CME Options History — November 2013

In November 2013, CME traded between $73.66 and $83.85. ATM implied volatility averaged 20.7%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 1.0% (HV 20d: 19.8%). Max pain ranged from $70.00 to $110.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.41.

Notable Days

  • 2013-11-19: Highest Volume — 17,688 contracts
  • 2013-11-11: Largest IV spike — 14.1% change
  • 2013-11-01: Highest IV Rank — 38.9%
  • 2013-11-12: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.06$73.66$83.85$74.70$81.95
Max Pain$95.53$70.00$110.00$75.00$105.00
ATM IV20.7%17.7%24.3%24.3%18.0%
Expected Move6.8%6.2%7.1%7.0%6.8%
HV 20d19.8%14.1%21.1%20.2%20.5%
HV 60d21.0%19.9%21.5%21.3%21.1%
IV Rank23.1%9.4%38.9%38.9%10.8%
IV Percentile43.3%10.7%77.8%77.8%15.1%
Term Structure0.2%-1.5%2.1%-1.5%1.7%
VWIV23.8%19.9%27.7%24.4%25.8%
Skew 25d2.0%1.4%2.5%2.5%1.7%
Skew 10d3.9%2.1%5.7%4.9%3.8%
Call IV 25d20.8%18.1%23.9%23.9%18.3%
Put IV 25d22.8%19.7%26.4%26.4%20.0%
Bid-Ask Spread %13.006.8625.6318.976.86
Gamma HHI0.150.110.310.140.13
Net GEX9.5M7.7M13.9M7.9M10.0M
Net DEX-397.0M-502.2M-277.0M-303.5M-441.7M
Net VEX-1.1M-1.2M-1.0M-1.1M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.101.010.320.10
Total Volume7,801.81,85017,6884,2231,850
Total OI157,745.75145,178167,864145,178167,864

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$74.70$75.0024.3%7.0%20.2%38.9%24.4%2.5%-1.5%7.9M-303.5M-1.1M0.3218.97N/AN/A3,2091,01482,09463,084
2013-11-04$73.82$70.0021.9%6.3%20.4%28.2%22.5%2.5%0.1%7.7M-279.5M-1.0M0.2616.15N/AN/A4,8881,25782,65563,082
2013-11-05$73.66$70.0022.8%6.6%18.0%32.2%23.5%2.5%-0.7%7.9M-277.0M-1.1M1.0118.22N/AN/A3,7043,75884,46463,510
2013-11-06$74.73$70.0020.6%6.2%18.4%22.5%22.2%2.5%0.3%8.4M-301.5M-1.1M0.7617.47N/AN/A2,2991,74985,46665,756
2013-11-07$74.66$70.0019.8%6.2%14.1%18.8%21.5%2.1%-0.1%7.9M-294.6M-1.1M0.7119.52N/AN/A3,1782,27286,09566,883
2013-11-08$77.81$70.0019.4%6.2%20.3%17.2%22.9%1.7%0.3%9.6M-392.9M-1.0M0.4915.71N/AN/A9,3184,54685,38266,669
2013-11-11$77.94$0.0022.1%7.0%20.2%29.5%25.4%1.9%-0.3%9.8M-389.4M-1.0M0.5912.83N/AN/A5,4153,20087,40268,248
2013-11-12$78.57$110.0022.2%7.1%20.3%29.6%23.9%2.2%-0.5%11.0M-401.1M-1.1M0.237.59N/AN/A12,7382,94488,63169,298
2013-11-13$78.63$110.0022.0%7.0%19.5%28.6%0.0%2.2%-0.2%12.3M-405.3M-1.1M0.148.59N/AN/A7,1711,01593,76770,412
2013-11-14$78.84$110.0021.5%6.9%19.5%26.7%0.0%1.8%0.2%11.4M-402.0M-1.0M0.507.17N/AN/A3,7171,86190,81069,849
2013-11-15$79.56$110.0021.1%6.9%19.6%24.7%0.0%2.0%0.3%13.9M-424.4M-1.0M0.199.07N/AN/A4,95694592,20670,364
2013-11-18$79.77$110.0020.9%7.0%19.6%24.0%24.2%2.1%0.6%8.9M-411.5M-1.0M0.6025.63N/AN/A7,6884,64486,27364,703
2013-11-19$81.14$105.0021.8%7.1%19.8%27.8%19.9%1.6%-0.2%9.0M-436.9M-1.1M0.4221.13N/AN/A12,4485,24089,20468,262
2013-11-20$81.42$105.0020.3%6.8%19.6%21.2%23.2%1.4%0.2%9.7M-452.4M-1.1M0.2110.96N/AN/A9,1061,87693,69470,044
2013-11-21$83.58$105.0020.3%6.8%21.1%21.1%22.3%1.6%-0.1%9.3M-492.5M-1.2M0.388.27N/AN/A6,0262,29992,31770,505
2013-11-22$83.85$105.0019.3%6.8%20.8%16.6%23.0%1.8%0.6%8.7M-502.2M-1.1M0.297.58N/AN/A4,8551,41292,53571,079
2013-11-25$82.29$105.0019.7%6.9%21.0%18.5%27.7%2.1%0.6%8.7M-446.8M-1.1M0.318.38N/AN/A3,5841,11091,62771,648
2013-11-26$81.95$105.0019.3%6.8%21.1%16.5%26.1%2.2%0.8%8.8M-436.9M-1.1M0.4810.62N/AN/A2,5051,20191,82572,134
2013-11-27$82.31$105.0017.7%6.8%21.0%9.4%26.3%1.6%2.1%8.4M-448.9M-1.1M0.129.25N/AN/A4,48855092,65672,418
2013-11-29$81.95$105.0018.0%6.8%20.5%10.8%25.8%1.7%1.7%10.0M-441.7M-1.1M0.106.86N/AN/A1,68316795,30672,558