CME Options History — August 2013

In August 2013, CME traded between $70.47 and $74.83. ATM implied volatility averaged 21.5%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.0% (HV 20d: 18.5%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.46.

Notable Days

  • 2013-08-01: Highest Volume — 13,694 contracts
  • 2013-08-15: Largest IV spike — 15.3% change
  • 2013-08-30: Highest IV Rank — 42.4%
  • 2013-08-30: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.29$70.47$74.83$72.17$71.11
Max Pain$66.25$65.00$75.00$75.00$67.50
ATM IV21.5%17.8%25.0%21.8%25.0%
Expected Move6.3%5.4%7.2%6.2%7.2%
HV 20d18.5%13.8%22.0%17.2%20.5%
HV 60d22.2%20.7%23.4%22.7%21.0%
IV Rank26.6%10.1%42.4%27.8%42.4%
IV Percentile63.2%14.3%90.5%72.6%90.5%
Term Structure0.8%-0.2%2.1%0.0%-0.2%
VWIV22.7%19.2%25.3%22.4%25.3%
Skew 25d1.9%0.9%2.5%1.6%1.0%
Skew 10d3.4%0.9%4.7%2.2%0.9%
Call IV 25d21.9%18.9%25.1%22.4%25.1%
Put IV 25d23.8%21.4%26.1%24.0%26.1%
Bid-Ask Spread %12.788.8420.7320.7315.73
Gamma HHI0.160.130.190.150.14
Net GEX8.2M6.0M10.4M6.6M9.3M
Net DEX-291.5M-378.6M-244.1M-263.0M-266.9M
Net VEX-1.5M-1.6M-1.3M-1.6M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.082.230.430.23
Total Volume4,199.1361,01413,69413,6941,426
Total OI163,377.273157,589174,294158,816174,294

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$72.17$75.0021.8%6.2%17.2%27.8%22.4%1.6%0.0%6.6M-263.0M-1.6M0.4320.73N/AN/A9,6084,08693,35065,466
2013-08-02$72.30$75.0018.9%5.4%14.0%14.9%19.2%2.5%1.7%6.0M-268.5M-1.5M0.6413.97N/AN/A2,5621,64393,18765,864
2013-08-05$72.06$65.0020.0%5.8%14.0%19.6%20.5%2.5%1.9%6.2M-263.1M-1.5M0.1913.65N/AN/A2,24641693,53866,127
2013-08-06$72.39$65.0020.4%6.0%14.2%21.5%21.5%2.4%1.2%6.9M-286.9M-1.4M0.3411.12N/AN/A2,64988993,42366,315
2013-08-07$71.88$65.0019.2%6.0%14.3%16.4%21.4%2.2%1.6%6.0M-256.3M-1.5M0.428.84N/AN/A3,6141,50793,89366,284
2013-08-08$72.22$65.0018.9%5.9%14.3%14.6%21.2%1.8%1.8%6.7M-287.0M-1.4M0.8611.28N/AN/A99085594,39366,757
2013-08-09$72.16$65.0017.8%5.9%13.8%10.1%21.1%1.9%2.1%6.8M-285.5M-1.4M2.2312.62N/AN/A1,0572,35894,42066,657
2013-08-12$71.55$65.0019.9%6.0%13.9%19.3%21.3%2.1%1.6%6.2M-261.2M-1.3M0.2710.15N/AN/A2,04654494,36567,171
2013-08-13$74.44$65.0020.4%6.2%20.5%21.5%22.7%1.6%1.1%8.3M-356.9M-1.3M0.2213.80N/AN/A6,6131,47794,80667,349
2013-08-14$73.95$65.0020.2%6.4%20.6%20.5%22.5%2.2%0.8%8.0M-344.6M-1.4M0.2511.77N/AN/A6,6001,63296,54867,509
2013-08-15$74.83$65.0023.2%6.7%21.0%34.3%24.6%2.2%0.1%10.2M-378.6M-1.4M0.3113.08N/AN/A2,40773999,90667,185
2013-08-16$73.35$65.0022.9%6.6%20.8%33.1%23.2%2.5%0.8%9.2M-333.4M-1.4M0.2513.07N/AN/A3,17578299,98767,486
2013-08-19$72.30$65.0022.6%6.5%20.8%31.3%23.2%1.7%0.4%9.5M-305.7M-1.4M0.4112.46N/AN/A1,93880094,47863,111
2013-08-20$72.39$65.0022.2%6.4%20.8%29.7%23.4%2.4%-0.1%8.7M-291.7M-1.5M0.1411.58N/AN/A3,69552094,85763,377
2013-08-21$72.29$65.0022.5%6.5%20.8%31.1%22.8%2.0%0.2%9.2M-291.9M-1.5M0.8210.22N/AN/A55645897,52763,712
2013-08-22$72.66$65.0021.8%6.2%20.9%27.7%23.0%2.1%0.7%9.5M-303.2M-1.5M0.0814.46N/AN/A2,36118297,76063,917
2013-08-23$72.58$65.0021.8%6.3%20.9%28.0%22.7%2.1%0.3%10.1M-307.3M-1.5M0.4912.41N/AN/A91945399,84764,026
2013-08-26$71.94$65.0022.4%6.4%20.8%30.5%23.1%1.7%0.4%10.4M-299.0M-1.4M0.1815.41N/AN/A4,253753100,16464,087
2013-08-27$70.50$65.0024.0%6.9%21.8%37.8%24.7%1.4%0.0%8.7M-244.1M-1.5M0.339.22N/AN/A5,1711,697103,32064,413
2013-08-28$70.77$67.5023.9%6.8%22.0%37.2%24.5%0.9%0.1%9.0M-255.5M-1.6M0.1513.51N/AN/A2,563393105,69665,219
2013-08-29$70.47$67.5023.8%6.8%20.1%36.9%24.8%0.9%0.3%10.0M-261.8M-1.4M0.9812.16N/AN/A1,8961,852107,11165,398
2013-08-30$71.11$67.5025.0%7.2%20.5%42.4%25.3%1.0%-0.2%9.3M-266.9M-1.6M0.2315.73N/AN/A1,161265107,95266,342