CME Options History — July 2012

In July 2012, CME traded between $51.11 and $54.25. ATM implied volatility averaged 24.5%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 7.1% (HV 20d: 17.4%). Max pain ranged from $52.00 to $54.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2012-07-19: Highest Volume — 17,630 contracts
  • 2012-07-26: Largest IV drop — 16.3% change
  • 2012-07-12: Highest IV Rank — 16.1%
  • 2012-07-10: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.34$51.11$54.25$54.25$52.11
Max Pain$53.43$52.00$54.00$54.00$52.00
ATM IV24.5%21.3%27.6%21.8%21.6%
Expected Move7.2%6.1%8.0%6.3%6.2%
HV 20d17.4%14.2%21.8%21.8%14.2%
HV 60d20.3%19.5%20.7%20.6%19.5%
IV Rank9.8%1.9%16.1%9.2%1.9%
IV Percentile20.0%1.6%40.9%4.0%1.6%
Term Structure0.7%-5.8%4.6%4.4%2.2%
VWIV25.5%21.1%29.8%23.0%21.1%
Skew 25d4.8%2.8%5.8%4.5%2.8%
Skew 10d9.8%6.4%13.9%11.1%6.6%
Call IV 25d23.5%19.6%26.6%20.5%20.9%
Put IV 25d28.3%23.5%31.8%25.0%23.6%
Bid-Ask Spread %38.9013.1064.4164.4120.56
Gamma HHI0.110.090.230.110.10
Net GEX-61.6K-3.7M3.6M3.6M230.1K
Net DEX35.1M-26.5M90.8M-26.5M38.9M
Net VEX-1.2M-1.4M-217.7K-1.4M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.193.781.090.66
Total Volume5,463.3812,38017,6305,7852,454
Total OI180,990.38133,423202,555181,500178,836

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$54.25$54.0021.8%6.3%21.8%9.2%23.0%4.5%4.4%3.6M-26.5M-1.4M1.0964.41N/AN/A2,7703,01595,53085,970
2012-07-03$53.98$54.0021.3%6.1%19.7%7.5%21.6%3.8%4.6%3.2M-14.6M-1.4M2.0237.28N/AN/A1,1702,36596,59588,500
2012-07-05$53.03$54.0021.6%6.2%20.6%8.1%23.2%4.1%4.5%651.7K21.0M-1.3M0.3154.07N/AN/A4,2501,30596,83590,300
2012-07-06$52.70$54.0023.0%7.9%20.4%10.9%26.7%5.8%0.1%312.2K28.8M-1.3M0.3342.07N/AN/A3,6101,20098,58590,630
2012-07-09$52.41$54.0024.3%8.0%19.2%11.4%27.6%5.8%-0.4%-131.5K40.9M-1.3M0.7144.62N/AN/A2,2451,60099,70591,435
2012-07-10$51.78$54.0024.7%8.0%19.3%9.9%29.6%5.4%-0.4%-1.2M60.8M-1.3M0.5942.81N/AN/A4,4352,615100,50592,290
2012-07-11$51.90$54.0024.1%7.9%19.0%8.5%29.8%5.6%0.0%-1.4M56.3M-1.3M1.1242.28N/AN/A1,7451,950101,16593,155
2012-07-12$52.14$54.0027.6%7.9%18.8%16.1%26.6%5.4%-0.1%-867.1K47.2M-1.3M0.1942.92N/AN/A6,0001,120101,82593,925
2012-07-13$52.63$54.0026.9%7.7%19.1%13.4%25.4%5.4%0.1%-91.8K32.4M-1.3M0.4548.74N/AN/A2,7401,235102,35094,095
2012-07-16$52.48$54.0027.0%7.7%17.6%13.5%27.0%4.9%-0.2%-706.9K40.8M-1.3M0.7650.36N/AN/A2,5501,930104,05594,450
2012-07-17$52.63$54.0026.2%7.5%16.4%11.9%26.3%4.9%0.2%-639.1K36.9M-1.2M0.5252.67N/AN/A1,740900104,17595,390
2012-07-18$52.74$54.0026.2%7.5%16.4%11.8%25.6%4.8%-0.1%-458.5K34.6M-1.2M0.2454.13N/AN/A1,915465103,96595,285
2012-07-19$52.11$54.0025.8%7.4%16.6%10.9%26.7%4.9%-0.7%-3.7M56.8M-1.2M1.7652.24N/AN/A6,38511,245101,63593,685
2012-07-20$51.40$54.0025.4%7.3%15.8%10.2%26.0%5.0%-0.3%-2.5M90.8M-1.2M1.4343.22N/AN/A4,7906,855103,76598,790
2012-07-23$51.12$54.0027.3%7.8%15.7%14.2%27.8%4.6%-5.8%181.2K2.7M-217.7K0.6013.10N/AN/A2,1541,29316,75416,669
2012-07-24$51.11$52.0027.3%7.8%14.5%14.2%28.2%5.5%-0.2%-608.5K60.9M-1.2M0.6021.51N/AN/A1,7041,03087,29985,799
2012-07-25$51.26$52.0027.1%7.8%14.2%13.7%27.6%4.8%0.1%-238.3K53.1M-1.2M0.8830.24N/AN/A3,2232,84687,79885,963
2012-07-26$52.44$52.0022.7%6.5%15.8%4.1%22.8%4.3%1.9%1.0M23.7M-1.2M0.8620.24N/AN/A4,1603,56089,06387,215
2012-07-27$52.51$52.0021.9%6.3%15.8%2.4%21.2%3.9%2.4%1.3M22.0M-1.2M1.4122.50N/AN/A1,3601,92190,63187,726
2012-07-30$52.32$52.0021.7%6.2%15.0%2.0%21.3%4.3%1.8%733.1K30.4M-1.1M3.7816.82N/AN/A1,0213,86090,60887,847
2012-07-31$52.11$52.0021.6%6.2%14.2%1.9%21.1%2.8%2.2%230.1K38.9M-1.1M0.6620.56N/AN/A1,47897689,90988,927