CME Options History — October 2013

In October 2013, CME traded between $72.04 and $77.73. ATM implied volatility averaged 24.7%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 1.8% (HV 20d: 22.9%). Max pain ranged from $72.50 to $75.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.47.

Notable Days

2013-10-28: Highest Volume — 6,576 contracts
2013-10-07: Largest IV spike — 9.4% change
2013-10-15: Highest IV Rank — 51.3%
2013-10-08: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$75.25	$72.04	$77.73	$74.80	$74.21
Max Pain	$73.15	$72.50	$75.00	$72.50	$75.00
ATM IV	24.7%	22.0%	27.0%	22.3%	25.4%
Expected Move	7.2%	6.3%	7.9%	6.4%	7.3%
HV 20d	22.9%	20.4%	26.9%	22.5%	20.7%
HV 60d	21.0%	19.7%	21.7%	19.7%	21.3%
IV Rank	40.8%	28.8%	51.3%	30.3%	44.1%
IV Percentile	83.7%	65.5%	97.6%	68.3%	87.7%
Term Structure	-0.9%	-2.6%	1.8%	1.6%	-2.3%
VWIV	25.8%	22.9%	28.0%	24.6%	26.6%
Skew 25d	2.3%	1.4%	3.1%	2.2%	1.5%
Skew 10d	4.4%	2.9%	6.5%	4.5%	3.4%
Call IV 25d	24.7%	22.0%	27.0%	22.0%	25.7%
Put IV 25d	27.0%	23.8%	29.9%	24.2%	27.2%
Bid-Ask Spread %	16.29	11.86	23.79	19.83	15.57
Gamma HHI	0.16	0.12	0.31	0.15	0.14
Net GEX	10.0M	7.8M	17.2M	9.8M	7.8M
Net DEX	-324.3M	-382.4M	-241.0M	-314.3M	-290.9M
Net VEX	-1.2M	-1.3M	-1.1M	-1.2M	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.47	0.13	1.01	0.36	1.01
Total Volume	3,394.609	1,045	6,576	1,692	2,148
Total OI	142,401.261	136,951	146,960	136,951	144,110

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2013-10-01	$74.80	$72.50	22.3%	6.4%	22.5%	30.3%	24.6%	2.2%	1.6%	9.8M	-314.3M	-1.2M	0.36	19.83	N/A	N/A	1,244	448	79,649	57,302
2013-10-02	$73.97	$72.50	22.0%	6.3%	22.1%	28.8%	22.9%	1.4%	1.8%	9.1M	-282.6M	-1.3M	0.71	20.75	N/A	N/A	2,291	1,618	80,301	57,444
2013-10-03	$73.93	$72.50	22.7%	6.5%	22.0%	31.9%	23.0%	1.7%	1.8%	9.3M	-290.4M	-1.3M	0.16	23.79	N/A	N/A	3,355	523	80,717	58,332
2013-10-04	$75.00	$72.50	22.3%	6.9%	22.0%	29.9%	24.6%	2.4%	-0.2%	10.5M	-320.8M	-1.3M	0.36	14.08	N/A	N/A	1,770	629	82,247	58,492
2013-10-07	$74.39	$72.50	24.3%	7.5%	22.3%	39.3%	26.7%	2.0%	-1.2%	9.8M	-301.0M	-1.3M	0.41	11.86	N/A	N/A	2,360	978	82,833	58,496
2013-10-08	$72.44	$72.50	26.4%	7.9%	24.1%	48.4%	27.5%	2.7%	-1.1%	8.3M	-250.4M	-1.3M	0.39	16.21	N/A	N/A	2,458	949	83,555	58,764
2013-10-09	$72.04	$72.50	25.1%	7.8%	24.0%	42.6%	27.1%	3.1%	-1.2%	8.1M	-241.0M	-1.3M	0.35	14.37	N/A	N/A	2,115	743	83,786	58,918
2013-10-10	$74.50	$72.50	25.4%	7.3%	26.9%	44.2%	26.0%	2.5%	-0.5%	10.4M	-310.2M	-1.3M	0.66	15.23	N/A	N/A	1,053	695	84,170	59,296
2013-10-11	$74.75	$72.50	25.3%	7.2%	26.8%	43.5%	27.0%	2.8%	-0.9%	10.8M	-311.8M	-1.3M	0.39	15.53	N/A	N/A	1,802	698	84,392	59,457
2013-10-14	$75.35	$72.50	25.7%	7.4%	26.6%	45.4%	27.1%	3.0%	-0.8%	12.0M	-338.3M	-1.2M	0.87	13.19	N/A	N/A	560	485	84,843	59,838
2013-10-15	$75.17	$72.50	27.0%	7.7%	26.7%	51.3%	28.0%	2.6%	-1.6%	11.7M	-332.6M	-1.2M	0.49	15.33	N/A	N/A	3,098	1,519	84,886	59,928
2013-10-16	$76.49	$72.50	24.7%	7.1%	26.4%	41.1%	26.0%	3.0%	-0.3%	15.0M	-369.7M	-1.2M	0.21	12.54	N/A	N/A	3,758	786	86,224	60,736
2013-10-17	$76.76	$72.50	24.0%	6.9%	22.4%	37.7%	25.5%	2.3%	-0.8%	17.2M	-378.8M	-1.1M	0.78	17.01	N/A	N/A	1,802	1,399	85,014	60,759
2013-10-18	$76.83	$72.50	23.7%	6.8%	22.2%	36.4%	25.5%	2.6%	-0.5%	15.1M	-376.4M	-1.1M	0.33	16.76	N/A	N/A	3,434	1,128	85,278	61,612
2013-10-21	$76.64	$72.50	23.2%	6.6%	21.6%	34.1%	23.5%	2.5%	-1.3%	8.2M	-354.6M	-1.1M	0.27	16.33	N/A	N/A	5,136	1,411	78,725	59,106
2013-10-22	$77.73	$72.50	24.3%	7.0%	21.7%	39.2%	24.9%	2.0%	-1.3%	8.1M	-382.4M	-1.1M	0.19	14.95	N/A	N/A	5,314	985	78,510	59,756
2013-10-23	$77.22	$72.50	26.0%	7.5%	20.9%	46.7%	26.7%	1.9%	-2.3%	8.5M	-373.2M	-1.1M	0.74	14.30	N/A	N/A	3,129	2,315	80,459	60,218
2013-10-24	$76.97	$75.00	25.4%	7.3%	20.8%	43.9%	26.2%	2.4%	-1.9%	8.3M	-364.6M	-1.1M	0.38	14.86	N/A	N/A	1,199	459	81,433	61,564
2013-10-25	$76.50	$75.00	24.6%	7.0%	20.8%	40.3%	25.0%	2.4%	-1.4%	8.4M	-352.1M	-1.1M	0.37	18.65	N/A	N/A	1,547	569	81,866	61,784
2013-10-28	$75.17	$75.00	25.9%	7.4%	21.2%	46.4%	26.4%	2.2%	-2.6%	7.9M	-305.0M	-1.2M	0.13	15.63	N/A	N/A	5,811	765	81,587	61,863
2013-10-29	$75.01	$75.00	25.8%	7.4%	20.8%	45.7%	26.5%	2.5%	-2.3%	7.8M	-308.5M	-1.1M	0.57	18.54	N/A	N/A	1,343	767	81,095	62,065
2013-10-30	$74.95	$75.00	25.9%	7.4%	20.4%	46.4%	26.6%	2.2%	-2.6%	8.0M	-310.2M	-1.1M	0.61	19.36	N/A	N/A	922	558	81,607	62,212
2013-10-31	$74.21	$75.00	25.4%	7.3%	20.7%	44.1%	26.6%	1.5%	-2.3%	7.8M	-290.9M	-1.1M	1.01	15.57	N/A	N/A	1,068	1,080	81,731	62,379