CME Options History — January 2013

In January 2013, CME traded between $51.34 and $58.12. ATM implied volatility averaged 19.3%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 1.6% (HV 20d: 21.0%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2013-01-04: Highest Volume — 8,648 contracts
  • 2013-01-11: Largest IV drop — 10.0% change
  • 2013-01-10: Highest IV Rank — 24.6%
  • 2013-01-07: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.15$51.34$58.12$51.34$57.84
Max Pain$53.48$52.50$55.00$54.00$55.00
ATM IV19.3%17.1%21.6%20.3%21.3%
Expected Move5.7%4.9%6.6%5.8%6.1%
HV 20d21.0%17.1%25.6%20.2%17.4%
HV 60d18.9%16.9%19.5%17.0%18.3%
IV Rank14.0%3.7%24.6%18.6%23.3%
IV Percentile17.0%1.2%42.1%23.8%42.1%
Term Structure-0.1%-2.7%1.6%1.3%-2.7%
VWIV20.3%17.7%23.2%20.5%21.7%
Skew 25d3.6%2.5%4.6%3.6%4.5%
Skew 10d9.8%5.5%14.2%10.6%14.0%
Call IV 25d18.6%16.4%20.5%20.1%19.3%
Put IV 25d22.2%19.4%25.0%23.8%23.7%
Bid-Ask Spread %12.999.9117.5614.1812.26
Gamma HHI0.180.110.240.140.21
Net GEX3.7M569.7K6.4M569.7K4.5M
Net DEX-17.1M-64.6M60.2M60.2M-59.6M
Net VEX-574.5K-655.4K-492.7K-492.7K-655.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.122.050.311.94
Total Volume3,351.6671,2318,6483,7435,452
Total OI102,386.23864,721127,654118,24372,783

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$51.34$54.0020.3%5.8%20.2%18.6%20.5%3.6%1.3%569.7K60.2M-492.7K0.3114.18N/AN/A2,86288160,09758,146
2013-01-03$51.56$54.0019.5%5.6%19.8%14.9%21.0%2.7%1.6%1.0M54.9M-503.8K0.8616.13N/AN/A1,3521,15861,32058,510
2013-01-04$53.77$52.5019.1%6.0%25.4%12.9%22.0%4.3%-0.3%3.2M10.6M-559.0K0.5113.87N/AN/A5,7192,92961,29758,622
2013-01-07$53.49$52.5019.6%6.6%25.3%15.4%22.0%4.5%-0.1%3.1M13.9M-560.5K0.5117.56N/AN/A81441763,05759,150
2013-01-08$52.90$52.5020.1%6.3%25.6%17.4%23.2%4.3%0.1%2.7M28.7M-526.7K2.0514.16N/AN/A43989863,23059,133
2013-01-09$52.86$52.5020.0%6.2%25.0%17.3%22.4%3.6%0.1%2.5M24.3M-525.2K1.7416.09N/AN/A48384263,42557,976
2013-01-10$53.32$52.5021.6%6.2%24.0%24.6%20.2%4.3%0.3%3.2M13.8M-532.3K0.3613.38N/AN/A2,06073463,70358,178
2013-01-11$54.02$52.5019.4%5.6%24.4%14.6%20.9%3.7%0.5%4.1M-3.8M-536.5K0.5511.69N/AN/A1,57186164,32858,373
2013-01-14$54.33$52.5019.8%5.7%21.4%16.2%20.9%4.6%0.2%4.5M-12.9M-544.5K0.2810.99N/AN/A2,37765865,00058,562
2013-01-15$54.74$52.5019.8%5.7%21.4%16.2%21.3%4.5%0.4%5.0M-24.0M-553.4K0.5311.74N/AN/A1,55082466,00758,666
2013-01-16$54.79$52.5019.9%5.7%21.4%16.7%20.1%3.3%0.1%5.3M-25.7M-556.4K0.7412.14N/AN/A3,0242,23366,43558,896
2013-01-17$55.48$52.5019.9%5.7%21.2%16.9%19.6%3.6%-0.0%6.4M-43.6M-571.6K0.1412.44N/AN/A3,58551366,72859,676
2013-01-18$55.50$52.5018.6%5.3%21.2%10.8%18.6%3.4%0.8%4.6M-43.6M-589.8K0.6110.59N/AN/A2,4751,50767,48760,167
2013-01-22$56.61$52.5017.1%4.9%19.6%3.8%18.1%3.8%-0.3%3.4M-34.7M-591.7K0.5111.12N/AN/A2,2441,14434,94929,772
2013-01-23$56.85$55.0017.6%5.0%18.5%5.8%19.5%2.9%-0.7%3.4M-39.4M-609.9K0.1212.51N/AN/A2,92536336,02330,566
2013-01-24$57.28$55.0017.1%4.9%18.4%3.7%17.7%2.9%-0.7%3.8M-46.2M-614.2K0.2915.84N/AN/A2,26664836,82930,702
2013-01-25$57.70$55.0017.7%5.1%18.2%6.3%17.9%2.5%-0.3%4.1M-52.2M-623.8K0.1212.52N/AN/A2,44429937,78030,859
2013-01-28$57.66$55.0019.3%5.5%17.6%13.7%20.4%3.1%-1.2%4.3M-55.6M-636.9K1.0811.52N/AN/A2,6812,90839,36930,995
2013-01-29$57.92$55.0018.7%5.4%17.1%11.3%19.3%2.6%-0.6%4.4M-59.7M-639.5K0.1912.09N/AN/A1,69431940,08431,242
2013-01-30$58.12$55.0019.4%5.6%17.1%14.6%19.3%2.7%-0.5%4.6M-64.6M-641.3K0.339.91N/AN/A1,67355940,72931,260
2013-01-31$57.84$55.0021.3%6.1%17.4%23.3%21.7%4.5%-2.7%4.5M-59.6M-655.4K1.9412.26N/AN/A1,8573,59541,21431,569