CME Options History — July 2011

In July 2011, CME traded between $55.70 and $59.80. ATM implied volatility averaged 22.9%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 4.9% (HV 20d: 18.1%). Max pain ranged from $56.00 to $58.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2011-07-29: Highest Volume — 23,995 contracts
  • 2011-07-14: Largest IV spike — 27.9% change
  • 2011-07-27: Highest IV Rank — 56.7%
  • 2011-07-27: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.85$55.70$59.80$59.34$57.84
Max Pain$57.60$56.00$58.00$56.00$58.00
ATM IV22.9%17.3%27.2%17.3%26.3%
Expected Move7.0%5.0%7.8%5.0%7.5%
HV 20d18.1%13.4%21.7%18.0%21.7%
HV 60d20.1%19.3%20.5%19.8%20.0%
IV Rank32.3%0.0%56.7%0.0%51.5%
IV Percentile28.2%0.0%61.5%0.0%55.2%
Term Structure0.1%-2.0%4.4%4.4%-0.3%
VWIV24.5%18.0%27.7%18.0%26.8%
Skew 25d3.7%2.5%4.4%2.6%2.5%
Skew 10d7.4%4.4%9.3%5.3%4.4%
Call IV 25d23.1%17.1%26.8%17.1%26.1%
Put IV 25d26.7%19.7%29.8%19.7%28.6%
Bid-Ask Spread %46.6320.3959.8320.3943.37
Gamma HHI0.120.100.150.130.11
Net GEX5.2M113.6K9.9M8.4M4.6M
Net DEX-4.6M-87.5M73.0M-73.9M-3.4M
Net VEX-1.5M-1.6M-1.4M-1.6M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.181.810.430.27
Total Volume9,1253,19023,99515,37523,995
Total OI206,922.25190,600223,370195,880213,010

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$59.34$56.0017.3%5.0%18.0%0.0%18.0%2.6%4.4%8.4M-73.9M-1.6M0.4320.39N/AN/A10,7704,605105,84590,035
2011-07-05$59.34$56.0019.3%6.4%15.2%10.9%22.3%4.4%0.3%9.3M-76.1M-1.6M1.5151.02N/AN/A3,7905,725109,92091,920
2011-07-06$59.27$56.0018.9%6.4%15.2%9.1%22.4%4.1%0.4%9.0M-67.9M-1.6M0.5259.83N/AN/A2,6501,385110,91095,870
2011-07-07$59.80$56.0017.6%6.3%13.4%2.1%22.4%4.1%0.3%9.9M-87.5M-1.6M0.8846.14N/AN/A4,3703,845111,37596,170
2011-07-08$58.90$58.0018.9%6.7%15.0%9.4%22.9%3.9%-0.0%8.7M-48.3M-1.6M0.5845.90N/AN/A4,6602,700112,85596,930
2011-07-11$57.44$58.0022.6%7.1%18.4%30.4%25.4%4.3%-0.5%5.3M9.7M-1.5M0.9649.37N/AN/A3,4753,340114,08097,525
2011-07-12$57.82$58.0021.3%7.4%18.0%23.0%24.3%3.8%-0.6%6.3M-3.7M-1.6M0.1848.66N/AN/A13,0202,320114,52098,735
2011-07-13$57.90$58.0020.2%7.3%17.8%16.5%25.2%3.8%-0.4%7.9M-14.2M-1.6M0.4853.87N/AN/A6,2102,985120,14099,120
2011-07-14$57.86$58.0025.8%7.4%16.9%48.6%25.3%4.2%-0.4%7.9M-14.5M-1.6M0.9353.59N/AN/A2,8802,675121,930100,120
2011-07-15$58.49$58.0025.0%7.2%16.6%44.3%24.9%4.3%-0.0%7.0M-38.4M-1.6M0.5053.17N/AN/A7,9804,020122,215101,155
2011-07-18$57.19$58.0025.5%7.3%18.7%46.8%27.3%3.7%0.1%2.6M27.1M-1.5M1.8151.45N/AN/A3,2455,870106,11084,490
2011-07-19$57.88$58.0024.5%7.0%19.1%41.3%23.8%3.9%0.3%3.4M12.9M-1.6M0.3141.80N/AN/A4,7601,460107,95087,715
2011-07-20$57.10$58.0024.5%7.0%19.3%41.2%24.4%3.5%0.0%2.6M30.8M-1.5M0.6646.91N/AN/A2,0101,320110,21088,050
2011-07-21$57.34$58.0023.8%6.8%19.2%37.4%24.8%4.0%0.2%2.8M29.8M-1.5M0.9441.21N/AN/A1,6451,545110,89588,465
2011-07-22$57.14$58.0023.5%6.7%19.0%35.5%25.4%3.5%0.1%2.5M35.7M-1.5M0.9142.79N/AN/A2,4052,200111,41589,335
2011-07-25$56.96$58.0026.5%7.6%19.1%52.3%26.2%3.2%-0.9%2.0M39.7M-1.5M0.6433.62N/AN/A4,5952,960112,11090,750
2011-07-26$57.02$58.0024.9%7.1%19.1%43.7%24.8%3.6%-0.3%2.2M35.1M-1.5M0.5750.40N/AN/A3,6652,085113,79092,070
2011-07-27$55.70$58.0027.2%7.8%20.5%56.7%27.7%3.0%-2.0%113.6K73.0M-1.4M0.7752.51N/AN/A6,0554,685115,02093,265
2011-07-28$56.77$58.0025.3%7.2%21.0%45.5%25.3%3.1%0.4%1.8M42.0M-1.5M0.6446.67N/AN/A8,9255,670117,57594,850
2011-07-29$57.84$58.0026.3%7.5%21.7%51.5%26.8%2.5%-0.3%4.6M-3.4M-1.6M0.2743.37N/AN/A18,9305,065117,62595,385