CME Options History — January 2012

In January 2012, CME traded between $45.20 and $49.13. ATM implied volatility averaged 29.3%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 4.6% (HV 20d: 24.7%). Max pain ranged from $46.00 to $52.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.12.

Notable Days

  • 2012-01-17: Highest Volume — 35,260 contracts
  • 2012-01-12: Largest IV spike — 15.1% change
  • 2012-01-17: Highest IV Rank — 31.6%
  • 2012-01-17: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.30$45.20$49.13$49.13$47.90
Max Pain$48.50$46.00$52.00$52.00$48.00
ATM IV29.3%25.5%32.9%26.7%31.6%
Expected Move8.7%7.3%9.4%7.7%9.1%
HV 20d24.7%22.1%27.8%25.0%23.3%
HV 60d39.1%32.3%42.5%42.5%32.3%
IV Rank24.4%16.7%31.6%19.2%29.1%
IV Percentile55.6%39.7%64.3%48.0%62.7%
Term Structure0.2%-2.3%5.2%3.3%-2.3%
VWIV31.5%26.2%36.1%27.5%33.5%
Skew 25d4.7%2.6%7.0%4.6%4.4%
Skew 10d10.1%6.0%14.5%9.0%10.3%
Call IV 25d28.7%25.0%31.2%26.3%30.5%
Put IV 25d33.4%27.7%37.0%30.9%35.0%
Bid-Ask Spread %40.1523.6550.7325.6550.73
Gamma HHI0.150.120.220.120.13
Net GEX-3.2M-7.7M806.9K-3.3M-977.5K
Net DEX146.6M23.8M269.2M132.6M55.4M
Net VEX-1.0M-1.2M-839.3K-988.3K-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.472.181.090.95
Total Volume16,937.254,07535,2608,95513,525
Total OI257,211180,760330,745252,755204,205

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$49.13$52.0026.7%7.7%25.0%19.2%27.5%4.6%3.3%-3.3M132.6M-988.3K1.0925.65N/AN/A4,2804,675132,355120,400
2012-01-04$48.20$52.0027.9%8.0%25.2%21.6%28.3%3.0%4.0%-4.1M163.8M-926.6K1.8528.67N/AN/A4,5858,500133,100122,700
2012-01-05$47.72$52.0025.5%7.3%25.3%16.7%26.2%2.6%5.2%-5.4M186.1M-912.7K1.0323.65N/AN/A5,9656,150134,510128,145
2012-01-06$46.80$50.0027.6%9.2%25.0%21.0%32.9%7.0%0.1%-6.2M224.7M-851.1K2.1839.52N/AN/A8,76019,070136,240131,605
2012-01-09$45.65$48.0028.2%9.3%23.6%22.3%36.1%6.7%-0.4%-7.7M267.1M-842.0K1.4739.99N/AN/A13,65520,055137,390141,895
2012-01-10$45.51$48.0026.0%8.8%22.7%17.8%31.9%6.6%-0.2%-7.4M263.6M-847.9K1.0240.39N/AN/A6,3506,495143,990145,280
2012-01-11$45.20$48.0025.8%8.8%22.1%17.3%31.3%6.3%-0.1%-7.6M269.2M-839.3K0.7440.51N/AN/A6,3654,685145,705145,670
2012-01-12$46.65$48.0029.7%8.5%25.2%25.2%29.7%5.8%0.1%-5.3M223.3M-873.6K0.6938.64N/AN/A8,0055,495148,245146,115
2012-01-13$46.90$48.0031.4%9.0%25.2%28.7%31.7%5.7%-0.1%-4.3M203.0M-929.1K0.7443.61N/AN/A12,9559,580150,820146,205
2012-01-17$45.83$48.0032.9%9.4%26.4%31.6%34.3%5.3%-0.5%-6.2M238.2M-885.8K0.4742.62N/AN/A24,05511,205156,160148,085
2012-01-18$46.53$46.0032.4%9.3%26.6%30.6%33.1%4.7%-0.2%-4.1M192.7M-1.1M1.6345.53N/AN/A7,48512,165171,750152,260
2012-01-19$47.51$46.0030.6%8.8%27.8%27.1%31.8%4.4%-0.1%-148.7K146.5M-1.2M0.4745.30N/AN/A19,7459,365174,560154,380
2012-01-20$47.98$48.0029.4%8.4%26.4%24.7%30.6%4.4%-0.2%806.9K129.7M-1.2M1.0842.32N/AN/A11,16512,070175,295155,450
2012-01-23$47.69$48.0029.2%8.4%24.6%24.3%31.3%4.0%-0.4%-245.7K45.0M-1.1M0.9945.79N/AN/A6,2506,17091,32589,435
2012-01-24$48.10$48.0029.8%8.5%23.9%25.3%34.3%4.7%-0.0%-24.1K39.8M-1.2M0.9744.48N/AN/A9,6309,37594,33092,770
2012-01-25$48.42$48.0030.5%8.7%24.0%26.8%30.9%3.9%-1.0%493.5K23.8M-1.2M0.9036.27N/AN/A6,2755,67097,54097,000
2012-01-26$48.09$48.0030.0%8.6%24.1%25.8%30.5%3.1%-1.2%-342.6K36.9M-1.2M1.4844.60N/AN/A3,0554,52597,81599,405
2012-01-27$48.18$48.0029.5%8.5%23.8%24.9%30.7%3.1%-0.7%-469.9K40.8M-1.2M1.1944.16N/AN/A1,8602,21598,220102,075
2012-01-30$48.00$48.0031.4%9.0%23.4%28.5%32.5%3.9%-2.2%-876.7K49.1M-1.2M1.4740.61N/AN/A2,9604,35599,050102,740
2012-01-31$47.90$48.0031.6%9.1%23.3%29.1%33.5%4.4%-2.3%-977.5K55.4M-1.2M0.9550.73N/AN/A6,9506,575100,250103,955