CME Options History — April 2012

In April 2012, CME traded between $53.16 and $58.24. ATM implied volatility averaged 26.7%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 10.3% (HV 20d: 16.4%). Max pain ranged from $56.00 to $58.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.93.

Notable Days

  • 2012-04-25: Highest Volume — 30,360 contracts
  • 2012-04-26: Largest IV drop — 24.6% change
  • 2012-04-25: Highest IV Rank — 27.3%
  • 2012-04-25: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.90$53.16$58.24$58.24$53.16
Max Pain$57.50$56.00$58.00$58.00$56.00
ATM IV26.7%23.0%30.7%23.4%24.2%
Expected Move7.8%6.6%8.8%6.7%6.9%
HV 20d16.4%12.6%21.4%21.4%14.2%
HV 60d26.1%20.4%27.6%27.6%20.4%
IV Rank19.0%11.7%27.3%12.5%14.0%
IV Percentile42.0%16.7%60.3%25.0%26.6%
Term Structure0.5%-1.0%3.4%2.5%1.0%
VWIV27.8%23.3%31.8%24.2%25.1%
Skew 25d3.9%1.2%5.0%1.6%3.4%
Skew 10d7.9%2.4%10.5%4.1%5.9%
Call IV 25d25.9%22.0%28.6%23.0%24.0%
Put IV 25d29.8%24.5%33.5%24.6%27.4%
Bid-Ask Spread %36.4311.7654.9742.9011.76
Gamma HHI0.160.100.230.230.10
Net GEX3.5M-447.0K8.9M8.9M486.0K
Net DEX-36.7M-150.1M63.0M-150.1M63.0M
Net VEX-1.8M-2.1M-1.5M-2.1M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.431.830.760.43
Total Volume10,1525,00030,3608,6208,585
Total OI241,835.5209,045259,255243,060226,695

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$58.24$58.0023.4%6.7%21.4%12.5%24.2%1.6%2.5%8.9M-150.1M-2.1M0.7642.90N/AN/A4,8953,725135,000108,060
2012-04-03$57.68$58.0023.6%6.8%20.0%12.8%24.3%1.9%2.8%7.6M-119.1M-2.0M0.6137.87N/AN/A6,2653,845136,250108,805
2012-04-04$57.24$58.0024.1%6.9%20.3%13.8%25.0%2.0%2.8%5.9M-93.6M-2.0M1.8348.23N/AN/A1,9453,565135,040110,460
2012-04-05$57.59$58.0023.0%6.6%20.4%11.7%24.2%1.2%3.4%7.2M-113.8M-2.0M1.0336.27N/AN/A2,5852,670135,685111,255
2012-04-09$56.93$58.0026.7%8.3%20.9%19.2%30.9%4.4%-0.9%4.9M-74.5M-1.9M1.5444.22N/AN/A4,0106,165135,630111,635
2012-04-10$56.42$58.0026.4%8.5%19.3%18.4%30.3%4.4%-0.8%3.3M-49.1M-1.9M1.3347.18N/AN/A3,6854,885136,370112,405
2012-04-11$56.83$58.0025.7%8.4%19.1%17.0%29.2%4.9%-0.8%3.9M-67.5M-1.9M0.5849.57N/AN/A3,1551,845136,540113,980
2012-04-12$57.50$58.0027.7%8.0%19.0%21.2%27.8%4.7%-0.6%6.0M-102.0M-2.0M0.9148.37N/AN/A2,9502,675137,390114,310
2012-04-13$56.43$58.0029.2%8.4%16.1%24.2%29.0%4.7%-0.4%3.4M-55.5M-1.9M0.6249.98N/AN/A4,7602,950137,665114,030
2012-04-16$56.14$58.0029.6%8.5%15.6%25.0%31.8%4.9%-0.8%2.2M-32.8M-1.9M1.2751.78N/AN/A3,3404,250139,790114,500
2012-04-17$56.04$58.0028.9%8.3%15.5%23.6%28.9%4.7%-0.6%1.3M-24.0M-1.8M0.5554.97N/AN/A5,3052,935140,465115,730
2012-04-18$55.67$58.0028.6%8.2%14.3%22.9%29.2%4.9%-0.3%163.6K-5.7M-1.8M0.6534.14N/AN/A6,8054,450141,695116,950
2012-04-19$55.49$58.0028.1%8.1%12.7%22.0%29.7%4.9%-0.4%1.1M-439.3K-1.8M1.0630.55N/AN/A3,6403,875142,575116,400
2012-04-20$54.61$58.0028.3%8.1%13.3%22.3%28.4%4.7%0.5%-447.0K34.0M-1.7M0.8422.43N/AN/A8,8057,370142,275116,980
2012-04-23$54.38$58.0029.5%8.5%13.2%24.9%30.4%4.8%-0.2%2.7M6.2M-1.7M1.0127.15N/AN/A4,9855,045111,27597,770
2012-04-24$54.51$56.0028.9%8.3%12.9%23.6%29.2%5.0%0.0%2.9M5.1M-1.7M1.1016.64N/AN/A2,7102,975113,410100,685
2012-04-25$54.63$56.0030.7%8.8%12.8%27.3%30.8%4.9%-1.0%3.4M-3.4M-1.8M0.8544.75N/AN/A16,42013,940114,590102,610
2012-04-26$54.80$56.0023.2%6.6%12.6%12.0%23.3%3.1%1.9%3.4M3.6M-1.7M0.6714.34N/AN/A12,6308,500121,070106,945
2012-04-27$53.68$56.0023.3%6.7%14.1%12.2%24.9%3.6%1.5%1.2M45.1M-1.6M0.9315.51N/AN/A5,1404,760116,800106,990
2012-04-30$53.16$56.0024.2%6.9%14.2%14.0%25.1%3.4%1.0%486.0K63.0M-1.5M0.4311.76N/AN/A6,0202,565117,870108,825