.061.101.05
Total Volume19,763.0958,88039,70028,61019,195
Total OI318,145.238270,335352,520309,475319,170

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$55.70$60.0036.3%10.4%32.7%38.3%37.5%6.7%3.7%-3.8M153.7M-2.3M1.1050.18N/AN/A13,60515,005182,010127,465
2010-07-02$54.97$60.0035.4%10.1%30.4%35.7%34.5%6.4%4.4%-4.0M161.1M-2.2M0.8948.41N/AN/A8,1007,185185,210128,890
2010-07-06$54.90$58.0036.0%10.7%28.2%37.5%37.9%6.3%0.8%-4.9M181.5M-2.1M0.7423.51N/AN/A10,1757,480188,005131,650
2010-07-07$55.63$58.0031.4%10.1%28.9%24.5%38.8%6.7%0.9%-4.5M161.9M-2.1M0.7824.14N/AN/A8,3756,530189,770133,740
2010-07-08$56.33$58.0028.9%9.3%28.5%17.5%33.0%5.7%0.1%-4.2M136.7M-2.1M0.5527.42N/AN/A12,0906,600191,835134,545
2010-07-09$55.44$58.0028.8%9.5%24.0%20.2%33.8%5.3%0.4%-4.4M162.2M-2.1M0.5427.44N/AN/A12,4006,745194,365136,210
2010-07-12$55.40$58.0031.6%9.4%24.1%29.5%33.8%5.0%0.7%-3.4M160.3M-2.0M0.3727.81N/AN/A16,2555,955198,740137,685
2010-07-13$55.66$58.0032.0%9.5%23.2%30.8%33.3%5.4%0.3%-2.3M145.6M-2.1M0.5228.77N/AN/A9,3404,815203,085138,570
2010-07-14$55.10$58.0031.3%9.6%22.7%32.0%33.4%5.3%-0.5%-3.3M176.7M-2.0M0.7431.45N/AN/A13,1159,650206,725140,335
2010-07-15$55.27$58.0033.9%9.7%22.7%41.7%33.5%5.3%-1.2%-1.1M162.7M-2.0M0.6925.23N/AN/A9,6056,605210,905141,305
2010-07-16$53.25$58.0034.4%9.9%25.3%43.7%34.9%4.7%0.7%-1.7M241.4M-1.9M1.3728.81N/AN/A16,74522,955211,230141,290
2010-07-19$53.49$56.0031.9%9.1%25.6%34.4%33.3%4.4%1.9%-340.8K130.3M-1.9M0.5140.69N/AN/A6,4353,290165,315105,020
2010-07-20$55.05$56.0030.9%8.8%28.5%30.6%31.5%5.3%-1.3%1.0M98.6M-1.9M0.3247.25N/AN/A19,3506,280168,185105,750
2010-07-21$54.63$56.0031.4%9.0%28.4%32.5%33.5%5.1%0.3%2.4M82.3M-2.0M3.0645.77N/AN/A6,41519,610178,890108,755
2010-07-22$56.34$56.0029.2%8.4%31.1%24.3%29.7%5.0%0.5%2.3M42.4M-2.1M0.6152.53N/AN/A10,4506,340180,060123,985
2010-07-23$57.31$56.0027.6%7.9%29.5%18.3%29.0%4.3%0.4%3.9M5.2M-2.2M0.5930.29N/AN/A12,0957,125182,535125,495
2010-07-26$56.73$56.0030.3%8.7%28.1%28.4%30.1%3.4%-0.1%4.2M14.7M-2.1M0.8834.90N/AN/A6,6605,875186,515126,350
2010-07-27$56.77$56.0029.8%8.5%28.1%26.6%30.9%3.3%0.0%4.3M26.5M-2.1M0.8353.10N/AN/A4,8454,035188,145129,480
2010-07-28$56.70$56.0032.0%9.2%26.1%34.8%33.1%4.4%-1.6%4.5M24.3M-2.1M1.2641.09N/AN/A11,63514,715189,515129,050
2010-07-29$57.17$56.0026.0%7.5%25.0%12.6%26.9%3.5%1.3%6.5M3.5M-2.1M0.6017.63N/AN/A13,3707,975190,305124,965
2010-07-30$55.76$56.0027.1%7.8%26.3%16.4%28.1%3.4%1.4%4.0M71.5M-2.0M1.0544.08N/AN/A9,3709,825193,475125,695