CME Options History — May 2011

In May 2011, CME traded between $56.63 and $59.88. ATM implied volatility averaged 22.1%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 1.6% (HV 20d: 20.5%). Max pain ranged from $58.00 to $60.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2011-05-16: Highest Volume — 15,375 contracts
  • 2011-05-13: Largest IV spike — 9.2% change
  • 2011-05-13: Highest IV Rank — 19.5%
  • 2011-05-13: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.57$56.63$59.88$59.43$57.15
Max Pain$59.81$58.00$60.00$60.00$58.00
ATM IV22.1%19.8%24.1%21.5%21.0%
Expected Move6.4%6.0%6.9%6.2%6.0%
HV 20d20.5%18.0%22.4%18.4%18.3%
HV 60d20.6%19.1%22.4%21.7%19.1%
IV Rank13.2%4.2%19.5%10.3%10.7%
IV Percentile9.3%1.2%23.4%3.2%4.0%
Term Structure1.7%0.3%3.0%0.9%1.2%
VWIV23.0%21.8%24.3%22.4%21.8%
Skew 25d3.4%2.3%4.2%2.8%3.6%
Skew 10d6.8%4.8%8.6%6.0%5.8%
Call IV 25d21.5%20.2%22.7%20.9%20.6%
Put IV 25d24.9%23.3%26.6%23.7%24.2%
Bid-Ask Spread %30.5320.1441.5741.5720.14
Gamma HHI0.100.080.160.090.11
Net GEX-278.1K-5.9M7.6M392.5K-2.4M
Net DEX44.7M-10.2M109.5M19.2M80.5M
Net VEX-1.7M-1.7M-1.5M-1.7M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.211.950.920.56
Total Volume8,276.6674,06515,3756,9707,460
Total OI234,430206,590253,390226,000225,265

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$59.43$60.0021.5%6.2%18.4%10.3%22.4%2.8%0.9%392.5K19.2M-1.7M0.9241.57N/AN/A3,6353,335118,340107,660
2011-05-03$58.34$60.0021.8%6.3%19.3%11.4%22.2%3.0%1.2%-3.1M65.7M-1.7M1.0833.84N/AN/A5,4405,880119,405109,285
2011-05-04$57.45$60.0022.1%6.3%19.9%12.4%22.9%2.9%1.1%-5.6M104.1M-1.7M0.6626.98N/AN/A7,1204,700121,385112,145
2011-05-05$57.21$60.0022.7%6.5%19.1%14.5%23.1%2.5%0.9%-5.9M109.5M-1.7M0.2830.91N/AN/A6,4101,800122,175114,100
2011-05-06$58.32$60.0022.0%6.8%20.6%12.0%23.8%3.5%2.7%-1.9M56.9M-1.7M0.6538.30N/AN/A5,1003,300125,295114,700
2011-05-09$59.00$60.0020.9%6.5%21.2%8.3%22.0%4.0%2.7%235.1K29.0M-1.7M0.2137.42N/AN/A8,4101,730126,175115,215
2011-05-10$59.76$60.0019.8%6.4%21.8%4.2%22.9%3.9%2.8%2.3M1.6M-1.7M0.3827.57N/AN/A4,5601,725124,975115,215
2011-05-11$59.41$60.0020.6%6.4%21.7%7.0%23.7%3.0%2.7%1.0M15.5M-1.7M0.6828.40N/AN/A5,2603,565124,420115,955
2011-05-12$59.53$60.0022.1%6.3%21.4%12.3%23.8%3.5%2.9%559.0K12.8M-1.7M0.9029.26N/AN/A2,1801,965125,625117,105
2011-05-13$58.87$60.0024.1%6.9%21.6%19.5%22.8%3.7%2.0%-977.0K38.4M-1.7M0.2430.72N/AN/A7,5451,845126,100117,545
2011-05-16$59.69$60.0023.7%6.8%22.2%18.2%23.6%3.7%1.9%2.6M-1.6M-1.7M0.8933.15N/AN/A8,1257,250126,875117,845
2011-05-17$59.05$60.0023.2%6.7%22.3%16.3%24.0%4.1%2.3%391.1K32.1M-1.7M0.5025.33N/AN/A3,9051,945130,025122,000
2011-05-18$59.45$60.0022.6%6.5%22.4%14.3%23.5%4.2%2.5%3.3M11.6M-1.7M0.6534.54N/AN/A2,5901,675131,400121,990
2011-05-19$59.88$60.0022.1%6.3%20.3%12.4%22.7%4.1%2.7%7.3M-10.2M-1.7M0.7233.75N/AN/A2,3601,705130,655121,260
2011-05-20$59.67$60.0021.8%6.2%20.3%13.2%24.0%3.8%3.0%7.6M7.0M-1.7M0.8935.01N/AN/A3,9103,485131,070121,500
2011-05-23$59.07$60.0022.1%6.3%20.4%14.4%23.5%4.1%1.1%1.0M22.7M-1.6M0.7229.43N/AN/A4,1652,980108,79597,795
2011-05-24$58.02$60.0022.8%6.5%20.6%17.3%24.3%3.7%0.5%-1.3M57.5M-1.6M1.9526.79N/AN/A4,0007,800110,48599,780
2011-05-25$57.26$60.0022.4%6.4%20.8%16.4%22.5%2.3%0.7%-3.3M84.7M-1.5M0.7729.15N/AN/A4,5503,515111,345103,810
2011-05-26$56.82$60.0022.7%6.5%20.1%17.8%22.4%2.6%0.3%-4.0M98.6M-1.5M0.7925.14N/AN/A4,9403,915113,180104,430
2011-05-27$56.63$58.0022.1%6.3%18.0%15.2%21.8%3.0%0.6%-4.2M103.9M-1.5M0.4823.78N/AN/A5,4402,590115,215105,490
2011-05-31$57.15$58.0021.0%6.0%18.3%10.7%21.8%3.6%1.2%-2.4M80.5M-1.5M0.5620.14N/AN/A4,7702,690118,600106,665