CME Options History — March 2012

In March 2012, CME traded between $54.04 and $59.73. ATM implied volatility averaged 24.3%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 1.4% (HV 20d: 22.8%). Max pain ranged from $54.00 to $58.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.75.

Notable Days

  • 2012-03-06: Highest Volume — 566,815 contracts
  • 2012-03-12: Largest IV spike — 36.6% change
  • 2012-03-12: Highest IV Rank — 30.0%
  • 2012-03-06: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.23$54.04$59.73$57.91$57.87
Max Pain$56.00$54.00$58.00$54.00$58.00
ATM IV24.3%20.8%32.1%24.6%23.2%
Expected Move6.9%6.3%7.8%7.1%6.7%
HV 20d22.8%18.2%33.7%33.7%24.1%
HV 60d28.3%27.8%29.2%28.5%27.8%
IV Rank14.2%7.1%30.0%14.9%12.0%
IV Percentile29.3%5.2%62.7%32.5%23.4%
Term Structure1.9%-0.6%3.2%-0.6%3.2%
VWIV24.6%22.7%27.8%25.1%23.6%
Skew 25d3.2%1.8%5.7%2.5%1.9%
Skew 10d6.4%1.6%10.8%1.9%4.7%
Call IV 25d23.1%21.4%24.9%23.6%23.2%
Put IV 25d26.3%24.5%30.6%26.0%25.1%
Bid-Ask Spread %46.0326.9955.0126.9947.51
Gamma HHI0.210.130.630.240.22
Net GEX9.4M-78.2K48.1M9.4M8.5M
Net DEX-116.6M-245.7M65.8M-181.8M-137.0M
Net VEX-2.0M-2.2M-1.8M-2.0M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.022.320.571.20
Total Volume45,054.5455,060566,81512,3807,285
Total OI265,859.091214,375323,015280,775240,695

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$57.91$54.0024.6%7.1%33.7%14.9%25.1%2.5%-0.6%9.4M-181.8M-2.0M0.5726.99N/AN/A7,8804,500146,870133,905
2012-03-02$57.92$54.0024.2%6.9%20.3%14.1%24.5%2.0%-0.2%9.6M-183.1M-2.0M0.5734.90N/AN/A5,3903,050149,715135,900
2012-03-05$56.20$56.0026.2%7.2%21.8%18.1%26.3%4.0%2.1%4.8M-88.0M-1.9M0.9854.26N/AN/A9,7359,560150,590136,905
2012-03-06$54.99$56.0028.6%7.8%23.2%23.1%27.8%5.7%2.6%2.3M-7.7M-1.8M0.0247.14N/AN/A556,31510,500153,145140,635
2012-03-07$55.04$56.0026.3%7.4%23.2%18.4%26.8%4.6%1.6%2.4M22.5M-2.0M1.0446.80N/AN/A7,3857,650140,840143,225
2012-03-08$55.25$56.0025.8%7.3%20.1%17.3%26.0%4.7%1.3%3.4M-5.4M-2.0M0.6448.68N/AN/A7,4504,765142,970140,800
2012-03-09$55.31$56.0023.5%7.0%20.1%12.6%25.1%4.7%2.0%4.5M-12.8M-2.0M0.6047.42N/AN/A4,7352,855145,150143,340
2012-03-12$54.04$56.0032.1%7.6%18.2%30.0%26.5%5.0%1.1%-78.2K65.8M-1.9M1.8354.46N/AN/A15,81028,980147,490144,360
2012-03-13$54.60$56.0023.3%6.7%18.9%12.2%23.1%5.0%2.7%338.1K40.6M-1.9M2.3255.01N/AN/A10,51024,370149,175159,195
2012-03-14$55.31$54.0020.8%6.4%19.7%7.1%23.6%4.1%2.8%4.0M-9.4M-1.9M0.8751.78N/AN/A10,9559,540149,895152,175
2012-03-15$57.25$54.0023.5%6.7%23.6%12.6%24.6%2.9%2.0%13.3M-147.1M-2.0M0.2851.20N/AN/A49,27013,845152,860152,990
2012-03-16$57.89$56.0022.1%6.3%23.1%9.9%22.7%2.6%3.0%48.1M-173.0M-2.0M0.2248.92N/AN/A39,0908,705166,245156,770
2012-03-19$58.01$56.0022.4%6.4%23.1%10.4%23.4%2.7%2.3%9.0M-154.1M-2.0M0.3650.12N/AN/A11,0153,980120,79593,580
2012-03-20$58.88$56.0023.4%6.7%23.2%12.5%23.3%2.8%1.8%10.4M-196.6M-2.1M0.3847.88N/AN/A22,0558,470123,88095,195
2012-03-21$59.73$56.0023.2%6.7%23.5%12.0%24.0%2.4%1.6%12.0M-245.7M-2.1M0.3042.90N/AN/A22,7406,865127,65596,645
2012-03-22$59.15$56.0023.5%6.8%23.5%12.7%24.4%1.8%1.4%11.6M-219.2M-2.2M0.3047.82N/AN/A7,4902,230133,29099,525
2012-03-23$59.20$56.0022.9%6.6%23.5%11.4%23.4%2.4%1.9%12.1M-222.9M-2.2M0.3037.97N/AN/A11,6753,460135,370100,290
2012-03-26$59.54$56.0023.1%6.6%23.3%11.9%24.0%2.4%2.0%12.3M-234.3M-2.1M0.4241.97N/AN/A6,3852,690132,570101,845
2012-03-27$58.82$58.0023.5%6.7%23.8%12.7%23.3%1.8%2.5%10.7M-188.8M-2.1M0.8545.63N/AN/A5,1154,325131,995102,865
2012-03-28$58.14$58.0023.6%6.8%24.1%12.8%24.5%2.3%2.7%8.9M-150.5M-2.1M0.9842.40N/AN/A3,7953,720132,600104,735
2012-03-29$57.92$58.0023.6%6.8%24.1%12.8%24.3%2.0%3.1%8.2M-137.1M-2.1M1.3840.82N/AN/A2,1252,935133,880106,345
2012-03-30$57.87$58.0023.2%6.7%24.1%12.0%23.6%1.9%3.2%8.5M-137.0M-2.1M1.2047.51N/AN/A3,3053,980134,525106,170