CME Options History — January 2011

In January 2011, CME traded between $60.98 and $63.40. ATM implied volatility averaged 25.9%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 7.5% (HV 20d: 18.4%). Max pain ranged from $62.00 to $64.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.49.

Notable Days

  • 2011-01-10: Highest Volume — 41,115 contracts
  • 2011-01-13: Largest IV spike — 18.0% change
  • 2011-01-31: Highest IV Rank — 35.3%
  • 2011-01-31: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.22$60.98$63.40$63.29$61.71
Max Pain$62.10$62.00$64.00$62.00$62.00
ATM IV25.9%22.7%29.7%23.5%29.7%
Expected Move7.6%6.5%8.5%6.7%8.5%
HV 20d18.4%14.3%21.4%15.2%21.4%
HV 60d22.7%21.9%23.8%22.9%22.7%
IV Rank20.8%8.5%35.3%11.5%35.3%
IV Percentile21.0%2.8%55.2%6.0%55.2%
Term Structure-0.2%-3.4%4.4%3.6%-3.4%
VWIV27.0%23.5%30.1%24.1%30.1%
Skew 25d2.5%0.5%3.5%1.8%3.3%
Skew 10d4.9%1.1%6.8%3.5%6.4%
Call IV 25d26.0%23.1%28.9%23.6%28.9%
Put IV 25d28.5%24.5%32.2%25.4%32.2%
Bid-Ask Spread %32.7414.5451.8016.4225.93
Gamma HHI0.160.100.380.120.12
Net GEX10.3M5.2M21.0M9.3M8.5M
Net DEX-119.3M-202.2M-51.5M-152.8M-95.8M
Net VEX-1.9M-2.1M-1.8M-1.8M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.320.960.750.42
Total Volume17,752.255,61541,11522,84011,020
Total OI277,131.75182,620337,220272,375205,325

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$63.29$62.0023.5%6.7%15.2%11.5%24.1%1.8%3.6%9.3M-152.8M-1.8M0.7516.42N/AN/A13,0609,780162,225110,150
2011-01-04$63.40$62.0022.7%6.5%15.1%8.5%23.5%1.8%3.9%9.9M-156.6M-1.8M0.3818.91N/AN/A6,1002,315166,580113,545
2011-01-05$62.27$62.0023.9%6.9%16.4%13.2%24.4%0.8%3.6%7.4M-96.5M-1.8M0.4817.14N/AN/A15,0057,200168,035114,335
2011-01-06$62.73$62.0023.4%6.7%14.3%10.9%24.0%0.5%4.4%10.9M-148.0M-1.8M0.3214.54N/AN/A18,7605,930173,705115,960
2011-01-07$61.53$64.0024.9%8.2%15.6%16.7%28.9%2.9%-0.8%8.5M-85.6M-1.8M0.9633.92N/AN/A17,52016,750177,420117,155
2011-01-10$62.97$62.0026.2%8.2%18.0%21.8%28.6%3.2%-0.7%13.6M-168.3M-1.8M0.4836.84N/AN/A27,82513,290183,105126,375
2011-01-11$62.17$62.0023.5%7.8%18.4%11.4%27.5%2.2%-0.5%9.9M-124.9M-2.1M0.5140.33N/AN/A12,1306,135190,660132,735
2011-01-12$62.99$62.0022.8%7.8%19.2%9.0%26.9%3.1%-0.4%13.4M-180.9M-2.1M0.4546.06N/AN/A7,5603,370191,965133,725
2011-01-13$62.72$62.0027.0%7.7%18.5%24.7%26.9%2.8%-0.5%12.5M-159.6M-2.1M0.3745.39N/AN/A6,7202,510192,845134,680
2011-01-14$63.39$62.0025.2%7.2%18.4%18.1%25.7%2.5%-0.1%15.5M-202.2M-2.0M0.3851.80N/AN/A11,3854,310193,430135,605
2011-01-18$62.80$62.0026.7%7.7%18.4%23.8%27.1%2.5%-0.7%14.4M-162.9M-2.0M0.6240.76N/AN/A6,7004,130195,000135,690
2011-01-19$61.25$62.0027.9%8.0%20.0%28.1%28.0%2.2%-1.3%5.2M-51.5M-1.9M0.4637.14N/AN/A15,6807,155196,865136,970
2011-01-20$61.84$62.0027.2%7.8%19.6%25.7%27.8%2.7%-1.3%10.1M-102.4M-1.9M0.5344.57N/AN/A10,8255,695199,460137,760
2011-01-21$61.97$62.0027.3%7.8%19.6%25.8%28.3%3.1%-0.9%21.0M-105.3M-1.9M0.7532.09N/AN/A10,1357,615197,505138,670
2011-01-24$61.91$62.0026.3%7.5%19.5%22.1%26.5%3.0%-1.3%6.5M-86.4M-1.9M0.3529.33N/AN/A7,3452,545102,69079,930
2011-01-25$61.38$62.0027.6%7.9%19.4%27.3%28.2%2.5%-1.9%5.9M-66.0M-1.8M0.4929.24N/AN/A17,7758,740105,28080,945
2011-01-26$61.12$62.0027.3%7.8%19.3%26.2%27.9%2.5%-2.3%7.0M-72.0M-1.9M0.3937.30N/AN/A4,0301,585112,83584,465
2011-01-27$61.98$62.0026.6%7.6%20.2%23.5%27.2%3.5%-2.0%8.8M-105.3M-1.9M0.4223.65N/AN/A7,1302,980113,67585,055
2011-01-28$60.98$62.0028.9%8.3%20.7%32.1%29.0%2.3%-1.8%6.6M-63.7M-1.9M0.4233.44N/AN/A11,5054,800113,99586,285
2011-01-31$61.71$62.0029.7%8.5%21.4%35.3%30.1%3.3%-3.4%8.5M-95.8M-1.9M0.4225.93N/AN/A7,7603,260117,23588,090