CME Options History — January 2014

In January 2014, CME traded between $72.34 and $79.20. ATM implied volatility averaged 23.5%, placing in the 61.4% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 2.4% (HV 20d: 21.2%). Max pain ranged from $75.00 to $75.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.76.

Notable Days

2014-01-13: Highest Volume — 9,981 contracts
2014-01-06: Largest IV spike — 8.0% change
2014-01-29: Highest IV Rank — 74.8%
2014-01-27: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$75.67	$72.34	$79.20	$77.96	$74.76
Max Pain	$75.00	$75.00	$75.00	$75.00	$75.00
ATM IV	23.5%	21.6%	25.3%	21.9%	24.1%
Expected Move	6.9%	6.8%	7.0%	6.9%	6.8%
HV 20d	21.2%	17.1%	23.3%	22.5%	21.4%
HV 60d	20.8%	19.7%	21.8%	21.2%	21.7%
IV Rank	61.4%	46.6%	74.8%	48.5%	66.0%
IV Percentile	71.4%	51.6%	87.3%	57.1%	75.8%
Term Structure	-0.3%	-2.0%	3.1%	2.1%	1.1%
VWIV	25.2%	19.5%	32.9%	25.3%	21.2%
Skew 25d	2.8%	1.7%	4.1%	3.2%	3.0%
Skew 10d	5.9%	0.6%	11.4%	5.6%	11.4%
Call IV 25d	22.7%	20.3%	24.6%	20.7%	23.2%
Put IV 25d	25.5%	23.2%	26.8%	23.9%	26.2%
Bid-Ask Spread %	21.83	14.16	37.05	21.30	22.31
Gamma HHI	0.11	0.07	0.22	0.07	0.09
Net GEX	457.8K	-2.2M	3.5M	-115.8K	2.5M
Net DEX	11.3M	-159.2M	58.9M	-159.2M	15.4M
Net VEX	-798.0K	-947.8K	-677.7K	-908.3K	-776.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.15	2.35	1.73	0.80
Total Volume	3,190.381	1,125	9,981	3,435	3,499
Total OI	105,034	66,963	149,119	149,119	72,914

Daily Data (21 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
2014-01-02	$77.96	$75.00	21.9%	6.9%	22.5%	48.5%	0.0%	3.2%	2.1%	-115.8K	-159.2M	-908.3K	1.73	21.30	N/A	N/A	1,259	2,176	72,478	76,641
2014-01-03	$79.20	$75.00	21.6%	6.9%	23.0%	46.6%	25.3%	2.9%	3.1%	3.5M	-39.6M	-947.8K	0.71	18.38	N/A	N/A	1,676	1,191	52,992	77,669
2014-01-06	$78.40	$75.00	23.4%	6.9%	22.9%	59.8%	28.3%	2.5%	-0.0%	1.2M	-22.0M	-916.2K	0.33	21.55	N/A	N/A	2,744	903	52,404	75,717
2014-01-07	$77.82	$75.00	23.0%	6.8%	22.7%	57.0%	24.4%	2.9%	-0.3%	-242.5K	-4.5M	-875.0K	0.69	20.04	N/A	N/A	2,009	1,389	52,510	75,966
2014-01-08	$77.06	$75.00	23.3%	6.9%	22.2%	59.1%	25.8%	2.7%	-0.9%	-1.1M	9.6M	-873.8K	0.24	31.09	N/A	N/A	4,746	1,119	53,508	76,377
2014-01-09	$77.10	$75.00	23.6%	6.9%	21.6%	62.0%	24.4%	2.5%	-1.1%	-344.6K	3.6M	-885.2K	0.35	14.16	N/A	N/A	1,126	390	55,651	76,556
2014-01-10	$76.49	$75.00	23.5%	6.9%	21.5%	60.9%	27.8%	3.0%	-1.3%	-152.8K	17.0M	-848.8K	1.38	19.59	N/A	N/A	1,399	1,933	56,230	76,652
2014-01-13	$74.02	$75.00	25.2%	6.8%	23.3%	74.3%	24.6%	2.1%	-2.0%	-2.2M	58.9M	-780.1K	0.40	23.12	N/A	N/A	7,141	2,840	55,318	76,139
2014-01-14	$75.29	$75.00	24.3%	6.9%	23.2%	67.1%	0.0%	3.1%	-1.5%	-2.2M	45.1M	-830.1K	0.60	20.95	N/A	N/A	1,629	980	54,637	77,319
2014-01-15	$75.76	$75.00	24.1%	6.9%	22.9%	65.8%	20.2%	2.4%	-1.6%	-408.8K	26.8M	-772.8K	0.92	16.20	N/A	N/A	1,537	1,411	52,299	75,069
2014-01-16	$75.50	$75.00	23.8%	6.9%	22.6%	63.2%	0.0%	2.8%	-1.2%	-884.6K	31.3M	-772.3K	2.35	24.30	N/A	N/A	460	1,082	53,126	75,769
2014-01-17	$75.49	$75.00	23.2%	6.9%	20.6%	58.5%	25.2%	3.1%	-1.1%	-985.4K	28.5M	-778.9K	1.34	15.48	N/A	N/A	979	1,311	53,315	76,192
2014-01-21	$75.73	$75.00	22.9%	6.9%	20.7%	56.7%	0.0%	3.0%	-0.2%	1.5M	15.3M	-766.9K	0.42	25.03	N/A	N/A	1,045	437	38,780	28,183
2014-01-22	$75.85	$75.00	22.7%	7.0%	20.7%	54.6%	32.9%	2.7%	-0.7%	1.6M	13.5M	-762.5K	0.46	14.84	N/A	N/A	1,283	588	39,490	28,412
2014-01-23	$75.51	$75.00	22.7%	6.8%	20.7%	54.4%	31.8%	3.0%	-0.8%	1.6M	17.7M	-745.6K	0.46	26.92	N/A	N/A	771	354	40,103	28,503
2014-01-24	$74.42	$75.00	23.7%	6.8%	17.1%	62.4%	22.9%	2.8%	-0.7%	250.8K	30.5M	-733.0K	0.22	17.95	N/A	N/A	2,680	600	40,389	28,700
2014-01-27	$72.93	$75.00	24.6%	7.0%	18.0%	69.7%	0.0%	2.9%	0.1%	1.2M	42.0M	-681.4K	0.41	20.42	N/A	N/A	2,518	1,026	40,059	27,848
2014-01-28	$73.20	$75.00	24.1%	6.9%	18.0%	65.3%	19.5%	4.1%	0.3%	1.3M	40.0M	-690.9K	0.15	15.71	N/A	N/A	2,612	404	41,388	28,218
2014-01-29	$72.34	$75.00	25.3%	6.9%	18.2%	74.8%	24.0%	1.7%	-0.9%	1.3M	43.8M	-677.7K	1.09	37.05	N/A	N/A	1,101	1,201	42,121	28,358
2014-01-30	$74.32	$75.00	23.6%	6.8%	21.3%	61.9%	21.2%	3.0%	1.0%	2.2M	23.1M	-734.0K	0.86	32.13	N/A	N/A	1,854	1,595	42,641	29,073
2014-01-31	$74.76	$75.00	24.1%	6.8%	21.4%	66.0%	0.0%	3.0%	1.1%	2.5M	15.4M	-776.9K	0.80	22.31	N/A	N/A	1,941	1,558	43,017	29,897