CME Options History — May 2013

In May 2013, CME traded between $60.13 and $69.78. ATM implied volatility averaged 18.2%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 0.7% (HV 20d: 17.6%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.54.

Notable Days

  • 2013-05-30: Highest Volume — 17,165 contracts
  • 2013-05-02: Largest IV drop — 25.0% change
  • 2013-05-01: Highest IV Rank — 38.0%
  • 2013-05-01: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.58$60.13$69.78$60.13$67.93
Max Pain$58.52$57.50$60.00$60.00$60.00
ATM IV18.2%15.6%24.1%24.1%23.0%
Expected Move5.2%4.5%6.9%6.9%6.6%
HV 20d17.6%14.3%24.6%17.9%24.6%
HV 60d17.4%16.6%19.9%19.0%19.9%
IV Rank11.9%0.0%38.0%38.0%33.4%
IV Percentile21.0%0.0%80.6%77.8%80.6%
Term Structure0.6%-3.6%2.4%-3.6%-0.7%
VWIV19.6%15.5%24.5%24.5%24.2%
Skew 25d3.7%2.8%4.7%3.3%3.1%
Skew 10d7.8%5.6%10.7%5.6%5.9%
Call IV 25d16.8%13.3%23.6%23.6%22.4%
Put IV 25d20.5%17.8%26.9%26.9%25.4%
Bid-Ask Spread %14.449.0724.1721.8916.22
Gamma HHI0.260.190.430.190.22
Net GEX8.3M5.9M11.6M5.9M7.5M
Net DEX-185.0M-336.4M-85.7M-85.7M-289.1M
Net VEX-1.5M-1.7M-1.4M-1.5M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.142.670.550.75
Total Volume4,921.77389517,1651,4715,051
Total OI128,584.136122,941144,134123,856144,134

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$60.13$60.0024.1%6.9%17.9%38.0%24.5%3.3%-3.6%5.9M-85.7M-1.5M0.5521.89N/AN/A95251969,45554,401
2013-05-02$60.40$60.0018.1%5.2%18.0%10.8%20.0%4.7%0.2%6.7M-93.5M-1.5M2.6724.17N/AN/A9102,43069,66354,640
2013-05-03$60.64$60.0015.6%4.5%17.6%0.0%15.5%4.6%0.8%7.3M-102.9M-1.5M0.7117.93N/AN/A1,7221,22169,74555,180
2013-05-06$60.96$57.5017.5%5.1%17.1%8.6%17.5%4.0%1.3%8.2M-114.4M-1.4M0.2115.33N/AN/A1,16023869,84954,833
2013-05-07$60.48$57.5016.4%5.0%17.2%3.8%18.7%4.0%1.8%6.9M-94.2M-1.4M0.2112.97N/AN/A73815770,14854,885
2013-05-08$60.70$57.5016.9%5.0%17.2%5.8%18.5%3.8%1.5%7.7M-102.0M-1.4M0.2419.29N/AN/A1,44835070,14654,930
2013-05-09$60.76$57.5016.8%5.0%16.9%5.4%18.4%3.8%1.5%7.8M-106.6M-1.4M1.3219.90N/AN/A71594171,05355,007
2013-05-10$62.52$57.5015.9%4.7%19.6%1.3%18.7%4.0%2.4%10.7M-173.9M-1.5M0.7310.30N/AN/A3,5202,58771,22555,469
2013-05-13$62.87$57.5017.7%4.9%16.3%9.6%17.8%3.6%1.7%11.6M-187.3M-1.5M0.1415.77N/AN/A4,45264072,29557,246
2013-05-14$63.71$57.5019.6%5.0%16.5%18.0%18.8%4.1%1.2%10.8M-217.9M-1.5M0.3314.31N/AN/A4,5181,50973,38857,606
2013-05-15$64.04$57.5017.4%4.9%15.4%8.0%17.6%3.5%1.3%10.1M-226.5M-1.5M0.1410.24N/AN/A6,04584674,09958,651
2013-05-16$64.23$57.5016.7%4.8%15.1%5.1%17.1%4.5%2.2%8.8M-229.6M-1.5M0.469.97N/AN/A4,1831,94074,91157,952
2013-05-17$65.17$57.5016.8%4.8%15.5%5.4%18.9%3.5%2.0%11.2M-255.9M-1.5M0.2611.34N/AN/A4,6021,18674,73858,559
2013-05-20$65.26$57.5017.1%4.9%14.3%6.6%18.9%2.8%0.0%7.9M-217.3M-1.5M0.2313.93N/AN/A3,28675668,94753,994
2013-05-21$64.32$57.5017.1%4.9%15.3%6.8%22.2%3.3%0.0%8.0M-194.2M-1.5M0.3210.42N/AN/A1,66753869,83654,330
2013-05-22$63.07$57.5018.6%5.3%17.3%13.7%20.4%3.3%-0.6%7.4M-152.9M-1.5M0.6010.85N/AN/A3,0481,84169,59454,609
2013-05-23$64.13$60.0017.6%5.1%17.6%9.2%19.2%3.3%0.5%7.7M-187.0M-1.6M0.349.07N/AN/A3,9971,35670,82955,926
2013-05-24$64.54$60.0017.9%5.1%17.4%10.3%18.1%3.5%0.4%8.1M-197.1M-1.6M0.1411.71N/AN/A1,45721072,50756,339
2013-05-28$65.49$60.0018.1%5.2%17.9%11.5%22.3%3.2%0.4%8.3M-227.0M-1.6M0.5613.39N/AN/A3,2741,84572,77456,335
2013-05-29$67.62$60.0020.5%5.9%20.5%22.3%21.6%3.9%-0.7%7.2M-279.7M-1.5M0.5216.96N/AN/A8,7044,55573,55657,711
2013-05-30$69.78$60.0021.7%6.2%21.4%27.3%23.3%3.8%0.3%7.1M-336.4M-1.6M0.3511.68N/AN/A12,6874,47877,04060,316
2013-05-31$67.93$60.0023.0%6.6%24.6%33.4%24.2%3.1%-0.7%7.5M-289.1M-1.7M0.7516.22N/AN/A2,8832,16881,54962,585