CME Options History — September 2010

In September 2010, CME traded between $51.26 and $54.38. ATM implied volatility averaged 28.3%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 2.0% (HV 20d: 30.3%). Max pain ranged from $50.00 to $52.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2010-09-07: Highest Volume — 76,035 contracts
  • 2010-09-07: Largest IV spike — 19.3% change
  • 2010-09-10: Highest IV Rank — 28.2%
  • 2010-09-07: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.98$51.26$54.38$51.26$52.09
Max Pain$51.05$50.00$52.00$52.00$52.00
ATM IV28.3%25.0%30.2%28.6%28.8%
Expected Move8.2%7.6%8.9%8.2%8.3%
HV 20d30.3%27.5%34.9%32.5%27.5%
HV 60d29.2%28.6%29.8%29.6%29.3%
IV Rank21.0%8.7%28.2%22.3%23.0%
IV Percentile26.8%7.5%40.5%27.4%34.1%
Term Structure2.5%1.4%3.5%1.7%2.9%
VWIV29.2%26.8%31.8%30.3%29.4%
Skew 25d3.9%2.8%5.0%4.1%2.8%
Skew 10d8.2%4.9%10.2%10.0%4.9%
Call IV 25d27.6%25.6%29.7%28.6%28.6%
Put IV 25d31.5%28.8%34.3%32.7%31.4%
Bid-Ask Spread %22.6515.6432.1423.8326.30
Gamma HHI0.160.110.290.120.14
Net GEX5.6M3.0M10.1M3.2M3.5M
Net DEX32.3M-51.9M116.1M116.1M74.3M
Net VEX-1.7M-1.9M-1.7M-1.8M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.141.990.690.41
Total Volume22,618.33311,62576,03512,59016,230
Total OI340,344.762259,420390,605369,480308,000

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$51.26$52.0028.6%8.2%32.5%22.3%30.3%4.1%1.7%3.2M116.1M-1.8M0.6923.83N/AN/A7,4355,155223,895145,585
2010-09-02$52.49$52.0028.5%8.2%33.8%21.9%29.8%4.1%1.6%5.2M60.1M-1.9M0.5617.64N/AN/A16,8609,365224,225145,685
2010-09-03$53.02$50.0025.0%8.0%33.8%8.7%28.2%5.0%3.0%7.2M23.4M-1.9M0.5820.46N/AN/A17,65010,295226,505145,085
2010-09-07$51.69$50.0029.8%8.9%34.9%26.7%30.9%4.7%1.4%3.9M96.7M-1.7M0.1421.69N/AN/A66,5159,520226,045145,455
2010-09-08$52.14$50.0028.7%8.9%33.5%22.5%30.5%4.2%1.6%4.7M80.9M-1.8M0.4817.24N/AN/A15,2057,375224,690148,200
2010-09-09$52.47$50.0030.2%8.7%29.0%28.0%30.7%4.3%1.9%6.4M56.8M-1.8M0.6919.51N/AN/A7,6705,295227,720148,705
2010-09-10$52.98$50.0030.2%8.7%28.7%28.2%30.6%4.5%1.7%7.4M29.4M-1.8M0.5320.06N/AN/A10,0505,305227,070150,660
2010-09-13$54.21$50.0028.4%8.2%28.4%21.6%28.8%4.8%2.2%9.8M-47.2M-1.8M0.5820.00N/AN/A18,04010,415228,300151,250
2010-09-14$53.86$50.0027.8%8.0%28.7%19.3%31.8%4.2%2.7%9.8M-35.3M-1.7M1.9923.21N/AN/A6,76513,460231,510152,015
2010-09-15$54.30$50.0027.8%8.0%28.7%19.1%27.9%4.4%2.6%10.1M-51.9M-1.7M0.3825.89N/AN/A13,0554,930231,975157,605
2010-09-16$53.61$50.0027.0%7.7%29.0%16.0%27.2%3.8%3.1%9.2M-12.9M-1.7M0.6626.75N/AN/A13,2158,735232,365157,015
2010-09-17$52.77$50.0027.8%8.0%28.5%19.1%27.6%4.0%2.9%3.2M33.4M-1.7M0.5021.34N/AN/A15,4157,635232,425158,180
2010-09-20$54.38$52.0026.5%7.6%29.1%14.3%26.8%3.2%3.4%3.9M-892.1K-1.7M0.3620.14N/AN/A27,2659,720150,155109,265
2010-09-21$53.79$52.0026.4%7.6%29.7%14.0%27.3%3.5%3.4%4.8M9.2M-1.7M0.6818.46N/AN/A9,7956,680161,495113,250
2010-09-22$53.27$52.0027.5%7.9%30.2%18.1%28.4%3.5%2.3%4.5M21.0M-1.7M0.5515.64N/AN/A8,8054,880164,240116,160
2010-09-23$52.20$52.0030.2%8.7%30.1%28.0%30.6%3.4%2.5%3.2M60.4M-1.7M0.9627.02N/AN/A10,83010,405167,090118,895
2010-09-24$53.93$52.0027.4%7.8%31.3%17.6%28.2%3.9%3.5%5.8M4.7M-1.8M0.4927.16N/AN/A17,2558,450169,930123,375
2010-09-27$53.23$52.0028.7%8.2%31.0%22.7%29.4%3.8%2.1%4.4M31.5M-1.8M0.3422.87N/AN/A8,7002,925172,255125,655
2010-09-28$52.90$52.0029.3%8.4%28.7%24.9%29.4%3.3%2.0%4.5M47.7M-1.8M0.4932.14N/AN/A7,8453,810174,735126,405
2010-09-29$51.91$52.0029.4%8.4%29.7%25.0%29.9%3.1%2.9%3.0M81.0M-1.7M0.6028.30N/AN/A10,0206,010176,610127,560
2010-09-30$52.09$52.0028.8%8.3%27.5%23.0%29.4%2.8%2.9%3.5M74.3M-1.7M0.4126.30N/AN/A11,5304,700178,555129,445