CME Options History — December 2011

In December 2011, CME traded between $47.78 and $50.66. ATM implied volatility averaged 32.0%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 4.0% (HV 20d: 36.0%). Max pain ranged from $52.00 to $56.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.09.

Notable Days

  • 2011-12-01: Highest Volume — 22,455 contracts
  • 2011-12-09: Largest IV drop — 23.0% change
  • 2011-12-08: Highest IV Rank — 52.7%
  • 2011-12-08: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.07$47.78$50.66$50.00$48.73
Max Pain$54.19$52.00$56.00$52.00$52.00
ATM IV32.0%24.6%43.3%35.7%27.9%
Expected Move9.1%7.1%11.2%10.2%8.0%
HV 20d36.0%25.2%45.3%45.3%25.3%
HV 60d44.1%43.3%44.6%44.3%43.3%
IV Rank30.0%14.9%52.7%37.3%21.5%
IV Percentile62.5%35.7%90.9%73.8%54.8%
Term Structure2.8%0.3%4.6%0.8%4.3%
VWIV33.1%26.2%41.0%41.0%27.8%
Skew 25d6.7%4.6%9.2%8.2%4.6%
Skew 10d14.2%8.7%20.3%20.3%10.1%
Call IV 25d29.1%23.6%34.6%33.1%25.7%
Put IV 25d35.8%28.5%43.5%41.3%30.3%
Bid-Ask Spread %30.2220.0240.0323.5120.57
Gamma HHI0.160.100.410.110.12
Net GEX-4.6M-12.3M-1.0M-2.9M-3.4M
Net DEX169.8M117.8M274.4M156.4M143.0M
Net VEX-1.1M-1.4M-994.8K-1.4M-994.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.332.380.741.26
Total Volume12,073.0952,51522,45522,45510,435
Total OI302,949.524236,090355,150332,805249,715

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$50.00$52.0035.7%10.2%45.3%37.3%41.0%8.2%0.8%-2.9M156.4M-1.4M0.7423.51N/AN/A12,9109,545165,355167,450
2011-12-02$50.66$52.0034.2%9.8%43.6%34.3%34.4%7.6%0.8%-1.5M125.1M-1.4M0.6620.02N/AN/A12,2658,085166,845167,850
2011-12-05$49.82$56.0038.0%10.1%43.6%42.0%37.2%7.8%1.8%-3.3M169.9M-1.3M0.5737.30N/AN/A10,1105,780167,945171,285
2011-12-06$49.77$56.0036.5%9.9%43.1%39.0%35.9%7.5%2.3%-3.2M168.2M-1.3M0.3327.61N/AN/A8,1652,720169,990173,110
2011-12-07$50.63$56.0037.2%9.9%43.3%40.4%34.9%9.2%2.8%-1.0M127.2M-1.3M0.4834.24N/AN/A7,5553,625169,795173,105
2011-12-08$48.92$56.0043.3%11.2%41.7%52.7%41.0%8.9%0.3%-4.3M200.2M-1.3M1.7229.05N/AN/A7,58013,010170,660173,450
2011-12-09$49.61$56.0033.4%9.9%41.7%32.6%38.0%7.6%1.7%-3.0M173.0M-1.3M1.2437.48N/AN/A4,7405,895171,785177,735
2011-12-12$48.70$56.0039.8%10.6%41.6%45.7%38.0%7.8%1.2%-7.3M230.8M-1.2M0.9633.94N/AN/A6,7956,535171,625178,670
2011-12-13$48.20$56.0034.5%10.1%41.2%34.9%37.2%7.6%1.6%-9.4M257.7M-1.1M1.3640.03N/AN/A5,2607,130172,650180,600
2011-12-14$47.78$56.0031.6%10.0%41.2%29.0%35.4%7.3%1.8%-11.3M274.4M-1.0M0.4531.79N/AN/A11,1755,040172,645182,350
2011-12-15$47.82$56.0033.7%9.7%34.1%33.4%33.9%6.7%2.5%-12.3M260.9M-1.0M1.0230.43N/AN/A5,7055,825172,645182,505
2011-12-16$48.40$54.0032.2%9.2%34.1%30.2%33.1%6.5%3.3%-10.0M189.5M-1.0M1.6837.11N/AN/A6,98011,755174,335177,855
2011-12-19$48.40$54.0031.5%9.0%29.9%28.9%32.2%6.5%3.4%-2.9M147.7M-1.0M0.7535.65N/AN/A4,9903,740123,275112,815
2011-12-20$49.63$54.0027.3%7.8%29.3%20.2%27.3%6.9%4.6%-2.4M117.8M-1.1M1.1733.70N/AN/A4,7405,555126,140114,365
2011-12-21$48.27$54.0028.1%8.0%31.0%21.9%30.1%6.1%4.2%-3.5M157.0M-1.0M2.3836.04N/AN/A4,1209,815128,460115,400
2011-12-22$49.15$52.0025.4%7.3%31.6%16.5%28.3%5.5%4.5%-2.9M132.0M-1.1M1.3932.74N/AN/A3,0954,305129,885116,570
2011-12-23$49.28$54.0024.6%7.1%31.5%14.9%26.9%4.9%4.6%-2.9M130.0M-1.1M1.4225.10N/AN/A1,0401,475130,095117,285
2011-12-27$49.04$52.0025.5%7.3%29.7%16.6%27.7%4.7%4.3%-2.9M129.9M-1.0M1.3226.54N/AN/A1,1601,530130,360117,175
2011-12-28$48.51$52.0027.8%8.0%28.8%21.4%28.4%5.1%4.1%-3.5M147.2M-1.0M1.5821.15N/AN/A1,5902,510131,360117,300
2011-12-29$49.06$52.0025.0%7.2%25.2%15.6%26.2%4.7%4.4%-3.0M128.4M-1.0M0.4820.69N/AN/A6,2453,005131,460118,040
2011-12-30$48.73$52.0027.9%8.0%25.3%21.5%27.8%4.6%4.3%-3.4M143.0M-994.8K1.2620.57N/AN/A4,6205,815130,790118,925