CME Options History — February 2012

In February 2012, CME traded between $49.10 and $59.13. ATM implied volatility averaged 26.3%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 7.4% (HV 20d: 33.7%). Max pain ranged from $48.00 to $54.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.85.

Notable Days

  • 2012-02-02: Highest Volume — 83,990 contracts
  • 2012-02-02: Largest IV drop — 24.1% change
  • 2012-02-01: Highest IV Rank — 26.8%
  • 2012-02-01: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.90$49.10$59.13$49.10$57.90
Max Pain$52.40$48.00$54.00$48.00$54.00
ATM IV26.3%23.1%30.5%30.5%25.4%
Expected Move7.7%6.6%8.7%8.7%7.3%
HV 20d33.7%24.9%37.3%24.9%34.0%
HV 60d32.4%28.6%36.3%31.9%28.6%
IV Rank18.3%11.8%26.8%26.8%16.6%
IV Percentile40.8%21.4%58.7%58.7%37.7%
Term Structure-1.0%-2.3%1.3%-1.8%-1.0%
VWIV27.7%23.7%32.9%32.9%26.2%
Skew 25d3.9%2.4%4.9%3.6%2.7%
Skew 10d7.3%4.6%13.1%9.5%13.1%
Call IV 25d24.8%22.7%30.5%30.5%24.3%
Put IV 25d28.7%25.6%34.0%34.0%27.0%
Bid-Ask Spread %36.9825.2456.9347.0237.70
Gamma HHI0.200.120.280.120.24
Net GEX8.0M389.1K10.0M389.1K9.5M
Net DEX-205.5M-348.3M15.6M15.6M-183.2M
Net VEX-1.8M-2.1M-1.2M-1.2M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.201.610.820.72
Total Volume26,842.59,69083,99023,72510,555
Total OI277,088.25207,405337,735207,405278,895

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$49.10$48.0030.5%8.7%24.9%26.8%32.9%3.6%-1.8%389.1K15.6M-1.2M0.8247.02N/AN/A13,00510,72099,875107,530
2012-02-02$53.20$48.0023.1%6.6%36.9%11.9%23.7%2.4%1.3%7.0M-135.6M-1.3M1.0256.93N/AN/A41,51042,480101,715107,430
2012-02-03$54.69$52.0023.8%7.2%37.3%13.2%25.1%4.1%-0.4%7.2M-164.1M-1.5M1.1745.52N/AN/A22,43526,255114,390128,060
2012-02-06$55.06$52.0023.4%7.5%36.0%12.5%28.5%4.5%-1.6%6.7M-131.0M-1.5M1.4931.21N/AN/A10,55515,675121,465138,645
2012-02-07$55.21$52.0023.1%7.4%33.9%11.8%27.2%4.0%-0.8%6.9M-127.7M-1.6M1.2441.52N/AN/A10,28512,725125,650143,615
2012-02-08$56.96$52.0024.9%7.8%34.4%15.5%28.5%4.0%-2.3%7.6M-213.8M-1.6M0.7932.14N/AN/A25,12519,805127,820146,700
2012-02-09$56.67$52.0027.1%7.8%34.3%19.9%27.7%4.9%-1.5%8.2M-212.0M-1.7M1.6136.23N/AN/A8,01012,875137,005150,545
2012-02-10$58.32$52.0029.3%8.4%34.1%24.4%29.4%3.6%-2.1%7.2M-278.9M-1.8M0.4925.24N/AN/A31,06015,200133,875157,895
2012-02-13$58.20$52.0027.8%8.0%34.3%21.4%28.2%4.2%-1.2%9.6M-282.6M-1.9M0.5331.11N/AN/A22,17011,645146,910163,845
2012-02-14$58.00$52.0028.3%8.1%32.4%22.5%30.2%4.7%-0.7%8.9M-287.1M-2.1M1.5928.98N/AN/A7,35511,715161,540168,780
2012-02-15$58.13$52.0028.1%8.0%32.5%21.9%28.8%4.1%-0.4%6.6M-279.8M-2.1M0.5140.02N/AN/A6,8303,515155,250174,460
2012-02-16$59.13$52.0028.1%8.1%32.4%22.0%28.4%3.9%0.0%8.7M-348.3M-2.1M0.4638.14N/AN/A23,71510,905155,135173,380
2012-02-17$58.80$54.0027.1%7.8%33.0%19.9%28.5%3.9%0.1%10.0M-340.1M-2.1M1.0934.61N/AN/A9,0459,870162,735175,000
2012-02-21$58.02$54.0026.9%7.7%33.5%19.6%28.4%4.7%-1.1%9.2M-202.7M-2.1M0.5738.45N/AN/A17,43010,020135,955119,780
2012-02-22$57.63$54.0026.3%7.5%34.0%18.3%26.4%4.3%-0.8%8.4M-177.8M-2.0M0.6230.41N/AN/A6,7704,165136,710122,530
2012-02-23$58.36$54.0025.9%7.4%34.1%17.5%26.0%3.5%-1.5%9.4M-197.2M-2.0M0.9032.29N/AN/A5,1104,580134,730125,025
2012-02-24$58.48$54.0025.0%7.2%33.6%15.6%25.7%3.1%-1.5%9.6M-198.4M-2.0M0.6137.49N/AN/A7,9654,830136,890127,365
2012-02-27$57.96$54.0025.9%7.4%34.2%17.5%26.4%4.3%-1.7%8.9M-174.7M-2.0M0.5737.52N/AN/A7,5904,340139,960129,475
2012-02-28$58.16$54.0026.0%7.4%33.9%17.6%28.8%3.6%-1.6%9.4M-190.9M-2.0M0.2037.10N/AN/A15,8003,210143,470131,730
2012-02-29$57.90$54.0025.4%7.3%34.0%16.6%26.2%2.7%-1.0%9.5M-183.2M-2.0M0.7237.70N/AN/A6,1404,415146,340132,555