CME Options History — December 2013

In December 2013, CME traded between $78.44 and $84.64. ATM implied volatility averaged 20.1%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 0.2% (HV 20d: 20.4%). Max pain ranged from $70.00 to $80.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.36.

Notable Days

  • 2013-12-23: Highest Volume — 650,041 contracts
  • 2013-12-24: Largest IV spike — 26.4% change
  • 2013-12-13: Highest IV Rank — 45.2%
  • 2013-12-30: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.91$78.44$84.64$81.39$78.46
Max Pain$74.76$70.00$80.00$80.00$75.00
ATM IV20.1%16.6%22.5%18.5%20.6%
Expected Move6.8%6.4%7.1%6.8%7.0%
HV 20d20.4%16.8%22.5%21.0%22.5%
HV 60d20.9%20.1%21.7%20.9%21.3%
IV Rank27.8%7.4%45.2%13.1%38.6%
IV Percentile37.0%1.6%63.1%19.4%43.3%
Term Structure1.5%-1.4%3.8%1.3%2.7%
VWIV25.0%18.1%31.4%27.4%31.4%
Skew 25d2.0%0.3%4.3%1.8%2.4%
Skew 10d5.5%0.1%23.2%4.2%4.2%
Call IV 25d19.8%17.3%23.1%18.3%20.0%
Put IV 25d21.8%17.8%24.1%20.2%22.4%
Bid-Ask Spread %19.136.2339.136.2317.86
Gamma HHI0.140.080.190.130.08
Net GEX10.3M654.4K19.3M10.4M880.4K
Net DEX-310.8M-452.1M-169.0M-424.8M-173.6M
Net VEX-1.0M-1.2M-919.5K-1.1M-933.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.001.020.440.70
Total Volume44,456.6191,914650,0413,9732,512
Total OI162,533.905140,278173,357168,569148,330

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$81.39$80.0018.5%6.8%21.0%13.1%27.4%1.8%1.3%10.4M-424.8M-1.1M0.446.23N/AN/A2,7531,22095,97372,596
2013-12-03$80.97$77.5019.1%6.8%20.4%15.7%25.4%1.8%0.8%9.6M-413.2M-1.1M0.3612.32N/AN/A3,2451,16896,18772,981
2013-12-04$80.06$75.0019.7%6.8%21.1%18.2%26.8%1.6%0.7%9.3M-374.1M-1.1M0.2714.29N/AN/A5,3941,47296,06273,545
2013-12-05$79.11$77.5022.5%6.8%21.4%31.1%24.2%1.0%-1.1%8.4M-353.3M-1.1M0.0315.05N/AN/A140,8704,44797,58474,287
2013-12-06$79.97$77.5020.7%6.9%21.6%22.8%23.6%1.8%2.5%9.6M-265.4M-1.1M0.3917.68N/AN/A11,4434,42083,62276,091
2013-12-09$81.03$77.5022.3%6.8%16.8%30.2%24.6%1.9%3.3%11.1M-312.1M-1.2M0.2313.48N/AN/A7,1931,63487,03978,128
2013-12-10$79.74$75.0020.9%6.8%18.0%23.9%0.0%2.8%3.7%11.3M-278.2M-1.2M0.1716.57N/AN/A6,4531,07390,32478,601
2013-12-11$78.93$75.0021.0%6.9%18.2%24.5%0.0%2.5%3.1%9.4M-246.7M-1.1M0.5822.59N/AN/A1,21370188,50579,115
2013-12-12$80.11$75.0022.5%6.8%18.9%31.2%28.2%2.0%-1.4%11.3M-271.5M-1.0M1.0239.13N/AN/A1,6541,68188,67279,345
2013-12-13$81.51$75.0021.4%6.5%19.8%45.2%29.9%2.5%-0.7%14.5M-328.7M-966.3K0.5418.24N/AN/A4,7152,54789,22180,086
2013-12-16$82.36$75.0021.4%6.7%19.9%45.1%22.2%1.2%0.8%16.2M-360.9M-985.1K0.1521.12N/AN/A7,4651,12190,22980,450
2013-12-17$82.89$75.0020.2%6.4%19.9%35.2%22.5%1.8%1.7%17.8M-381.3M-1.0M0.1918.59N/AN/A5,4401,02991,28880,738
2013-12-18$84.64$70.0018.2%6.5%20.4%20.0%18.1%2.7%3.8%19.3M-452.1M-996.2K0.4530.81N/AN/A5,1712,32292,12481,233
2013-12-19$83.68$70.0018.3%6.7%20.9%21.0%23.1%1.2%0.0%18.0M-412.7M-979.4K0.2019.84N/AN/A5,1791,01490,56980,353
2013-12-20$83.79$70.0017.0%6.4%18.8%10.7%20.9%0.7%1.0%16.6M-419.5M-953.9K0.1416.58N/AN/A7,6901,08891,65880,689
2013-12-23$83.12$70.0016.6%6.5%18.9%7.4%23.1%0.3%3.4%14.2M-330.0M-962.1K0.0027.37N/AN/A647,5812,46079,78769,308
2013-12-24$80.03$75.0020.9%6.8%22.3%41.1%30.0%4.3%1.9%3.2M-192.4M-1.0M0.8716.69N/AN/A7,0816,13769,52170,757
2013-12-26$79.88$75.0019.9%6.9%22.3%33.5%23.3%2.3%1.2%3.1M-189.6M-1.0M0.1718.68N/AN/A5,9081,00371,04474,451
2013-12-27$78.91$75.0020.0%6.9%22.5%34.2%26.0%1.7%0.9%1.4M-177.6M-970.0K0.3516.56N/AN/A6,9362,42271,03774,652
2013-12-30$78.44$75.0021.0%7.1%22.5%41.8%24.0%2.7%2.2%654.4K-169.0M-919.5K0.3822.05N/AN/A6,3212,41371,87875,152
2013-12-31$78.46$75.0020.6%7.0%22.5%38.6%31.4%2.4%2.7%880.4K-173.6M-933.1K0.7017.86N/AN/A1,4761,03672,00076,330