CME Options History — November 2010

In November 2010, CME traded between $56.25 and $59.42. ATM implied volatility averaged 26.8%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 5.8% (HV 20d: 21.0%). Max pain ranged from $52.00 to $56.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2010-11-04: Highest Volume — 26,520 contracts
  • 2010-11-11: Largest IV spike — 13.5% change
  • 2010-11-30: Highest IV Rank — 31.0%
  • 2010-11-30: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.13$56.25$59.42$57.40$57.61
Max Pain$55.24$52.00$56.00$54.00$56.00
ATM IV26.8%23.1%30.1%27.9%30.1%
Expected Move7.8%6.7%8.6%8.0%8.6%
HV 20d21.0%15.9%24.0%24.0%22.7%
HV 60d25.5%24.1%28.1%28.1%24.1%
IV Rank17.3%2.0%31.0%22.0%31.0%
IV Percentile23.9%2.4%54.4%28.6%54.4%
Term Structure0.7%-0.9%1.5%0.4%-0.9%
VWIV27.9%24.1%31.0%28.9%31.0%
Skew 25d2.8%1.3%3.8%2.0%2.9%
Skew 10d5.7%3.0%8.2%4.2%6.8%
Call IV 25d26.6%23.7%29.6%28.0%29.6%
Put IV 25d29.3%25.0%32.5%30.1%32.5%
Bid-Ask Spread %29.8314.3554.6630.5014.35
Gamma HHI0.180.110.280.150.15
Net GEX10.2M3.0M16.7M9.8M4.9M
Net DEX-114.6M-205.3M10.9M-113.7M-44.7M
Net VEX-1.6M-1.8M-1.5M-1.8M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.261.150.440.59
Total Volume14,801.197,37526,52015,7857,375
Total OI334,030.238294,965358,630330,415332,145

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$57.40$54.0027.9%8.0%24.0%22.0%28.9%2.0%0.4%9.8M-113.7M-1.8M0.4430.50N/AN/A10,9754,810193,200137,215
2010-11-02$57.79$54.0027.7%7.9%22.2%20.9%28.1%1.5%0.3%11.2M-130.6M-1.8M0.3820.61N/AN/A5,8252,205192,745136,810
2010-11-03$57.92$54.0026.1%7.5%22.1%14.3%26.5%1.5%0.9%11.5M-131.2M-1.7M0.2640.51N/AN/A6,0901,565191,185136,600
2010-11-04$59.42$54.0023.3%6.7%22.5%2.8%24.1%1.3%1.4%14.8M-205.3M-1.7M0.2920.70N/AN/A20,5855,935191,910136,560
2010-11-05$59.01$52.0023.1%7.1%22.6%2.0%25.8%2.9%1.5%14.8M-188.7M-1.7M0.5530.50N/AN/A12,6056,995194,415137,645
2010-11-08$59.16$54.0024.3%7.3%21.8%6.7%26.8%3.0%1.3%15.3M-191.7M-1.7M0.7833.76N/AN/A6,7205,255195,080139,725
2010-11-09$58.64$54.0024.6%7.6%22.0%8.0%27.1%3.8%1.4%14.0M-158.7M-1.7M1.1531.39N/AN/A9,31010,740195,500140,830
2010-11-10$58.94$56.0023.8%7.6%21.9%4.8%26.4%3.0%1.1%13.9M-167.4M-1.7M0.2834.51N/AN/A7,3802,085196,820146,775
2010-11-11$58.63$56.0027.0%7.7%22.2%18.2%26.6%3.5%0.8%12.9M-144.6M-1.7M0.2751.31N/AN/A8,0802,185197,310147,550
2010-11-12$57.84$56.0027.4%7.8%23.1%19.7%27.8%3.3%1.0%10.4M-105.7M-1.7M0.3554.66N/AN/A7,9952,795199,125148,270
2010-11-15$57.91$56.0027.4%7.9%15.9%19.9%28.6%3.2%0.5%11.1M-109.1M-1.6M0.6330.31N/AN/A7,3254,620198,530148,840
2010-11-16$57.33$56.0028.6%8.2%16.4%24.6%30.0%2.9%0.6%8.5M-75.1M-1.6M0.7930.97N/AN/A7,4655,860201,740149,170
2010-11-17$58.24$56.0028.4%8.1%17.2%23.8%28.5%3.3%0.9%12.3M-124.2M-1.6M0.4324.77N/AN/A11,2754,885203,015150,075
2010-11-18$58.95$56.0027.3%7.8%17.5%19.1%27.5%2.7%0.5%16.7M-174.1M-1.6M0.3928.01N/AN/A10,7054,130207,475151,155
2010-11-19$59.09$56.0025.4%7.3%17.5%11.3%26.7%3.4%1.5%9.2M-165.2M-1.6M0.3721.52N/AN/A9,1903,355206,310151,505
2010-11-22$57.56$56.0027.8%8.0%20.1%21.5%28.8%2.8%0.3%4.4M-45.9M-1.5M0.4351.04N/AN/A16,6957,240172,465122,500
2010-11-23$56.25$56.0028.8%8.3%21.6%25.6%30.1%2.7%0.4%3.0M10.9M-1.5M0.8129.40N/AN/A12,48010,115178,290126,150
2010-11-24$57.88$56.0026.8%7.7%23.8%17.2%28.1%3.6%0.8%5.3M-50.9M-1.6M0.6616.74N/AN/A12,0007,960182,580130,510
2010-11-26$57.97$56.0027.8%8.0%22.2%21.6%29.0%2.6%0.4%5.6M-62.6M-1.6M1.1016.23N/AN/A5,5206,060186,875135,045
2010-11-29$57.18$56.0029.3%8.4%22.7%27.7%30.0%2.7%-0.5%4.2M-28.0M-1.6M0.5914.69N/AN/A10,3606,075187,660137,330
2010-11-30$57.61$56.0030.1%8.6%22.7%31.0%31.0%2.9%-0.9%4.9M-44.7M-1.6M0.5914.35N/AN/A4,6502,725191,660140,485