CME Options History — June 2011

In June 2011, CME traded between $52.45 and $58.32. ATM implied volatility averaged 24.2%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 3.5% (HV 20d: 20.7%). Max pain ranged from $54.00 to $58.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.84.

Notable Days

  • 2011-06-15: Highest Volume — 29,895 contracts
  • 2011-06-09: Largest IV drop — 16.9% change
  • 2011-06-08: Highest IV Rank — 49.8%
  • 2011-06-08: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.23$52.45$58.32$55.57$58.32
Max Pain$55.91$54.00$58.00$58.00$56.00
ATM IV24.2%18.8%29.5%24.5%18.8%
Expected Move6.8%5.4%7.6%7.0%5.4%
HV 20d20.7%18.2%22.6%19.7%19.8%
HV 60d19.8%19.1%20.6%19.9%19.6%
IV Rank29.0%0.8%49.8%25.7%0.8%
IV Percentile29.1%0.4%73.0%29.0%0.4%
Term Structure2.3%-0.7%4.3%-0.7%4.3%
VWIV24.4%19.0%27.8%24.5%19.0%
Skew 25d3.6%2.4%4.8%3.2%3.8%
Skew 10d7.0%1.0%9.8%6.3%6.3%
Call IV 25d22.5%17.2%25.3%23.7%17.2%
Put IV 25d26.1%21.0%29.8%26.9%21.0%
Bid-Ask Spread %39.2721.1151.5321.1122.81
Gamma HHI0.140.090.210.140.13
Net GEX-2.3M-8.5M6.4M-5.1M6.4M
Net DEX111.9M-38.6M245.4M133.7M-38.6M
Net VEX-1.5M-1.5M-1.3M-1.4M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.141.510.480.62
Total Volume13,995.2273,87029,89523,75515,400
Total OI229,510.909176,605273,840226,650194,015

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$55.57$58.0024.5%7.0%19.7%25.7%24.5%3.2%-0.7%-5.1M133.7M-1.4M0.4821.11N/AN/A16,0457,710119,520107,130
2011-06-02$55.71$58.0023.8%6.8%19.1%23.0%24.4%3.4%-0.2%-3.0M126.3M-1.5M0.6722.44N/AN/A4,5353,050128,105110,295
2011-06-03$54.41$56.0025.2%7.1%20.6%29.2%24.8%3.2%2.0%-5.9M172.7M-1.4M1.1248.25N/AN/A8,5659,595129,350111,075
2011-06-06$53.23$56.0029.5%7.5%20.1%47.8%26.2%2.9%1.2%-7.3M216.4M-1.4M1.3132.65N/AN/A12,11015,895133,520114,255
2011-06-07$53.20$56.0026.8%7.0%19.2%38.1%26.0%2.4%2.0%-7.3M210.9M-1.4M0.8840.62N/AN/A7,7456,815137,730117,025
2011-06-08$52.45$56.0029.2%7.6%18.2%49.8%27.1%3.3%1.0%-8.5M245.4M-1.3M1.5142.05N/AN/A9,03513,610140,520119,645
2011-06-09$53.25$54.0024.3%7.0%19.8%31.8%24.6%2.9%2.0%-6.8M208.2M-1.4M1.0150.67N/AN/A7,9458,060144,670123,870
2011-06-10$53.65$54.0024.7%7.1%20.2%34.4%25.6%3.2%2.1%-6.5M199.3M-1.4M1.0748.17N/AN/A7,9808,530146,525125,935
2011-06-13$54.40$54.0025.2%7.2%21.1%37.0%25.1%3.9%1.8%-5.9M172.5M-1.5M0.6351.53N/AN/A8,9755,655146,155127,685
2011-06-14$54.96$56.0024.3%7.0%20.8%32.2%23.8%3.2%2.2%-5.5M149.5M-1.5M0.8244.91N/AN/A6,8905,640145,755126,335
2011-06-15$54.23$56.0025.9%7.4%20.9%41.5%25.8%3.7%1.5%-8.3M185.0M-1.4M0.1446.17N/AN/A26,2653,630145,795126,155
2011-06-16$55.00$56.0026.3%7.5%21.5%43.2%27.8%4.8%1.4%-4.2M141.5M-1.5M0.9648.30N/AN/A9,2958,910144,025126,365
2011-06-17$55.58$56.0024.8%7.1%21.8%34.9%25.5%4.7%2.7%1.3M102.9M-1.5M0.5750.61N/AN/A12,9107,330146,475124,490
2011-06-20$55.78$56.0023.5%6.7%21.9%27.7%25.1%4.2%3.3%745.3K50.2M-1.5M0.6838.69N/AN/A3,9202,65092,63583,970
2011-06-21$56.56$56.0021.9%6.3%22.6%18.3%21.6%4.2%3.7%2.0M26.4M-1.5M0.4535.73N/AN/A5,1852,33594,85085,145
2011-06-22$56.27$56.0021.4%6.1%21.9%15.8%21.9%2.9%4.1%2.1M31.7M-1.5M0.8734.66N/AN/A2,8452,47097,03585,375
2011-06-23$55.87$56.0022.6%6.5%21.5%22.6%23.4%4.0%3.3%1.3M43.5M-1.5M1.3939.53N/AN/A4,5056,24598,02086,440
2011-06-24$56.04$56.0023.5%6.7%21.4%27.4%25.0%3.9%3.1%1.2M40.9M-1.5M0.6639.05N/AN/A3,6952,44098,55088,585
2011-06-27$56.20$56.0023.3%6.7%21.5%26.5%23.7%3.5%3.2%1.7M33.9M-1.5M1.1838.59N/AN/A1,9402,280100,95589,745
2011-06-28$56.80$56.0022.9%6.6%21.5%23.9%22.9%3.9%3.3%2.8M16.2M-1.5M0.5532.16N/AN/A2,4901,380101,45090,630
2011-06-29$57.60$56.0019.8%5.7%19.5%6.7%22.1%3.8%4.1%4.7M-7.6M-1.5M0.8435.30N/AN/A2,9302,460102,46090,975
2011-06-30$58.32$56.0018.8%5.4%19.8%0.8%19.0%3.8%4.3%6.4M-38.6M-1.5M0.6222.81N/AN/A9,4955,905103,09590,920