CME Options History — December 2012

In December 2012, CME traded between $50.12 and $55.57. ATM implied volatility averaged 22.4%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 4.9% (HV 20d: 17.5%). Max pain ranged from $54.00 to $56.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.14.

Notable Days

  • 2012-12-05: Highest Volume — 12,807 contracts
  • 2012-12-12: Largest IV spike — 60.8% change
  • 2012-12-12: Highest IV Rank — 91.8%
  • 2012-12-28: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.43$50.12$55.57$55.57$50.67
Max Pain$55.25$54.00$56.00$56.00$54.00
ATM IV22.4%17.8%37.9%17.8%24.3%
Expected Move6.1%5.1%7.1%5.1%7.0%
HV 20d17.5%12.9%21.1%13.9%19.5%
HV 60d15.4%13.6%16.7%15.6%16.7%
IV Rank26.5%5.4%91.8%5.4%37.2%
IV Percentile37.5%1.6%99.6%1.6%57.9%
Term Structure2.0%-1.2%6.7%1.2%1.3%
VWIV21.8%13.8%31.3%19.1%24.0%
Skew 25d4.5%2.0%14.2%4.8%4.1%
Skew 10d10.8%2.4%52.0%11.4%12.4%
Call IV 25d20.0%17.0%23.1%17.3%22.2%
Put IV 25d24.5%20.6%34.1%22.1%26.4%
Bid-Ask Spread %22.805.6655.1233.669.75
Gamma HHI0.150.110.230.180.12
Net GEX-131.1K-3.3M3.4M3.1M135.5K
Net DEX88.1M14.0M144.6M14.0M67.1M
Net VEX-556.1K-686.7K-499.2K-686.7K-500.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.116.451.291.50
Total Volume4,487.51,05012,8074,1761,752
Total OI140,514.95116,210150,635145,101118,107

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$55.57$56.0017.8%5.1%13.9%5.4%19.1%4.8%1.2%3.1M14.0M-686.7K1.2933.66N/AN/A1,8252,35172,50172,600
2012-12-04$54.65$56.0019.2%5.5%14.7%10.7%20.7%4.2%1.1%2.3M39.6M-643.0K1.0828.72N/AN/A3,5243,81573,47172,965
2012-12-05$54.72$56.0018.7%5.4%14.6%8.9%26.4%4.0%1.3%2.0M41.2M-648.4K0.1343.80N/AN/A11,3041,50374,34874,816
2012-12-06$55.03$56.0020.3%5.8%14.0%14.9%20.4%14.2%-1.2%3.4M52.7M-564.5K1.5155.12N/AN/A2,3353,53769,09275,748
2012-12-07$54.96$56.0019.3%5.4%12.9%11.2%18.6%3.0%2.3%3.3M61.3M-590.0K0.605.66N/AN/A1,42285470,23877,649
2012-12-10$54.06$56.0020.7%5.6%14.0%16.2%18.8%4.2%2.5%1.6M90.7M-563.6K0.8615.99N/AN/A2,3342,01870,31677,378
2012-12-11$52.93$56.0023.5%5.6%15.8%26.8%20.9%8.3%6.7%-1.3M120.3M-554.3K1.3728.15N/AN/A2,8183,85770,11177,474
2012-12-12$52.80$56.0037.9%5.3%15.7%91.8%13.8%2.0%3.6%-1.1M118.5M-545.5K0.1122.29N/AN/A9,8561,12170,56878,236
2012-12-13$51.21$56.0021.6%6.2%18.8%22.5%23.5%3.3%3.0%-3.0M144.6M-535.9K1.3215.48N/AN/A1,9872,61470,44078,358
2012-12-14$51.23$56.0020.9%6.0%18.3%21.4%21.3%3.5%3.5%-3.0M138.2M-544.5K1.2416.53N/AN/A1,2631,56171,26177,847
2012-12-17$51.61$55.0021.5%6.2%18.5%24.1%21.6%4.3%1.9%-3.3M133.0M-539.5K1.0131.77N/AN/A2,0692,08471,50877,897
2012-12-18$52.41$55.0021.1%6.1%19.5%22.3%21.2%4.0%1.8%-1.7M101.0M-582.2K0.4042.20N/AN/A2,21589572,47477,768
2012-12-19$52.63$55.0021.2%6.1%19.5%22.8%20.0%3.7%1.9%-1.4M103.4M-578.0K0.3633.66N/AN/A2,01971872,86177,774
2012-12-20$51.40$55.0021.4%6.1%21.0%23.7%23.1%3.2%1.2%-2.5M124.7M-520.7K0.818.24N/AN/A2,6672,16072,68075,648
2012-12-21$50.74$55.0022.8%6.5%21.1%30.0%22.4%3.8%1.9%-928.2K134.3M-510.6K1.6017.46N/AN/A1,3892,22974,12875,925
2012-12-24$50.83$54.0023.0%6.6%20.5%31.2%22.0%3.9%1.7%-6.5K67.8M-507.6K0.346.88N/AN/A78626458,20958,001
2012-12-26$50.75$54.0023.7%6.8%19.8%34.2%23.4%3.4%1.5%59.4K66.2M-507.5K0.1210.48N/AN/A2,04025258,38058,132
2012-12-27$50.35$54.0023.9%6.9%19.1%35.4%24.1%3.9%1.1%-159.0K71.4M-500.5K0.6815.93N/AN/A90361659,25058,243
2012-12-28$50.12$54.0024.7%7.1%18.8%38.8%31.3%3.8%1.5%-206.5K72.4M-499.2K6.4514.18N/AN/A3752,41859,56558,332
2012-12-31$50.67$54.0024.3%7.0%19.5%37.2%24.0%4.1%1.3%135.5K67.1M-500.0K1.509.75N/AN/A7011,05159,70658,401