CME Options History — April 2013

In April 2013, CME traded between $58.53 and $61.03. ATM implied volatility averaged 20.8%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 4.3% (HV 20d: 16.5%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.82.

Notable Days

  • 2013-04-22: Highest Volume — 5,628 contracts
  • 2013-04-11: Largest IV spike — 18.0% change
  • 2013-04-18: Highest IV Rank — 39.4%
  • 2013-04-18: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.05$58.53$61.03$60.93$60.86
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV20.8%17.5%24.4%19.5%23.9%
Expected Move6.1%5.1%7.0%5.6%6.8%
HV 20d16.5%14.9%18.6%16.4%17.7%
HV 60d18.8%18.0%19.7%19.7%19.1%
IV Rank23.1%8.1%39.4%17.1%36.9%
IV Percentile47.3%5.2%78.2%30.6%77.0%
Term Structure-1.0%-4.1%2.7%2.0%-3.3%
VWIV21.4%18.0%25.3%19.8%24.2%
Skew 25d4.2%1.9%5.5%2.7%4.8%
Skew 10d9.2%3.7%15.2%5.1%8.8%
Call IV 25d19.8%17.0%21.5%18.2%21.5%
Put IV 25d24.0%20.0%26.7%20.9%26.3%
Bid-Ask Spread %13.087.9215.827.9215.74
Gamma HHI0.190.170.210.210.20
Net GEX5.8M3.5M7.3M6.0M6.7M
Net DEX-80.6M-112.0M-33.9M-103.0M-108.3M
Net VEX-1.5M-1.6M-1.4M-1.5M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.115.181.420.97
Total Volume2,115.9094035,628750798
Total OI122,036.727114,400125,886119,330123,573

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$60.93$60.0019.5%5.6%16.4%17.1%19.8%2.7%2.0%6.0M-103.0M-1.5M1.427.92N/AN/A31044066,81952,511
2013-04-02$60.60$60.0018.6%5.3%15.6%13.3%18.6%2.5%2.6%5.6M-93.4M-1.5M0.7813.90N/AN/A99377166,90052,615
2013-04-03$60.04$60.0018.8%5.4%15.2%14.2%19.1%1.9%2.1%5.0M-75.6M-1.6M0.2111.51N/AN/A2,08244367,00852,808
2013-04-04$60.01$60.0017.7%5.1%14.9%9.0%18.0%3.0%2.7%5.2M-71.7M-1.5M0.3611.66N/AN/A1,61958568,00753,072
2013-04-05$59.44$60.0017.8%5.9%15.1%9.5%21.0%4.4%-0.5%5.0M-59.6M-1.5M0.3211.83N/AN/A2,67185568,93653,028
2013-04-08$60.25$60.0018.8%6.0%15.6%14.0%21.5%4.5%-0.7%6.1M-83.2M-1.5M0.6614.94N/AN/A48832169,45953,319
2013-04-09$59.96$60.0017.7%6.0%15.5%9.2%21.0%2.9%-1.1%5.9M-76.4M-1.5M0.2813.89N/AN/A2,26664069,60753,503
2013-04-10$60.22$60.0017.5%5.9%15.6%8.1%20.6%3.5%-1.1%6.3M-84.7M-1.5M0.8412.38N/AN/A41835370,54553,774
2013-04-11$60.79$60.0020.6%5.9%16.1%22.2%20.4%3.1%-1.2%7.2M-104.9M-1.5M0.1814.86N/AN/A79114270,70553,975
2013-04-12$60.48$60.0020.5%5.9%15.7%21.9%19.5%4.6%-1.1%6.7M-92.7M-1.5M0.7214.75N/AN/A81058470,85253,967
2013-04-15$58.84$60.0021.8%6.3%18.0%27.7%22.8%5.4%-1.8%4.1M-46.2M-1.5M1.2213.76N/AN/A9191,11770,79653,972
2013-04-16$59.45$60.0020.8%6.0%18.6%23.0%21.1%4.6%-0.7%5.3M-61.7M-1.5M0.1711.83N/AN/A2,12036871,12154,136
2013-04-17$58.73$60.0024.4%7.0%17.3%39.3%22.9%5.2%-2.0%4.2M-41.9M-1.5M0.879.67N/AN/A87576471,83154,055
2013-04-18$58.53$60.0024.4%7.0%16.2%39.4%22.3%5.5%-2.3%3.5M-33.9M-1.4M0.3812.83N/AN/A86633171,48553,989
2013-04-19$59.01$60.0020.8%6.0%15.6%23.1%20.7%4.8%-1.1%5.0M-47.3M-1.5M0.2211.73N/AN/A3,37674571,59253,895
2013-04-22$60.28$60.0020.6%5.9%17.0%22.2%22.3%4.6%-1.3%6.5M-91.3M-1.5M1.2414.02N/AN/A2,5183,11065,67348,727
2013-04-23$59.86$60.0021.9%6.3%17.1%28.1%22.0%5.2%-2.1%5.9M-78.1M-1.5M1.1314.52N/AN/A1,3801,56266,93350,858
2013-04-24$60.17$60.0022.3%6.4%17.1%29.9%22.4%4.9%-2.1%6.1M-86.4M-1.5M0.3112.70N/AN/A1,34142166,99851,664
2013-04-25$61.03$60.0022.5%6.4%17.9%30.5%23.0%5.2%-2.6%6.9M-112.0M-1.5M0.1112.98N/AN/A2,96433167,46551,967
2013-04-26$60.77$60.0022.8%6.5%18.0%32.0%22.2%4.3%-2.9%7.3M-111.2M-1.5M0.5215.82N/AN/A26613769,17452,082
2013-04-29$60.84$60.0024.2%6.9%17.8%38.4%25.3%5.0%-4.1%7.3M-110.6M-1.5M5.1814.54N/AN/A4302,22969,25052,162
2013-04-30$60.86$60.0023.9%6.8%17.7%36.9%24.2%4.8%-3.3%6.7M-108.3M-1.5M0.9715.74N/AN/A40639269,35654,217