CME Options History — July 2013

In July 2013, CME traded between $73.63 and $77.61. ATM implied volatility averaged 25.9%, placing in the 46.4% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 7.2% (HV 20d: 18.7%). Max pain ranged from $75.00 to $77.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.52.

Notable Days

  • 2013-07-19: Highest Volume — 13,551 contracts
  • 2013-07-11: Largest IV spike — 14.4% change
  • 2013-07-31: Highest IV Rank — 54.4%
  • 2013-07-08: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.52$73.63$77.61$76.51$74.06
Max Pain$75.57$75.00$77.50$75.00$75.00
ATM IV25.9%23.6%27.7%25.0%27.7%
Expected Move7.6%7.2%8.2%7.2%7.9%
HV 20d18.7%15.1%25.1%23.0%15.1%
HV 60d22.0%21.3%22.7%21.9%22.0%
IV Rank46.4%36.0%54.4%42.3%54.4%
IV Percentile93.0%81.7%99.2%92.5%99.2%
Term Structure-1.3%-3.9%1.8%1.5%-3.9%
VWIV26.9%25.3%29.1%26.0%28.7%
Skew 25d2.8%1.7%3.9%2.4%1.7%
Skew 10d5.6%3.1%8.4%4.3%3.1%
Call IV 25d25.8%24.5%28.2%25.4%28.2%
Put IV 25d28.7%26.8%30.7%27.8%29.9%
Bid-Ask Spread %13.849.2921.0718.0619.47
Gamma HHI0.130.110.220.130.14
Net GEX7.1M2.0M8.4M6.9M8.1M
Net DEX-369.6M-434.7M-311.2M-385.2M-331.3M
Net VEX-1.7M-1.8M-1.5M-1.6M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.161.230.180.51
Total Volume4,585.9551,70413,5516,7945,656
Total OI160,524.409150,057168,518154,549157,241

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$76.51$75.0025.0%7.2%23.0%42.3%26.0%2.4%1.5%6.9M-385.2M-1.6M0.1818.06N/AN/A5,7481,04690,91763,632
2013-07-02$75.20$75.0025.5%7.3%24.4%44.4%26.1%2.0%1.8%6.2M-346.9M-1.8M0.3215.66N/AN/A2,62285093,90964,059
2013-07-03$75.71$75.0026.6%7.6%24.4%49.4%26.9%2.4%1.1%6.3M-359.0M-1.8M0.2721.07N/AN/A2,21960094,07064,515
2013-07-05$77.61$77.5024.7%7.7%25.1%40.8%27.0%3.7%-0.2%7.5M-418.1M-1.8M0.2714.30N/AN/A4,6931,28594,77464,454
2013-07-08$77.29$75.0025.8%8.2%21.0%45.9%29.1%3.1%-1.4%7.7M-415.4M-1.8M0.2816.31N/AN/A7,4092,05596,22864,098
2013-07-09$76.70$77.5024.6%8.0%20.9%40.2%28.4%3.7%-1.3%8.1M-413.6M-1.8M0.8813.05N/AN/A2,0031,758100,40365,277
2013-07-10$76.45$77.5023.6%7.8%20.7%36.0%27.9%3.9%-1.3%7.6M-404.0M-1.8M0.5310.28N/AN/A1,406748100,83865,862
2013-07-11$76.75$77.5027.0%7.7%20.6%51.3%26.9%3.4%-1.1%7.8M-416.3M-1.8M0.6010.78N/AN/A2,6171,566100,87266,034
2013-07-12$77.34$77.5026.8%7.7%18.9%50.2%27.2%2.7%-1.6%8.1M-434.7M-1.8M0.4010.44N/AN/A2,320930101,07967,077
2013-07-15$77.12$75.0026.8%7.7%19.0%50.1%27.2%3.5%-1.5%7.4M-425.3M-1.7M0.1617.02N/AN/A5,016799101,05967,459
2013-07-16$76.29$75.0026.7%7.7%16.8%49.9%27.1%2.7%-1.8%6.2M-394.7M-1.7M0.4812.15N/AN/A2,4971,20299,70967,722
2013-07-17$76.03$75.0026.8%7.7%16.3%50.2%26.7%2.8%-1.6%5.7M-381.5M-1.7M0.3412.56N/AN/A3,4451,17899,65368,367
2013-07-18$76.40$75.0026.5%7.6%15.2%49.1%27.2%3.7%-2.3%5.8M-396.8M-1.6M0.4311.17N/AN/A2,16593799,26668,042
2013-07-19$74.75$75.0025.5%7.3%16.1%44.4%25.6%3.3%-1.5%2.0M-342.9M-1.5M0.649.29N/AN/A8,2535,298100,00867,976
2013-07-22$73.72$75.0026.2%7.5%16.7%47.8%26.4%3.2%-1.3%8.4M-323.2M-1.5M0.8712.55N/AN/A3,4833,01689,28260,775
2013-07-23$73.68$75.0026.1%7.5%16.4%47.2%26.4%2.5%-1.6%7.4M-311.2M-1.7M0.6812.24N/AN/A1,34791989,54462,306
2013-07-24$73.63$75.0026.4%7.6%16.3%48.5%26.4%2.0%-1.8%8.2M-321.9M-1.5M1.0712.48N/AN/A2,3432,51289,76262,467
2013-07-25$73.84$75.0025.1%7.2%16.4%42.5%25.3%1.9%-1.6%7.2M-314.2M-1.6M0.3811.65N/AN/A1,63362690,65364,024
2013-07-26$73.80$75.0025.0%7.2%16.3%42.3%26.2%2.5%-1.4%7.1M-314.8M-1.6M0.4313.21N/AN/A1,33957091,10864,142
2013-07-29$74.35$75.0025.8%7.4%16.5%45.8%27.1%3.1%-2.7%8.2M-344.3M-1.5M1.2315.92N/AN/A1,3791,69991,57364,525
2013-07-30$74.14$75.0026.2%7.5%16.2%47.6%27.1%2.3%-3.0%8.2M-336.8M-1.5M0.5114.78N/AN/A1,12757792,03264,744
2013-07-31$74.06$75.0027.7%7.9%15.1%54.4%28.7%1.7%-3.9%8.1M-331.3M-1.5M0.5119.47N/AN/A3,7351,92192,27264,969