CME Options History — June 2012

In June 2012, CME traded between $51.40 and $56.44. ATM implied volatility averaged 25.5%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 2.5% (HV 20d: 23.0%). Max pain ranged from $52.00 to $54.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2012-06-05: Highest Volume — 39,745 contracts
  • 2012-06-12: Largest IV drop — 19.6% change
  • 2012-06-04: Highest IV Rank — 27.7%
  • 2012-06-04: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.11$51.40$56.44$51.40$53.62
Max Pain$53.52$52.00$54.00$54.00$54.00
ATM IV25.5%21.2%30.9%30.8%21.7%
Expected Move7.5%6.1%9.0%8.8%6.2%
HV 20d23.0%21.3%24.4%22.8%22.0%
HV 60d19.9%19.2%21.0%19.9%20.5%
IV Rank16.6%7.9%27.7%27.5%9.0%
IV Percentile26.7%3.6%59.5%59.1%4.0%
Term Structure3.3%0.7%4.9%0.7%4.9%
VWIV26.6%22.4%34.1%34.1%23.1%
Skew 25d5.7%4.4%7.4%6.6%4.4%
Skew 10d12.3%9.0%14.9%13.8%9.0%
Call IV 25d24.2%20.2%30.5%30.5%20.8%
Put IV 25d29.9%25.2%37.1%37.1%25.2%
Bid-Ask Spread %47.2130.2170.1840.2270.18
Gamma HHI0.130.090.290.090.10
Net GEX4.4M-544.8K9.6M-544.8K2.3M
Net DEX-23.7M-106.7M110.5M110.5M-3.8M
Net VEX-1.5M-1.6M-1.4M-1.5M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.261.700.530.56
Total Volume9,938.0953,24039,74516,7508,150
Total OI212,042.381152,470255,840243,935178,100

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$51.40$54.0030.8%8.8%22.8%27.5%34.1%6.6%0.7%-544.8K110.5M-1.5M0.5340.22N/AN/A10,9205,830126,305117,630
2012-06-04$52.16$52.0030.9%9.0%22.0%27.7%29.7%7.4%1.7%1.1M77.7M-1.5M0.7530.21N/AN/A3,9452,970131,230119,540
2012-06-05$53.64$52.0028.7%8.6%23.6%23.1%30.2%6.5%2.2%3.0M8.8M-1.6M0.2630.22N/AN/A31,4458,300130,805120,020
2012-06-06$53.90$52.0027.6%8.3%23.5%21.0%28.8%6.1%2.3%4.0M-5.8M-1.6M0.7937.18N/AN/A9,7757,695129,065121,190
2012-06-07$53.34$52.0024.7%7.9%23.7%15.0%27.5%6.1%2.9%3.5M11.1M-1.6M0.6242.06N/AN/A4,4552,755131,325118,760
2012-06-08$54.31$52.0025.0%7.9%24.3%15.7%27.2%6.2%2.9%5.5M-29.0M-1.6M0.5841.60N/AN/A5,8653,430131,445118,540
2012-06-11$54.65$54.0029.2%8.3%24.4%24.3%28.0%5.8%2.3%7.0M-59.9M-1.6M0.6742.85N/AN/A6,7204,480133,770119,020
2012-06-12$55.05$54.0023.5%7.5%24.0%12.7%29.1%6.8%3.3%8.0M-69.9M-1.5M1.0345.13N/AN/A2,5552,620133,145118,865
2012-06-13$54.34$54.0026.4%8.2%24.4%18.6%27.4%5.8%2.8%6.4M-37.6M-1.5M1.3143.32N/AN/A3,1754,165133,780119,570
2012-06-14$54.58$54.0027.9%8.0%24.2%21.6%27.9%6.4%3.2%7.0M-47.3M-1.5M0.8240.49N/AN/A2,5152,050134,050121,065
2012-06-15$55.58$54.0025.2%7.2%24.0%16.1%27.1%6.2%3.7%9.6M-92.8M-1.5M0.5444.51N/AN/A5,4302,950134,385121,455
2012-06-18$56.44$54.0023.1%6.6%23.9%11.7%23.8%5.0%4.1%5.6M-106.7M-1.5M0.6956.74N/AN/A9,1956,36582,48069,990
2012-06-19$55.98$54.0022.1%6.3%23.3%9.9%22.4%5.2%3.9%6.0M-91.8M-1.6M0.6146.09N/AN/A5,3253,23087,27073,020
2012-06-20$55.44$54.0021.2%6.1%21.3%7.9%23.9%5.1%4.3%5.6M-71.5M-1.5M1.2249.72N/AN/A2,5553,11589,83574,730
2012-06-21$54.31$54.0024.2%6.9%22.1%14.1%25.1%5.3%3.8%4.4M-41.3M-1.5M1.7058.74N/AN/A3,3955,77590,93575,835
2012-06-22$54.46$54.0023.1%6.6%21.9%11.8%22.4%4.5%4.4%3.9M-37.3M-1.5M0.3360.05N/AN/A2,44080090,38579,020
2012-06-25$53.43$54.0024.3%7.0%21.7%14.3%24.5%5.0%4.0%2.8M-10.6M-1.4M0.6246.01N/AN/A3,9152,44591,62079,380
2012-06-26$53.84$54.0023.8%6.8%21.8%13.1%24.9%5.2%4.2%3.4M-20.0M-1.4M1.6853.52N/AN/A1,6352,75092,82080,025
2012-06-27$52.97$54.0025.8%7.4%22.2%17.3%26.1%5.3%3.8%1.8M8.3M-1.4M0.7958.34N/AN/A4,8103,81593,92081,880
2012-06-28$52.91$54.0025.5%7.3%21.7%16.6%25.3%5.5%4.0%1.7M10.1M-1.4M1.5154.26N/AN/A1,9702,97094,06082,625
2012-06-29$53.62$54.0021.7%6.2%22.0%9.0%23.1%4.4%4.9%2.3M-3.8M-1.4M0.5670.18N/AN/A5,2202,93094,05084,050