CME Options History — September 2011

In September 2011, CME traded between $49.28 and $54.41. ATM implied volatility averaged 40.4%, placing in the 46.8% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 3.3% (HV 20d: 43.7%). Max pain ranged from $50.00 to $54.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2011-09-16: Highest Volume — 24,010 contracts
  • 2011-09-06: Largest IV spike — 27.1% change
  • 2011-09-12: Highest IV Rank — 65.0%
  • 2011-09-30: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.25$49.28$54.41$53.12$49.28
Max Pain$53.62$50.00$54.00$54.00$54.00
ATM IV40.4%33.3%49.3%34.1%46.7%
Expected Move11.3%9.6%13.4%9.8%13.4%
HV 20d43.7%29.2%72.7%72.3%34.5%
HV 60d46.9%45.4%48.3%45.4%48.3%
IV Rank46.8%32.5%65.0%34.0%59.6%
IV Percentile93.7%88.1%99.2%92.1%96.8%
Term Structure0.5%-2.7%2.5%1.1%2.2%
VWIV41.5%35.7%49.5%38.2%45.7%
Skew 25d10.7%8.4%12.8%9.4%12.3%
Skew 10d22.9%17.4%30.5%18.1%22.8%
Call IV 25d35.1%28.9%42.0%33.1%42.0%
Put IV 25d45.8%38.4%54.4%42.5%54.4%
Bid-Ask Spread %37.8026.6954.6438.5547.34
Gamma HHI0.080.070.090.080.08
Net GEX276.3K-2.3M3.1M632.9K-2.3M
Net DEX71.7M-10.7M143.7M64.8M143.7M
Net VEX-1.5M-1.6M-1.4M-1.5M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.433.040.970.64
Total Volume11,217.6193,03524,0108,5459,040
Total OI246,754.286207,855290,280250,790231,340

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$53.12$54.0034.1%9.8%72.3%34.0%38.2%9.4%1.1%632.9K64.8M-1.5M0.9738.55N/AN/A4,3454,200135,280115,510
2011-09-02$51.74$54.0037.9%10.8%72.7%41.7%40.2%9.7%-0.2%-556.8K106.7M-1.5M1.1134.05N/AN/A7,7258,580137,570116,675
2011-09-06$50.96$50.0048.1%12.1%66.0%62.5%43.1%11.1%-2.3%-1.0M128.3M-1.4M0.5531.96N/AN/A5,9953,280139,390118,810
2011-09-07$53.19$52.0036.5%10.2%62.5%38.9%38.3%10.6%0.1%1.1M54.2M-1.5M0.6432.55N/AN/A9,2005,915140,470119,110
2011-09-08$51.70$52.0040.5%11.2%49.8%47.0%38.1%10.2%-1.7%159.0K92.3M-1.5M1.0730.99N/AN/A8,4509,055143,675119,695
2011-09-09$51.19$54.0047.2%12.4%43.0%60.7%49.5%10.4%-2.7%-216.6K110.4M-1.5M1.5331.47N/AN/A8,26012,645146,650124,230
2011-09-12$52.05$54.0049.3%12.3%43.3%65.0%44.9%12.4%-2.5%652.5K87.5M-1.6M1.6126.69N/AN/A3,4805,620150,465132,495
2011-09-13$52.90$54.0042.2%11.7%43.0%50.5%40.6%10.8%-1.1%2.1M50.6M-1.6M0.5933.13N/AN/A9,0155,305151,680134,065
2011-09-14$53.92$54.0035.0%10.8%43.1%35.9%39.3%10.0%-0.2%3.1M3.2M-1.6M0.5527.23N/AN/A12,4506,855150,860134,720
2011-09-15$54.37$54.0035.4%10.2%42.9%36.8%36.5%9.9%1.2%3.1M-9.4M-1.6M0.7731.77N/AN/A4,9153,790151,235136,965
2011-09-16$54.41$54.0033.3%9.6%37.1%32.5%35.7%9.5%2.1%2.2M-10.7M-1.6M1.2231.44N/AN/A10,80513,205152,100138,180
2011-09-19$53.16$54.0034.2%9.8%37.9%34.3%38.2%8.6%2.2%382.1K49.5M-1.6M1.4831.64N/AN/A3,2554,820105,920101,935
2011-09-20$52.73$54.0035.9%10.3%38.2%37.8%35.9%9.2%2.5%144.5K59.0M-1.5M0.7536.94N/AN/A3,7702,840106,930104,175
2011-09-21$51.60$54.0037.0%10.6%36.1%40.0%36.3%8.4%1.9%-730.9K84.3M-1.5M0.4348.83N/AN/A3,2951,415107,765105,355
2011-09-22$51.77$54.0043.0%12.3%35.8%52.2%47.2%12.4%0.9%-248.1K76.4M-1.6M1.4035.72N/AN/A4,5106,295109,510106,175
2011-09-23$51.60$54.0042.6%12.2%33.9%51.4%46.8%11.9%1.1%-427.9K83.2M-1.6M2.5938.14N/AN/A1,1953,095110,815108,050
2011-09-26$52.81$54.0041.4%11.9%34.2%48.9%41.5%12.1%1.8%213.0K58.6M-1.6M0.5949.79N/AN/A1,9051,130111,025108,925
2011-09-27$52.46$54.0040.5%11.6%29.2%47.1%40.9%11.6%1.8%-52.4K65.9M-1.6M0.5254.64N/AN/A5,5002,835111,325109,125
2011-09-28$50.86$54.0045.1%12.9%31.1%56.4%48.8%11.9%0.9%-1.1M104.9M-1.5M3.0450.44N/AN/A2,8558,675113,085110,945
2011-09-29$51.44$54.0041.7%12.0%31.3%49.6%45.8%12.8%2.4%-1.2M103.2M-1.5M0.9650.55N/AN/A3,0802,970113,855115,755
2011-09-30$49.28$54.0046.7%13.4%34.5%59.6%45.7%12.3%2.2%-2.3M143.7M-1.5M0.6447.34N/AN/A5,5053,535114,790116,550