CME Options History — October 2012

In October 2012, CME traded between $55.00 and $57.89. ATM implied volatility averaged 19.7%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 7.9% (HV 20d: 11.8%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.93.

Notable Days

  • 2012-10-25: Highest Volume — 16,333 contracts
  • 2012-10-25: Largest IV drop — 15.1% change
  • 2012-10-24: Highest IV Rank — 24.4%
  • 2012-10-24: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.81$55.00$57.89$57.10$55.93
Max Pain$57.86$57.50$60.00$57.50$57.50
ATM IV19.7%16.9%23.5%18.3%20.6%
Expected Move5.8%5.1%6.7%5.3%5.9%
HV 20d11.8%8.3%16.9%16.9%15.4%
HV 60d16.6%15.7%17.1%17.0%15.7%
IV Rank11.4%2.0%24.4%6.0%14.7%
IV Percentile12.0%0.4%35.7%2.4%19.0%
Term Structure0.6%-1.1%3.0%2.7%0.5%
VWIV20.7%18.1%24.8%18.2%20.7%
Skew 25d4.0%2.0%5.7%2.8%3.1%
Skew 10d8.2%2.6%13.3%6.5%2.6%
Call IV 25d19.2%17.0%22.6%18.1%19.5%
Put IV 25d23.2%20.0%27.3%20.9%22.6%
Bid-Ask Spread %23.8411.4252.0921.7752.09
Gamma HHI0.160.130.180.170.15
Net GEX5.0M2.7M6.5M5.5M3.8M
Net DEX-52.3M-86.2M17.7M-72.2M6.2M
Net VEX-1.0M-1.1M-918.3K-1.1M-950.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.132.390.340.75
Total Volume3,272.8166016,3332,3941,448
Total OI139,987.476133,535153,313133,535153,313

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$57.10$57.5018.3%5.3%16.9%6.0%18.2%2.8%2.7%5.5M-72.2M-1.1M0.3421.77N/AN/A1,78660872,56260,973
2012-10-02$57.11$57.5017.8%5.1%16.8%4.5%18.3%2.0%3.0%5.4M-70.6M-1.1M0.7015.64N/AN/A47133072,98661,285
2012-10-03$57.07$57.5017.9%5.1%16.8%5.4%18.2%3.2%3.0%5.5M-68.6M-1.1M0.7419.94N/AN/A60544873,25261,509
2012-10-04$57.53$57.5017.7%5.1%15.6%4.6%18.1%3.1%2.9%6.2M-84.0M-1.1M0.9519.13N/AN/A76472473,46061,801
2012-10-05$57.52$57.5016.9%5.9%9.1%2.0%20.9%4.0%-1.0%6.0M-80.2M-1.1M1.6017.88N/AN/A1,0371,66473,46062,130
2012-10-08$57.51$57.5018.6%5.9%9.0%7.7%22.9%4.3%-1.1%5.9M-80.4M-1.1M0.5419.10N/AN/A42923173,97162,951
2012-10-09$56.97$57.5018.3%6.0%9.5%6.7%20.1%4.0%0.6%4.9M-60.9M-1.1M0.8122.17N/AN/A1,8231,48473,90262,992
2012-10-10$56.92$57.5018.8%5.9%9.1%8.3%19.6%4.3%0.9%4.9M-59.3M-1.1M0.1321.71N/AN/A1,53420274,75863,330
2012-10-11$56.58$57.5020.9%6.0%8.5%15.4%20.9%4.2%0.1%4.5M-50.4M-1.0M0.3017.98N/AN/A1,07531874,83563,340
2012-10-12$56.37$57.5020.6%5.9%8.3%14.5%24.6%4.1%0.4%4.3M-45.2M-1.0M1.0114.09N/AN/A86887475,37363,578
2012-10-15$56.86$57.5020.4%5.8%9.2%13.9%20.7%4.3%0.5%4.9M-52.6M-1.0M0.2018.20N/AN/A3,46669775,84464,158
2012-10-16$57.49$57.5020.4%5.9%10.1%14.0%18.6%4.7%-1.1%6.5M-80.7M-1.0M1.0128.26N/AN/A1,7601,78577,00264,572
2012-10-17$57.89$60.0020.4%5.8%9.5%13.8%21.8%4.6%-0.8%6.5M-86.2M-1.0M0.3817.19N/AN/A1,34351377,83165,985
2012-10-18$57.66$60.0020.1%5.8%9.4%12.8%19.5%4.4%-1.1%6.5M-79.4M-1.0M1.2428.82N/AN/A9261,14576,95965,724
2012-10-19$56.50$60.0019.9%5.7%11.8%12.1%21.1%4.4%1.0%4.8M-40.8M-986.7K1.2418.86N/AN/A1,2481,54277,21666,338
2012-10-22$56.64$57.5020.8%6.0%11.9%15.1%23.5%5.7%0.6%4.8M-46.0M-972.4K2.3017.49N/AN/A1,4433,32672,18963,543
2012-10-23$56.48$57.5021.6%6.2%11.0%18.1%23.1%5.2%0.6%4.3M-38.5M-986.4K0.9839.51N/AN/A1,9691,92572,74665,768
2012-10-24$56.55$57.5023.5%6.7%11.0%24.4%24.8%4.7%-0.8%4.3M-37.8M-994.7K1.3611.42N/AN/A2,7943,79773,88167,123
2012-10-25$55.00$57.5020.0%5.7%14.5%12.4%19.8%3.6%1.7%2.7M12.3M-918.3K2.3929.91N/AN/A4,82411,50975,38069,646
2012-10-26$55.42$57.5020.3%5.8%14.9%13.6%19.5%3.5%0.8%3.2M17.7M-956.2K0.6549.45N/AN/A2,4221,57277,77174,300
2012-10-31$55.93$57.5020.6%5.9%15.4%14.7%20.7%3.1%0.5%3.8M6.2M-950.9K0.7552.09N/AN/A82662278,65474,659