CME Options History — February 2013

In February 2013, CME traded between $56.73 and $60.02. ATM implied volatility averaged 19.8%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 1.3% (HV 20d: 21.0%). Max pain ranged from $57.50 to $57.50. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.06.

Notable Days

  • 2013-02-06: Highest Volume — 11,108 contracts
  • 2013-02-06: Largest IV drop — 32.9% change
  • 2013-02-05: Highest IV Rank — 52.7%
  • 2013-02-25: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.16$56.73$60.02$59.04$59.67
Max Pain$57.50$57.50$57.50$57.50$57.50
ATM IV19.8%15.7%27.7%20.6%18.2%
Expected Move5.4%4.5%6.4%5.1%5.2%
HV 20d21.0%14.0%24.3%18.2%24.3%
HV 60d20.5%18.7%21.5%18.7%21.5%
IV Rank17.2%0.0%52.7%20.2%11.2%
IV Percentile23.8%0.0%86.5%34.9%7.1%
Term Structure-0.1%-1.9%1.3%0.1%0.4%
VWIV20.4%17.7%23.9%19.8%21.1%
Skew 25d4.6%3.4%5.4%5.3%3.4%
Skew 10d10.3%5.9%13.6%10.8%5.9%
Call IV 25d17.3%15.1%20.5%16.5%17.4%
Put IV 25d22.0%19.9%23.9%21.8%20.8%
Bid-Ask Spread %14.656.9360.2014.448.94
Gamma HHI0.220.190.270.190.23
Net GEX2.8M-299.8K5.4M3.5M5.4M
Net DEX-50.6M-91.1M-11.9M-76.9M-87.3M
Net VEX-738.0K-832.6K-677.9K-677.9K-832.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.293.721.230.46
Total Volume4,484.7371,39411,1088,7543,635
Total OI86,180.15876,08492,67176,08492,671

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$59.04$57.5020.6%5.1%18.2%20.2%19.8%5.3%0.1%3.5M-76.9M-677.9K1.2314.44N/AN/A3,9234,83141,64634,438
2013-02-04$58.28$57.5027.1%6.0%14.0%50.0%19.6%4.8%-1.9%2.2M-54.0M-702.6K0.5913.55N/AN/A2,5511,50742,98238,128
2013-02-05$59.18$57.5027.7%5.7%14.1%52.7%21.4%4.9%-1.8%2.9M-72.6M-721.2K0.8217.78N/AN/A5,1414,23644,22138,762
2013-02-06$56.73$57.5018.6%5.4%21.3%10.5%19.3%3.9%0.2%629.6K-11.9M-688.1K0.7713.48N/AN/A6,2654,84347,16041,111
2013-02-07$56.90$57.5018.3%5.2%21.3%9.2%19.9%5.2%1.1%1.5M-19.3M-704.9K0.6915.63N/AN/A2,2561,56248,14540,352
2013-02-08$57.27$57.5018.3%5.2%21.2%9.0%20.8%4.5%0.5%1.2M-31.5M-726.8K1.8711.92N/AN/A5911,10749,10440,747
2013-02-11$56.93$57.5018.0%5.2%21.2%8.1%22.7%4.9%1.3%1.2M-22.4M-695.1K0.409.14N/AN/A1,29852249,08740,139
2013-02-12$57.20$57.5017.9%5.1%21.2%7.6%21.5%5.1%0.9%992.5K-30.6M-703.5K2.499.71N/AN/A1,3803,43249,56540,252
2013-02-13$57.26$57.5017.9%5.1%21.1%7.5%20.9%5.0%1.1%-299.8K-28.5M-718.9K0.4413.24N/AN/A96642849,72342,320
2013-02-14$58.44$57.5019.2%5.5%22.0%13.5%20.1%4.7%-0.3%2.5M-72.1M-739.4K0.8212.34N/AN/A1,8621,52248,98341,434
2013-02-15$58.52$57.5018.6%5.3%21.8%10.8%18.1%5.3%0.1%3.2M-75.7M-741.1K0.5611.85N/AN/A2,5011,38849,25541,874
2013-02-19$58.95$57.5015.7%4.5%21.8%0.0%17.7%4.8%0.8%4.8M-63.2M-736.4K0.5313.13N/AN/A1,59084343,56834,958
2013-02-20$58.02$57.5019.6%5.6%21.9%17.8%20.5%4.1%-1.7%4.0M-43.5M-733.8K2.526.93N/AN/A7932,00244,23135,442
2013-02-21$57.62$57.5019.8%5.7%22.0%18.6%20.3%4.3%-1.0%3.4M-33.3M-740.4K0.4919.18N/AN/A1,32264744,67136,704
2013-02-22$58.31$57.5019.8%5.7%22.2%18.4%20.2%5.1%-0.9%4.0M-47.7M-761.0K0.708.55N/AN/A1,8431,28445,15237,029
2013-02-25$57.78$57.5022.3%6.4%22.4%30.0%23.9%3.4%-1.4%3.5M-38.5M-763.8K3.729.97N/AN/A1,6506,13446,20238,028
2013-02-26$58.98$57.5019.2%5.5%23.5%15.9%20.7%5.4%0.2%3.9M-61.7M-807.4K0.7260.20N/AN/A3,4032,45647,07841,208
2013-02-27$60.02$57.5019.1%5.5%24.2%15.3%19.6%3.7%-0.3%5.2M-91.1M-827.0K0.298.46N/AN/A2,70179548,79042,263
2013-02-28$59.67$57.5018.2%5.2%24.3%11.2%21.1%3.4%0.4%5.4M-87.3M-832.6K0.468.94N/AN/A2,4981,13749,95042,721