CME Options History — October 2011

In October 2011, CME traded between $49.70 and $56.00. ATM implied volatility averaged 38.7%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 1.4% (HV 20d: 40.1%). Max pain ranged from $52.00 to $54.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.27.

Notable Days

  • 2011-10-27: Highest Volume — 24,555 contracts
  • 2011-10-27: Largest IV drop — 20.8% change
  • 2011-10-03: Highest IV Rank — 67.1%
  • 2011-10-03: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.34$49.70$56.00$49.70$55.11
Max Pain$52.57$52.00$54.00$52.00$54.00
ATM IV38.7%30.3%50.3%50.3%35.6%
Expected Move11.4%8.7%14.4%14.4%10.2%
HV 20d40.1%30.3%46.4%33.7%43.8%
HV 60d51.0%48.2%53.1%48.3%52.1%
IV Rank43.5%26.5%67.1%67.1%37.1%
IV Percentile86.8%75.0%99.2%99.2%80.2%
Term Structure-0.6%-3.3%6.0%1.3%-3.3%
VWIV41.0%30.8%51.4%51.4%37.7%
Skew 25d11.0%7.2%13.7%12.5%7.4%
Skew 10d23.8%14.2%32.8%26.7%15.1%
Call IV 25d35.3%27.9%45.4%45.4%33.3%
Put IV 25d46.3%35.1%57.9%57.9%40.7%
Bid-Ask Spread %36.5426.4960.2450.0736.44
Gamma HHI0.090.080.100.080.09
Net GEX-1.1M-3.4M2.0M-1.9M371.1K
Net DEX83.8M-2.2M135.3M132.4M32.0M
Net VEX-1.4M-1.6M-1.3M-1.5M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.522.850.770.99
Total Volume11,863.5714,32024,5557,24015,785
Total OI249,390228,445271,655234,540252,410

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$49.70$52.0050.3%14.4%33.7%67.1%51.4%12.5%1.3%-1.9M132.4M-1.5M0.7750.07N/AN/A4,1003,140116,615117,925
2011-10-04$50.47$52.0046.6%13.4%33.8%59.4%46.4%13.7%2.4%-1.9M127.1M-1.5M1.3460.24N/AN/A5,8457,845118,570118,185
2011-10-05$51.20$52.0040.1%11.5%30.3%46.3%43.6%13.0%5.1%-1.3M101.2M-1.5M0.5255.79N/AN/A2,8451,475119,400120,340
2011-10-06$53.29$52.0035.6%10.2%32.1%37.1%37.2%11.0%6.0%647.5K42.1M-1.6M0.7136.86N/AN/A6,6404,730119,320120,795
2011-10-07$50.79$52.0041.5%13.2%36.4%49.1%44.7%12.6%-1.4%-1.6M109.7M-1.5M1.9534.42N/AN/A3,3156,450122,200122,035
2011-10-10$53.21$52.0034.8%11.7%39.7%35.5%43.1%13.4%-0.8%472.9K48.3M-1.6M0.5437.14N/AN/A5,3552,900123,105124,785
2011-10-11$51.40$52.0037.6%12.3%41.2%41.2%45.1%12.3%-1.3%-1.2M96.8M-1.5M0.9841.54N/AN/A5,6755,570125,200126,155
2011-10-12$51.92$52.0035.8%12.0%40.7%37.5%40.4%12.2%-2.0%-1.3M91.5M-1.5M0.9135.94N/AN/A4,3753,960124,875128,405
2011-10-13$51.26$52.0040.8%11.7%40.7%47.6%42.4%11.5%-1.4%-2.7M115.0M-1.4M1.6229.84N/AN/A3,0154,880125,175129,840
2011-10-14$51.94$52.0039.6%11.3%41.1%45.2%40.2%10.6%-1.4%-1.6M93.2M-1.4M0.6331.68N/AN/A4,2202,640125,515132,730
2011-10-17$50.64$52.0043.8%12.6%41.2%53.8%42.3%11.5%-2.3%-3.4M135.3M-1.4M1.5927.17N/AN/A6,2109,845127,330134,375
2011-10-18$52.01$52.0039.5%11.3%42.4%45.0%38.9%10.7%-1.3%-2.8M98.5M-1.4M1.3533.18N/AN/A3,6804,950127,190138,740
2011-10-19$51.47$52.0040.0%11.5%41.9%46.0%43.0%10.9%-1.7%-3.0M113.0M-1.3M1.1330.23N/AN/A5,1605,840127,820138,075
2011-10-20$52.29$52.0040.4%11.6%42.3%46.9%41.8%11.0%-1.5%-2.2M81.4M-1.4M1.0228.94N/AN/A5,5705,655129,060140,290
2011-10-21$52.90$52.0039.1%11.2%42.4%44.2%39.8%10.3%-1.3%-587.4K61.8M-1.4M2.8528.53N/AN/A5,58515,900129,870141,785
2011-10-24$53.74$54.0034.3%9.8%42.0%34.4%37.6%9.7%-0.6%-144.9K58.2M-1.4M1.1126.49N/AN/A6,2606,980112,395116,050
2011-10-25$51.69$54.0038.6%11.1%44.2%43.2%41.4%10.4%-2.3%-1.9M117.4M-1.3M1.5435.43N/AN/A4,9707,630114,125119,895
2011-10-26$52.69$54.0038.3%11.0%43.3%42.6%40.6%10.9%-2.5%-1.2M93.5M-1.4M2.7436.12N/AN/A2,6857,355114,840123,150
2011-10-27$55.35$54.0030.3%8.7%46.4%26.5%32.7%8.5%-1.1%1.8M13.1M-1.4M1.2833.94N/AN/A10,78013,775114,985125,945
2011-10-28$56.00$54.0030.8%8.8%43.1%27.5%30.8%7.2%-1.2%2.0M-2.2M-1.4M1.1637.33N/AN/A7,1958,350117,860129,830
2011-10-31$55.11$54.0035.6%10.2%43.8%37.1%37.7%7.4%-3.3%371.1K32.0M-1.4M0.9936.44N/AN/A7,9207,865119,885132,525