CME Options History — November 2011

In November 2011, CME traded between $47.58 and $55.79. ATM implied volatility averaged 40.0%, placing in the 46.0% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 13.5% (HV 20d: 53.5%). Max pain ranged from $50.00 to $54.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.41.

Notable Days

  • 2011-11-16: Highest Volume — 67,975 contracts
  • 2011-11-09: Largest IV spike — 27.6% change
  • 2011-11-23: Highest IV Rank — 57.9%
  • 2011-11-23: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.77$47.58$55.79$50.38$49.86
Max Pain$53.14$50.00$54.00$54.00$50.00
ATM IV40.0%30.0%45.9%45.3%36.1%
Expected Move11.5%9.0%13.1%13.0%10.4%
HV 20d53.5%46.7%58.2%55.0%46.7%
HV 60d45.1%43.5%52.4%52.4%45.2%
IV Rank46.0%25.8%57.9%56.8%38.3%
IV Percentile86.0%71.0%95.6%95.2%75.4%
Term Structure-1.0%-5.4%0.7%-5.4%0.7%
VWIV42.0%33.4%51.0%46.4%39.9%
Skew 25d10.6%9.7%11.9%10.3%9.7%
Skew 10d23.1%20.0%25.9%24.6%20.0%
Call IV 25d36.3%27.7%42.0%40.2%33.5%
Put IV 25d46.8%37.6%52.5%50.5%43.2%
Bid-Ask Spread %33.6823.3246.8446.8429.00
Gamma HHI0.130.090.430.100.11
Net GEX-4.6M-18.2M4.1M-3.7M-2.9M
Net DEX167.9M-24.9M336.6M173.7M160.7M
Net VEX-1.5M-1.6M-1.3M-1.3M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.293.182.880.88
Total Volume25,958.3335,82567,97566,49523,980
Total OI312,725254,045366,655254,045333,040

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$50.38$54.0045.3%13.0%55.0%56.8%46.4%10.3%-5.4%-3.7M173.7M-1.3M2.8846.84N/AN/A17,12549,370121,635132,410
2011-11-02$51.88$54.0040.4%11.6%55.8%46.8%41.8%10.8%-2.2%-4.0M145.6M-1.4M1.6644.38N/AN/A9,05015,065124,530149,030
2011-11-03$53.71$54.0034.6%9.9%55.3%35.0%36.3%10.5%0.1%-1.4M80.9M-1.5M0.6331.79N/AN/A11,6407,350126,070154,015
2011-11-04$54.27$54.0035.3%10.0%52.3%36.5%40.2%10.2%-0.5%-745.2K65.7M-1.5M0.7225.96N/AN/A7,4055,335126,860154,670
2011-11-07$55.02$54.0032.2%9.5%50.0%30.3%36.0%11.5%-0.0%940.9K29.4M-1.6M0.5023.32N/AN/A10,7455,335131,140156,490
2011-11-08$55.79$54.0030.0%9.0%48.2%25.8%33.4%10.0%0.5%4.1M-24.9M-1.6M2.5928.48N/AN/A5,52014,315137,420158,645
2011-11-09$53.16$54.0038.3%10.7%51.6%42.6%40.0%11.0%-0.6%-2.0M101.1M-1.6M1.8738.16N/AN/A6,79512,715138,970161,365
2011-11-10$52.02$54.0039.2%11.2%52.0%44.4%38.1%11.0%-1.1%-3.7M142.6M-1.6M1.2933.39N/AN/A6,9909,035141,115163,690
2011-11-11$52.71$54.0037.2%10.7%52.0%40.3%35.5%10.0%-0.2%-3.2M116.8M-1.6M0.2931.05N/AN/A27,0807,815142,195168,245
2011-11-14$51.58$54.0038.6%11.1%51.8%43.2%45.5%10.3%-0.4%-5.0M163.8M-1.6M1.1728.04N/AN/A8,66510,115151,615170,185
2011-11-15$51.50$54.0038.2%11.0%50.9%42.5%40.6%10.2%-0.5%-5.0M162.2M-1.5M3.1829.25N/AN/A3,91012,430155,050174,690
2011-11-16$48.24$54.0044.7%12.8%55.8%55.7%45.6%10.1%-2.4%-10.1M301.9M-1.4M1.8432.04N/AN/A23,96044,015156,720180,335
2011-11-17$47.61$54.0044.6%12.8%55.5%55.4%47.9%10.4%-1.3%-12.6M336.6M-1.4M2.8236.77N/AN/A14,45540,765164,465193,135
2011-11-18$49.78$54.0039.5%11.3%57.9%45.0%40.0%10.7%0.2%-18.2M241.2M-1.6M0.7533.36N/AN/A23,08017,345170,135196,520
2011-11-21$48.31$52.0045.5%13.0%58.2%57.2%46.0%11.9%-2.3%-4.9M219.5M-1.5M2.1035.70N/AN/A9,34519,630149,700158,260
2011-11-22$48.11$52.0043.9%12.6%56.9%53.9%43.8%10.5%-1.0%-5.2M229.5M-1.5M0.9734.09N/AN/A9,9209,660153,435162,840
2011-11-23$47.81$52.0045.9%13.1%56.2%57.9%44.7%10.4%-1.9%-4.7M223.6M-1.5M0.7434.28N/AN/A6,8055,015157,315163,025
2011-11-25$47.58$52.0045.0%12.9%52.5%56.3%51.0%10.8%-1.0%-5.0M236.7M-1.5M1.1736.89N/AN/A2,6903,135160,465166,020
2011-11-28$49.03$52.0041.5%11.9%53.7%49.1%43.8%11.7%-0.1%-4.2M193.4M-1.5M0.4336.79N/AN/A10,0054,270161,525167,085
2011-11-29$47.92$50.0043.3%12.4%54.0%52.7%44.8%10.4%-1.6%-4.9M225.1M-1.4M1.0337.77N/AN/A6,5206,725165,525167,645
2011-11-30$49.86$50.0036.1%10.4%46.7%38.3%39.9%9.7%0.7%-2.9M160.7M-1.5M0.8829.00N/AN/A12,78511,195164,910168,130