CME Options History — June 2013

In June 2013, CME traded between $68.77 and $77.28. ATM implied volatility averaged 24.5%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 2.5% (HV 20d: 27.0%). Max pain ranged from $60.00 to $75.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.52.

Notable Days

  • 2013-06-05: Highest Volume — 21,919 contracts
  • 2013-06-20: Largest IV spike — 14.9% change
  • 2013-06-24: Highest IV Rank — 58.2%
  • 2013-06-24: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.95$68.77$77.28$68.77$75.95
Max Pain$69.00$60.00$75.00$60.00$75.00
ATM IV24.5%21.8%28.6%24.1%24.6%
Expected Move7.0%6.2%8.2%6.9%7.1%
HV 20d27.0%23.1%29.4%24.7%23.1%
HV 60d21.5%19.9%22.3%20.0%22.1%
IV Rank39.9%27.7%58.2%38.0%40.5%
IV Percentile88.0%73.8%99.6%84.9%90.5%
Term Structure0.2%-1.3%2.3%-0.7%2.3%
VWIV27.0%23.2%52.2%31.5%25.1%
Skew 25d3.3%1.8%4.9%4.3%1.8%
Skew 10d7.3%2.8%12.7%12.7%2.8%
Call IV 25d23.8%20.9%27.8%23.8%24.3%
Put IV 25d27.1%24.8%30.3%28.1%26.0%
Bid-Ask Spread %15.878.4921.2610.8317.65
Gamma HHI0.150.110.200.200.12
Net GEX6.3M4.6M7.7M7.1M6.0M
Net DEX-367.9M-447.4M-253.7M-301.4M-359.5M
Net VEX-1.7M-1.8M-1.5M-1.7M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.041.310.280.20
Total Volume7,528.151,73521,9198,1851,735
Total OI149,040.5138,905163,045146,191153,632

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$68.77$60.0024.1%6.9%24.7%38.0%31.5%4.3%-0.7%7.1M-301.4M-1.7M0.2810.83N/AN/A6,3881,79782,35863,833
2013-06-04$69.17$60.0023.8%6.8%24.7%36.7%26.7%4.0%-0.8%7.4M-326.1M-1.7M0.2613.17N/AN/A3,13580484,41864,233
2013-06-05$69.27$60.0024.2%6.9%24.2%38.6%52.2%4.9%-0.9%7.7M-327.6M-1.7M0.0413.57N/AN/A21,14277785,96464,312
2013-06-06$68.92$65.0024.2%6.9%24.5%38.8%25.5%3.9%-1.3%6.9M-253.7M-1.7M0.2713.36N/AN/A2,86276374,28964,616
2013-06-07$72.00$65.0021.8%6.2%27.8%27.7%23.2%3.9%1.2%6.6M-334.1M-1.6M0.3918.26N/AN/A7,5162,90874,58565,186
2013-06-10$73.01$65.0024.1%6.8%26.8%38.3%23.5%3.0%-0.1%7.1M-369.4M-1.6M0.4118.24N/AN/A5,0992,08677,61365,677
2013-06-11$72.39$67.5024.9%6.8%27.5%41.6%26.0%4.0%-0.1%7.4M-353.5M-1.7M0.4817.71N/AN/A2,9751,41979,51366,986
2013-06-12$72.28$67.5024.8%6.8%27.5%41.1%25.5%3.6%0.0%7.2M-349.8M-1.7M0.9213.95N/AN/A1,1961,09779,44967,153
2013-06-13$74.14$67.5022.9%6.6%28.3%32.8%23.8%3.2%0.6%7.0M-395.9M-1.6M0.4518.75N/AN/A3,4951,57379,36667,287
2013-06-14$74.29$67.5022.8%6.5%28.3%32.2%24.2%3.2%0.8%6.5M-393.0M-1.6M0.2417.61N/AN/A5,4001,28379,54868,269
2013-06-17$76.39$67.5023.0%6.6%29.2%33.4%23.9%3.3%0.4%5.9M-435.2M-1.5M1.1017.25N/AN/A5,9716,55179,31768,638
2013-06-18$77.28$70.0023.2%6.6%29.1%34.1%24.6%3.5%0.4%5.0M-447.4M-1.6M1.1120.83N/AN/A4,0924,54681,21172,392
2013-06-19$75.96$72.5023.8%6.8%29.4%36.9%23.8%3.5%0.1%4.9M-410.0M-1.6M0.3316.76N/AN/A5,2811,76582,53174,068
2013-06-20$77.09$75.0027.4%7.8%27.5%52.8%27.7%3.2%-0.7%4.7M-420.5M-1.6M0.568.49N/AN/A9,3475,27382,33973,911
2013-06-21$76.79$75.0026.2%7.5%27.9%47.5%26.4%3.3%0.3%4.6M-410.7M-1.7M0.3016.04N/AN/A8,1322,44486,69776,348
2013-06-24$76.06$75.0028.6%8.2%28.6%58.2%28.6%2.3%-0.2%5.1M-355.1M-1.7M0.4915.00N/AN/A6,4173,16582,25860,185
2013-06-25$76.38$75.0026.0%7.5%28.5%46.8%26.5%2.3%0.8%5.9M-366.4M-1.8M0.4912.10N/AN/A4,2702,10787,46261,748
2013-06-26$76.31$75.0025.0%7.2%27.2%42.1%25.8%2.7%1.1%6.8M-377.0M-1.6M1.3121.26N/AN/A1,0581,38789,24862,249
2013-06-27$76.52$75.0024.5%7.0%25.5%39.8%25.7%2.4%1.5%6.3M-371.9M-1.8M0.7216.61N/AN/A1,9191,38889,52162,400
2013-06-28$75.95$75.0024.6%7.1%23.1%40.5%25.1%1.8%2.3%6.0M-359.5M-1.8M0.2017.65N/AN/A1,44429190,18063,452