CME Options History — May 2012

In May 2012, CME traded between $50.70 and $53.68. ATM implied volatility averaged 28.0%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 9.3% (HV 20d: 18.7%). Max pain ranged from $54.00 to $56.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.13.

Notable Days

  • 2012-05-25: Highest Volume — 18,000 contracts
  • 2012-05-17: Largest IV spike — 15.3% change
  • 2012-05-17: Highest IV Rank — 30.4%
  • 2012-05-17: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.94$50.70$53.68$53.68$51.51
Max Pain$55.18$54.00$56.00$56.00$54.00
ATM IV28.0%23.5%32.3%23.5%30.3%
Expected Move8.1%6.7%9.3%6.7%8.7%
HV 20d18.7%14.6%23.6%14.6%22.9%
HV 60d19.4%18.4%21.0%19.7%19.9%
IV Rank21.7%12.7%30.4%12.7%26.4%
IV Percentile46.6%21.8%63.9%21.8%56.7%
Term Structure0.8%-0.9%1.7%1.4%0.6%
VWIV29.2%24.1%33.5%24.1%32.7%
Skew 25d4.9%2.4%6.7%3.0%4.5%
Skew 10d9.7%4.0%14.7%6.0%7.1%
Call IV 25d26.6%23.2%30.4%23.2%29.5%
Put IV 25d31.4%26.3%35.9%26.3%33.9%
Bid-Ask Spread %33.2611.5555.9715.1839.87
Gamma HHI0.110.080.190.110.09
Net GEX-117.0K-3.3M1.8M1.2M71.1K
Net DEX98.5M44.2M153.5M44.2M95.7M
Net VEX-1.5M-1.6M-1.4M-1.5M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.282.480.281.08
Total Volume9,869.5454,36518,0009,1105,960
Total OI240,600.909221,250254,585228,920243,140

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$53.68$56.0023.5%6.7%14.6%12.7%24.1%3.0%1.4%1.2M44.2M-1.5M0.2815.18N/AN/A7,1401,970118,960109,960
2012-05-02$52.63$56.0024.9%7.1%15.5%15.5%25.4%2.9%1.3%265.1K81.3M-1.5M1.1011.55N/AN/A3,1103,420121,470110,750
2012-05-03$52.83$56.0026.0%7.4%15.7%17.6%26.3%2.4%0.7%371.4K73.6M-1.5M0.5215.75N/AN/A10,0105,235120,985111,645
2012-05-04$51.63$56.0025.3%7.5%16.6%16.2%27.0%4.6%1.6%-1.2M120.4M-1.5M1.4414.55N/AN/A4,7206,775124,880114,485
2012-05-07$51.07$56.0025.9%7.6%16.6%17.4%28.4%4.9%1.2%-2.5M145.5M-1.4M0.8932.32N/AN/A3,8853,465125,630117,910
2012-05-08$51.38$56.0025.7%7.7%17.0%17.1%28.4%4.5%0.9%-2.3M138.8M-1.4M0.6220.20N/AN/A6,0803,790126,730118,655
2012-05-09$52.00$56.0026.1%7.7%17.5%17.8%28.2%5.0%1.4%-39.5K104.9M-1.5M1.4535.57N/AN/A4,8607,060128,785118,765
2012-05-10$52.34$56.0026.4%7.6%17.0%18.4%26.6%4.7%1.5%757.2K89.5M-1.5M1.2536.62N/AN/A2,3502,930130,285118,925
2012-05-11$52.59$56.0026.3%7.5%16.4%18.2%25.6%4.6%1.7%841.3K79.2M-1.5M1.0255.97N/AN/A3,3803,445130,290119,985
2012-05-14$52.02$56.0027.5%7.9%16.6%20.7%29.6%5.2%1.0%-635.4K112.5M-1.4M2.3238.47N/AN/A1,5703,645129,940120,915
2012-05-15$51.71$56.0027.3%7.8%16.6%20.3%27.3%5.2%1.4%-1.0M120.5M-1.4M1.1834.66N/AN/A3,2753,855130,410120,705
2012-05-16$51.35$56.0028.0%8.0%16.6%21.7%30.1%5.1%1.4%-1.5M132.1M-1.4M1.1829.20N/AN/A4,8305,710130,625120,560
2012-05-17$50.72$56.0032.3%9.3%16.9%30.4%32.2%5.8%-0.9%-3.3M153.5M-1.4M1.8026.74N/AN/A4,4858,055131,735121,840
2012-05-18$51.60$54.0032.0%9.2%18.0%29.8%33.4%5.5%0.7%1.7M115.1M-1.5M1.3434.22N/AN/A7,1209,545132,940121,645
2012-05-21$52.79$54.0029.3%8.4%20.1%24.3%29.6%6.7%0.3%1.2M56.6M-1.5M0.7640.33N/AN/A5,6354,255114,700106,550
2012-05-22$51.45$54.0029.1%8.3%21.8%23.9%31.8%5.9%1.0%19.8K97.6M-1.4M1.4730.74N/AN/A4,4306,505116,440108,165
2012-05-23$50.70$54.0031.1%8.9%22.1%28.0%31.1%5.9%-0.3%-623.5K121.4M-1.4M0.9439.16N/AN/A8,0407,580117,660110,750
2012-05-24$51.23$54.0028.1%8.1%22.5%21.9%30.2%6.7%1.1%-186.4K108.5M-1.5M0.8843.44N/AN/A2,3252,040120,185112,940
2012-05-25$52.50$54.0029.8%8.5%23.6%25.3%29.9%5.4%0.8%1.2M59.2M-1.6M0.3547.98N/AN/A13,3404,660121,055113,445
2012-05-29$52.76$54.0029.8%8.6%23.5%25.5%30.2%4.4%0.1%1.8M50.2M-1.5M0.5448.55N/AN/A4,1652,230124,560114,065
2012-05-30$52.15$54.0030.9%8.9%23.5%27.7%33.5%4.5%-0.2%1.3M66.9M-1.5M2.4840.58N/AN/A2,9457,305124,690114,465
2012-05-31$51.51$54.0030.3%8.7%22.9%26.4%32.7%4.5%0.6%71.1K95.7M-1.5M1.0839.87N/AN/A2,8653,095125,795117,345