CME Options History — March 2013

In March 2013, CME traded between $59.92 and $63.14. ATM implied volatility averaged 18.3%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 0.1% (HV 20d: 18.2%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2013-03-04: Highest Volume — 49,671 contracts
  • 2013-03-04: Largest IV spike — 18.8% change
  • 2013-03-04: Highest IV Rank — 30.8%
  • 2013-03-04: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.81$59.92$63.14$59.92$61.41
Max Pain$59.25$57.50$60.00$57.50$60.00
ATM IV18.3%16.7%22.5%19.0%17.1%
Expected Move5.2%4.8%6.1%5.4%4.9%
HV 20d18.2%15.1%24.3%24.3%16.2%
HV 60d20.3%19.4%21.5%21.5%19.7%
IV Rank11.8%4.5%30.8%14.7%6.1%
IV Percentile13.7%0.8%57.1%17.9%2.8%
Term Structure1.8%0.3%3.2%0.8%2.3%
VWIV19.0%16.4%23.0%23.0%21.4%
Skew 25d3.8%2.9%4.6%4.6%3.4%
Skew 10d8.6%6.3%12.2%6.7%6.8%
Call IV 25d17.3%15.5%19.3%18.4%16.8%
Put IV 25d21.1%18.5%23.7%23.0%20.2%
Bid-Ask Spread %13.639.0817.7917.7915.42
Gamma HHI0.210.190.260.220.22
Net GEX6.5M4.5M7.6M5.2M6.4M
Net DEX-132.5M-176.3M-87.5M-87.5M-115.1M
Net VEX-1.5M-1.7M-838.6K-838.6K-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.135.435.432.05
Total Volume6,010.485949,6714,2431,365
Total OI125,223.7592,766141,80692,766119,012

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$59.92$57.5019.0%5.4%24.3%14.7%23.0%4.6%0.8%5.2M-87.5M-838.6K5.4317.79N/AN/A6603,58350,02542,741
2013-03-04$60.88$57.5022.5%6.1%23.8%30.8%21.3%4.5%0.3%4.5M-108.7M-846.9K0.8313.71N/AN/A27,20822,46350,20545,523
2013-03-05$61.63$57.5019.7%5.4%23.5%18.0%19.7%4.5%0.7%7.0M-149.9M-1.6M0.1316.47N/AN/A25,8133,25674,28366,905
2013-03-06$62.01$57.5018.8%5.4%23.1%14.0%19.7%4.4%0.6%6.6M-138.7M-1.6M0.3714.90N/AN/A3,8391,43269,27568,587
2013-03-07$61.73$57.5017.9%5.2%16.3%9.8%18.8%4.4%1.7%6.9M-133.3M-1.7M0.2414.77N/AN/A2,26554370,17368,786
2013-03-08$62.34$57.5018.2%5.4%16.4%11.4%20.1%4.5%1.0%7.1M-152.7M-1.7M1.0311.71N/AN/A1,5371,58170,12868,798
2013-03-11$62.59$60.0018.3%5.2%16.3%11.9%17.6%4.1%1.5%7.3M-160.9M-1.6M0.8712.74N/AN/A92580570,61369,775
2013-03-12$62.50$60.0019.1%5.2%16.0%15.5%17.4%3.7%1.1%7.3M-156.7M-1.6M0.4415.03N/AN/A1,08347271,16470,210
2013-03-13$62.52$60.0017.6%5.0%16.1%8.7%16.6%3.8%1.9%7.6M-159.0M-1.6M0.6710.66N/AN/A1,20380771,46770,207
2013-03-14$63.08$60.0017.1%4.9%16.1%6.5%17.4%4.1%1.8%7.3M-169.4M-1.6M0.2614.70N/AN/A2,56867970,68769,822
2013-03-15$63.14$60.0016.8%4.8%15.1%4.8%16.4%2.9%2.3%7.1M-176.3M-1.6M0.7213.74N/AN/A65647071,70170,105
2013-03-18$62.58$60.0017.3%5.0%15.7%7.2%17.3%3.4%2.4%6.3M-146.3M-1.6M0.489.08N/AN/A2,0791,00463,51449,881
2013-03-19$61.14$60.0020.5%5.9%18.3%21.7%19.6%3.8%1.8%5.9M-107.4M-1.6M0.4711.68N/AN/A3,2181,50865,04050,499
2013-03-20$62.03$60.0017.4%5.0%17.5%7.7%18.6%3.1%2.9%6.4M-130.2M-1.6M0.499.70N/AN/A80839665,32251,132
2013-03-21$60.93$60.0019.9%5.7%18.8%18.8%19.3%3.0%1.9%5.8M-101.2M-1.6M0.8512.99N/AN/A61852665,38951,342
2013-03-22$61.62$60.0017.5%5.0%18.7%8.4%18.7%3.5%2.4%6.2M-116.1M-1.6M0.3911.47N/AN/A1,48057265,50451,600
2013-03-25$61.29$60.0018.1%5.2%18.5%10.8%20.1%4.0%2.7%6.1M-111.4M-1.6M0.7313.87N/AN/A61544766,24751,713
2013-03-26$61.56$60.0016.7%4.8%17.3%4.5%18.2%3.7%2.8%6.3M-116.6M-1.6M0.4417.11N/AN/A59926666,36451,988
2013-03-27$61.36$60.0016.7%4.8%16.4%4.6%19.7%3.5%3.2%6.3M-113.0M-1.6M0.4315.03N/AN/A60025966,64852,100
2013-03-28$61.41$60.0017.1%4.9%16.2%6.1%21.4%3.4%2.3%6.4M-115.1M-1.6M2.0515.42N/AN/A44891766,79152,221