CME Options History — November 2012

In November 2012, CME traded between $53.56 and $56.47. ATM implied volatility averaged 19.7%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.1% (HV 20d: 16.6%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.11.

Notable Days

2012-11-13: Highest Volume — 4,383 contracts
2012-11-02: Largest IV spike — 13.7% change
2012-11-05: Highest IV Rank — 22.1%
2012-11-09: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$54.88	$53.56	$56.47	$56.47	$55.27
Max Pain	$56.05	$55.00	$57.50	$57.50	$56.00
ATM IV	19.7%	17.9%	22.8%	18.6%	18.5%
Expected Move	5.7%	5.1%	6.3%	5.3%	5.3%
HV 20d	16.6%	14.5%	17.9%	15.8%	14.5%
HV 60d	15.2%	15.0%	15.7%	15.3%	15.6%
IV Rank	11.4%	5.6%	22.1%	7.6%	8.1%
IV Percentile	13.2%	2.4%	30.6%	5.6%	6.7%
Term Structure	0.7%	-0.6%	1.8%	1.8%	0.9%
VWIV	20.4%	18.0%	22.2%	19.5%	18.7%
Skew 25d	4.2%	2.7%	5.3%	2.7%	4.2%
Skew 10d	8.7%	5.0%	13.2%	5.3%	8.6%
Call IV 25d	18.6%	16.8%	20.4%	19.0%	16.8%
Put IV 25d	22.8%	20.4%	24.8%	21.6%	21.1%
Bid-Ask Spread %	30.26	15.89	52.32	37.87	38.57
Gamma HHI	0.14	0.11	0.18	0.17	0.18
Net GEX	2.6M	1.3M	4.5M	4.5M	3.1M
Net DEX	33.7M	-14.5M	79.7M	-14.5M	16.6M
Net VEX	-782.5K	-942.6K	-679.9K	-942.6K	-688.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.11	0.23	3.64	0.87	0.39
Total Volume	2,156.952	1,040	4,383	1,322	1,551
Total OI	150,158.143	140,997	156,452	153,299	144,836

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-11-01	$56.47	$57.50	18.6%	5.3%	15.8%	7.6%	19.5%	2.7%	1.8%	4.5M	-14.5M	-942.6K	0.87	37.87	N/A	N/A	708	614	78,279	75,020
2012-11-02	$55.71	$57.50	21.1%	6.0%	16.5%	16.2%	19.1%	3.4%	-0.6%	3.7M	10.4M	-918.0K	0.66	15.89	N/A	N/A	1,369	905	78,522	75,171
2012-11-05	$56.14	$56.00	22.8%	6.1%	16.5%	22.1%	20.6%	5.3%	-0.1%	4.1M	122.9K	-937.7K	0.67	47.59	N/A	N/A	1,108	738	78,911	75,318
2012-11-06	$56.37	$56.00	20.0%	6.1%	16.6%	12.4%	21.6%	5.0%	0.1%	4.4M	-6.3M	-927.3K	1.26	28.63	N/A	N/A	983	1,241	79,074	75,649
2012-11-07	$55.57	$56.00	21.1%	6.1%	17.2%	16.2%	21.5%	4.9%	0.4%	3.4M	18.9M	-892.1K	0.68	43.75	N/A	N/A	1,207	818	79,455	76,423
2012-11-08	$54.73	$56.00	20.1%	6.1%	17.7%	12.9%	21.2%	4.8%	0.1%	2.5M	44.5M	-851.5K	1.53	32.23	N/A	N/A	549	841	79,712	76,302
2012-11-09	$54.31	$56.00	19.5%	6.3%	17.8%	10.9%	22.2%	4.7%	0.5%	2.0M	54.4M	-833.5K	1.57	30.54	N/A	N/A	591	927	79,514	75,881
2012-11-12	$54.34	$56.00	19.9%	6.2%	17.8%	12.1%	21.6%	4.4%	0.2%	1.8M	58.6M	-798.3K	1.55	52.32	N/A	N/A	1,258	1,955	79,471	75,911
2012-11-13	$53.96	$56.00	20.8%	6.1%	17.9%	15.2%	20.7%	3.7%	0.9%	1.4M	68.0M	-766.7K	0.46	25.14	N/A	N/A	3,004	1,379	79,311	76,434
2012-11-14	$53.56	$56.00	19.3%	6.1%	17.5%	10.2%	21.1%	4.2%	0.4%	1.3M	79.7M	-754.4K	0.23	21.71	N/A	N/A	1,403	329	79,416	77,036
2012-11-15	$54.08	$55.00	21.4%	6.1%	17.3%	17.2%	21.4%	4.2%	0.5%	1.8M	63.0M	-759.5K	0.81	22.56	N/A	N/A	700	570	77,584	76,196
2012-11-16	$54.24	$55.00	20.9%	6.0%	17.1%	15.7%	21.0%	3.6%	0.8%	2.0M	56.2M	-738.9K	0.94	22.12	N/A	N/A	592	557	77,599	76,159
2012-11-19	$54.45	$56.00	19.4%	5.6%	17.3%	10.5%	20.1%	4.0%	1.0%	2.5M	35.7M	-714.5K	3.64	21.45	N/A	N/A	711	2,588	71,172	69,825
2012-11-20	$54.60	$56.00	18.0%	5.2%	16.1%	5.8%	18.0%	4.1%	1.3%	2.3M	35.2M	-704.0K	1.94	21.89	N/A	N/A	752	1,458	71,301	72,045
2012-11-21	$54.43	$56.00	18.6%	5.3%	16.0%	7.9%	18.6%	2.8%	0.8%	2.0M	41.4M	-717.7K	0.62	22.13	N/A	N/A	960	595	71,169	72,104
2012-11-23	$54.64	$56.00	17.9%	5.1%	16.1%	5.6%	18.1%	4.2%	1.6%	2.1M	35.8M	-709.9K	0.98	21.03	N/A	N/A	526	514	71,282	72,501
2012-11-26	$55.27	$56.00	18.7%	5.4%	16.8%	8.1%	20.7%	4.6%	1.2%	2.7M	19.7M	-710.5K	0.93	21.23	N/A	N/A	1,322	1,236	71,385	72,791
2012-11-27	$54.29	$56.00	19.4%	5.6%	15.0%	10.5%	20.5%	4.2%	0.8%	1.9M	42.8M	-679.9K	1.19	25.99	N/A	N/A	1,003	1,197	71,873	72,827
2012-11-28	$54.90	$56.00	18.5%	5.3%	15.3%	7.8%	21.7%	3.9%	0.9%	2.5M	27.6M	-690.1K	1.42	47.98	N/A	N/A	1,718	2,434	71,689	72,984
2012-11-29	$55.15	$56.00	18.3%	5.2%	15.0%	7.2%	21.0%	4.5%	1.0%	2.8M	19.4M	-697.3K	0.96	34.92	N/A	N/A	1,217	1,168	71,971	73,218
2012-11-30	$55.27	$56.00	18.5%	5.3%	14.5%	8.1%	18.7%	4.2%	0.9%	3.1M	16.6M	-688.2K	0.39	38.57	N/A	N/A	1,119	432	72,283	72,553