CME Options History — October 2010

In October 2010, CME traded between $51.91 and $57.93. ATM implied volatility averaged 29.2%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 3.6% (HV 20d: 25.6%). Max pain ranged from $52.00 to $54.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2010-10-18: Highest Volume — 55,600 contracts
  • 2010-10-28: Largest IV drop — 10.7% change
  • 2010-10-18: Highest IV Rank — 40.7%
  • 2010-10-18: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.61$51.91$57.93$52.00$57.93
Max Pain$52.57$52.00$54.00$52.00$54.00
ATM IV29.2%25.6%32.4%27.7%27.6%
Expected Move8.7%7.9%9.3%7.9%7.9%
HV 20d25.6%22.5%28.6%26.1%23.5%
HV 60d28.8%27.6%29.7%29.1%28.2%
IV Rank25.9%11.1%40.7%18.7%20.5%
IV Percentile37.8%9.5%65.9%23.0%24.2%
Term Structure-0.2%-1.6%3.4%3.4%0.3%
VWIV30.4%27.7%32.9%28.4%28.6%
Skew 25d3.0%0.9%5.1%3.2%1.7%
Skew 10d6.1%2.4%10.1%6.1%3.3%
Call IV 25d29.2%27.1%32.4%27.3%27.1%
Put IV 25d32.2%28.8%34.2%30.5%28.8%
Bid-Ask Spread %27.0015.8838.4023.0129.06
Gamma HHI0.170.080.350.140.15
Net GEX6.8M951.8K11.5M3.2M11.5M
Net DEX-12.2M-147.5M100.1M83.4M-147.5M
Net VEX-1.7M-1.9M-1.6M-1.7M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.231.000.540.36
Total Volume21,669.5248,52055,60013,28526,790
Total OI316,226.667270,250336,760312,225333,185

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$52.00$52.0027.7%7.9%26.1%18.7%28.4%3.2%3.4%3.2M83.4M-1.7M0.5423.01N/AN/A8,6204,665181,065131,160
2010-10-04$51.98$52.0028.3%9.0%25.8%21.0%31.6%4.5%-0.5%3.3M80.8M-1.7M1.0017.55N/AN/A5,2755,290181,660132,865
2010-10-05$53.53$52.0027.4%8.5%26.3%17.7%30.2%4.1%0.2%7.5M11.3M-1.7M0.3115.88N/AN/A15,0204,620183,660135,030
2010-10-06$53.45$52.0026.7%8.6%26.2%15.2%30.5%4.1%0.0%7.2M12.9M-1.7M0.4316.71N/AN/A8,7103,785184,700135,730
2010-10-07$52.77$52.0027.4%8.9%26.5%17.6%30.2%4.0%0.2%5.5M48.1M-1.7M0.3518.59N/AN/A6,3102,210185,575136,555
2010-10-08$52.48$52.0025.6%8.8%26.4%11.1%30.8%4.1%0.0%5.0M61.8M-1.6M0.7619.41N/AN/A8,2206,255186,970137,230
2010-10-11$51.91$52.0028.3%9.1%25.1%21.2%31.3%3.8%-0.4%951.8K100.1M-1.6M0.4732.68N/AN/A11,2855,290188,350139,730
2010-10-12$52.83$52.0031.3%9.0%26.0%32.2%31.3%5.1%-0.4%7.1M49.5M-1.6M0.3825.39N/AN/A13,9505,235190,700141,020
2010-10-13$52.75$52.0029.0%8.9%25.8%23.6%30.8%3.2%-0.2%6.7M50.4M-1.6M0.4328.34N/AN/A16,9857,325193,355141,275
2010-10-14$52.99$52.0031.9%9.2%25.5%34.6%30.8%4.6%-1.0%9.1M36.5M-1.6M0.3938.40N/AN/A13,4405,195195,225141,535
2010-10-15$53.50$52.0030.3%8.7%25.1%31.6%31.2%3.7%0.2%9.3M19.7M-1.6M0.3538.10N/AN/A19,3556,690194,625140,880
2010-10-18$56.17$52.0032.4%9.3%28.6%40.7%32.9%1.2%-1.6%5.0M-52.0M-1.7M0.4130.82N/AN/A39,44016,160158,220112,030
2010-10-19$56.15$52.0031.9%9.2%28.2%38.6%32.0%2.5%-1.1%6.2M-61.5M-1.8M0.3037.36N/AN/A21,3506,410170,580121,605
2010-10-20$56.16$52.0030.2%8.7%27.9%31.3%30.1%2.5%-0.7%6.8M-59.1M-1.8M0.2329.75N/AN/A18,5054,340173,800124,130
2010-10-21$56.45$52.0029.7%8.5%26.6%29.4%29.9%2.3%-0.0%6.9M-63.7M-1.8M0.4537.28N/AN/A13,8956,250174,725125,790
2010-10-22$56.74$54.0029.3%8.4%24.4%27.7%28.9%2.2%-0.0%7.4M-78.6M-1.8M0.3932.17N/AN/A8,3553,295176,405128,270
2010-10-25$56.60$54.0029.4%8.4%23.8%28.3%29.6%1.8%-0.6%7.7M-78.6M-1.8M0.4922.86N/AN/A7,9053,840179,090128,580
2010-10-26$56.11$54.0029.5%8.5%23.9%28.6%29.9%0.9%-0.2%7.0M-55.7M-1.8M0.3919.80N/AN/A9,0403,560181,420130,370
2010-10-27$56.49$54.0030.9%8.9%22.5%34.4%31.2%1.4%-1.6%7.4M-72.6M-1.8M0.3024.17N/AN/A26,4158,040183,115131,995
2010-10-28$57.88$54.0027.6%7.9%23.6%20.6%27.7%1.9%0.4%11.4M-141.0M-1.8M0.3429.62N/AN/A35,73512,005194,905133,650
2010-10-29$57.93$54.0027.6%7.9%23.5%20.5%28.6%1.7%0.3%11.5M-147.5M-1.9M0.3629.06N/AN/A19,7657,025196,125137,060