CME Options History — September 2013

In September 2013, CME traded between $70.88 and $75.31. ATM implied volatility averaged 22.4%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.9% (HV 20d: 20.5%). Max pain ranged from $67.50 to $72.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.43.

Notable Days

  • 2013-09-05: Highest Volume — 32,350 contracts
  • 2013-09-06: Largest IV drop — 5.3% change
  • 2013-09-03: Highest IV Rank — 40.8%
  • 2013-09-03: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.17$70.88$75.31$72.33$73.88
Max Pain$71.75$67.50$72.50$67.50$72.50
ATM IV22.4%21.3%24.7%24.7%22.2%
Expected Move6.5%6.1%7.1%7.1%6.4%
HV 20d20.5%15.0%22.9%21.4%22.9%
HV 60d19.0%17.4%20.2%19.3%19.5%
IV Rank30.7%25.7%40.8%40.8%29.8%
IV Percentile69.6%59.1%88.1%88.1%67.1%
Term Structure1.3%-0.3%2.2%-0.3%2.0%
VWIV23.8%22.0%36.1%25.8%23.1%
Skew 25d1.8%1.0%2.5%2.3%1.8%
Skew 10d3.7%1.9%5.3%2.9%4.1%
Call IV 25d22.6%21.2%24.7%24.4%22.5%
Put IV 25d24.4%22.8%26.7%26.7%24.3%
Bid-Ask Spread %17.3611.0824.1014.8318.12
Gamma HHI0.170.140.460.140.15
Net GEX11.6M7.4M24.0M10.7M9.2M
Net DEX-279.7M-353.2M-189.9M-304.4M-287.7M
Net VEX-1.4M-1.6M-1.2M-1.6M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.031.150.270.28
Total Volume5,022.8586532,3501,4691,894
Total OI158,496.2133,213176,114174,507135,555

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$72.33$67.5024.7%7.1%21.4%40.8%25.8%2.3%-0.3%10.7M-304.4M-1.6M0.2714.83N/AN/A1,161308108,13366,374
2013-09-04$73.65$67.5024.1%6.9%22.3%38.1%25.0%1.4%0.6%12.4M-353.2M-1.6M0.2312.59N/AN/A4,232962108,39366,331
2013-09-05$73.37$67.5024.5%7.0%22.1%40.1%36.1%1.4%-0.3%12.1M-347.5M-1.6M0.0312.03N/AN/A31,427923109,52966,585
2013-09-06$72.43$72.5023.2%6.9%22.6%34.2%24.2%1.7%1.5%11.7M-262.3M-1.5M0.3515.09N/AN/A2,154744100,11466,912
2013-09-09$72.53$72.5022.9%6.8%22.6%32.6%24.2%1.5%1.1%12.1M-264.7M-1.5M0.7416.90N/AN/A1,6191,205100,85267,295
2013-09-10$73.23$72.5022.6%6.7%22.6%31.3%24.2%1.9%1.0%13.5M-286.5M-1.4M0.1220.17N/AN/A5,559653100,41166,971
2013-09-11$72.69$72.5021.8%6.5%17.6%27.9%23.7%1.8%1.0%12.3M-262.8M-1.4M0.5119.13N/AN/A57129498,95567,170
2013-09-12$72.72$72.5022.6%6.5%17.5%31.4%22.8%1.6%1.5%12.2M-254.4M-1.5M0.2220.03N/AN/A1,55233598,98467,201
2013-09-13$72.35$72.5021.7%6.2%16.9%27.6%22.9%1.6%1.8%11.6M-246.5M-1.4M0.6224.10N/AN/A1,40486699,09767,264
2013-09-16$71.73$72.5021.6%6.2%15.7%27.2%22.7%2.5%1.7%9.8M-223.1M-1.3M0.8017.19N/AN/A1,4391,15099,01667,829
2013-09-17$71.95$72.5021.6%6.2%15.0%27.2%22.0%2.3%1.8%10.6M-229.9M-1.3M0.1714.25N/AN/A3,63461999,22068,402
2013-09-18$70.88$72.5022.3%6.4%15.8%30.3%22.3%2.3%0.9%7.4M-189.9M-1.4M0.8020.66N/AN/A3,3622,69099,39668,482
2013-09-19$73.86$72.5022.3%6.4%21.8%30.1%22.9%1.3%1.1%16.4M-290.5M-1.3M0.2118.53N/AN/A6,4011,34896,53969,777
2013-09-20$74.55$72.5021.3%6.1%22.0%25.7%22.1%2.3%1.7%24.0M-310.2M-1.3M0.3217.07N/AN/A6,8152,19697,58670,042
2013-09-23$73.61$72.5022.4%6.4%22.5%30.5%23.1%1.7%1.7%8.7M-279.6M-1.3M0.2211.08N/AN/A2,55155277,57355,690
2013-09-24$73.03$72.5022.0%6.3%22.4%28.9%23.0%1.6%1.9%8.2M-258.4M-1.3M1.1516.22N/AN/A8871,01877,46655,747
2013-09-25$74.56$72.5021.8%6.2%22.1%27.7%22.2%1.0%1.9%9.1M-303.5M-1.3M1.0020.50N/AN/A1,7431,73877,81856,493
2013-09-26$75.31$72.5021.3%6.1%22.2%25.8%22.0%1.8%1.9%9.8M-326.0M-1.2M0.2517.98N/AN/A2,00650378,44856,719
2013-09-27$74.83$72.5021.4%6.1%22.3%26.2%22.3%1.5%2.2%9.5M-312.3M-1.2M0.2520.81N/AN/A1,55438878,58856,967
2013-09-30$73.88$72.5022.2%6.4%22.9%29.8%23.1%1.8%2.0%9.2M-287.7M-1.2M0.2818.12N/AN/A1,48141378,58856,967