CME Options History — February 2014

In February 2014, CME traded between $72.58 and $77.11. ATM implied volatility averaged 21.0%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 1.2% (HV 20d: 22.2%). Max pain ranged from $75.00 to $75.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.02.

Notable Days

  • 2014-02-07: Highest Volume — 5,644 contracts
  • 2014-02-04: Largest IV drop — 10.8% change
  • 2014-02-03: Highest IV Rank — 79.7%
  • 2014-02-03: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.77$72.58$77.11$73.18$73.82
Max Pain$75.00$75.00$75.00$75.00$75.00
ATM IV21.0%19.2%25.9%25.9%19.3%
Expected Move6.7%6.6%7.1%7.1%6.7%
HV 20d22.2%19.9%24.7%21.4%19.9%
HV 60d21.2%20.6%22.1%22.1%20.9%
IV Rank41.6%28.0%79.7%79.7%28.7%
IV Percentile39.2%21.4%91.3%91.3%22.2%
Term Structure0.1%-0.7%1.1%-0.5%0.3%
VWIV23.4%20.3%28.4%28.4%22.9%
Skew 25d3.6%2.1%5.1%2.1%3.8%
Skew 10d7.4%2.9%14.6%2.9%8.0%
Call IV 25d19.8%17.9%25.0%25.0%17.9%
Put IV 25d23.4%21.8%27.1%27.1%21.8%
Bid-Ask Spread %26.3614.6759.2827.4926.57
Gamma HHI0.090.060.210.080.06
Net GEX1.2M-1.2M3.9M1.8M-299.3K
Net DEX23.0M-14.3M60.6M33.4M39.8M
Net VEX-735.5K-789.1K-665.1K-732.4K-685.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.292.551.790.47
Total Volume2,805.4218475,6443,5852,354
Total OI76,831.31671,59179,46371,59179,463

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$73.18$75.0025.9%7.1%21.4%79.7%28.4%2.1%-0.5%1.8M33.4M-732.4K1.7927.49N/AN/A1,2852,30042,01029,581
2014-02-04$73.61$75.0023.1%6.8%21.5%58.2%24.9%2.3%0.5%1.2M34.1M-749.0K1.3958.29N/AN/A1,5682,18042,44531,283
2014-02-05$73.56$75.0023.8%6.8%21.5%63.0%20.9%5.1%-0.5%838.8K38.7M-744.9K1.5159.28N/AN/A7071,07043,09032,295
2014-02-06$75.98$75.0022.6%6.8%24.6%54.4%23.1%4.9%1.1%3.9M1.9M-768.2K0.7522.76N/AN/A2,9112,19243,33532,636
2014-02-07$75.69$75.0021.3%6.8%24.7%43.8%23.2%2.9%-0.4%2.5M3.2M-776.4K0.7527.77N/AN/A3,2312,41344,05033,866
2014-02-10$75.56$75.0021.4%6.9%24.5%45.0%23.3%4.0%0.8%2.1M13.4M-774.8K1.7020.38N/AN/A31453543,22733,122
2014-02-11$76.55$75.0020.6%6.7%21.8%38.4%22.4%3.2%0.1%2.9M-6.3M-781.4K1.5019.15N/AN/A1,0501,57743,33533,496
2014-02-12$76.80$75.0020.6%6.7%21.0%38.9%24.5%4.3%-0.3%2.8M-8.4M-789.1K0.8114.67N/AN/A46937843,62534,650
2014-02-13$76.99$75.0020.4%6.6%21.0%36.8%20.5%3.9%-0.1%2.8M-12.4M-783.8K0.3615.93N/AN/A72326143,72334,782
2014-02-14$77.11$75.0019.7%6.6%20.9%31.9%20.3%3.5%-0.4%73.7K-14.3M-781.3K1.1015.06N/AN/A1,4971,64043,82034,723
2014-02-18$76.22$75.0020.9%6.7%21.4%40.9%21.5%4.2%-0.7%3.0M989.7K-771.0K0.6019.76N/AN/A1,41184244,02933,730
2014-02-19$74.77$75.0020.3%6.7%22.5%36.5%0.0%3.7%0.2%1.1M28.4M-731.6K0.2942.61N/AN/A1,93355844,45434,042
2014-02-20$73.76$75.0019.5%6.6%22.9%30.4%0.0%3.3%1.0%120.2K44.8M-692.0K0.4027.22N/AN/A2,6841,07943,90433,603
2014-02-21$73.71$75.0020.3%6.8%22.9%36.2%22.7%3.2%-0.1%354.9K44.2M-700.3K1.0919.90N/AN/A1,6351,77544,67334,107
2014-02-24$74.32$75.0019.2%6.6%22.5%28.0%24.3%3.7%-0.2%632.9K33.2M-693.7K0.3917.52N/AN/A1,42255941,23733,129
2014-02-25$73.26$75.0020.0%6.9%21.9%34.2%28.4%3.3%0.4%-262.8K49.2M-682.2K1.3924.47N/AN/A1,0851,51142,03033,367
2014-02-26$72.58$75.0020.4%6.7%22.1%37.4%22.9%3.5%0.2%-1.2M60.6M-665.1K2.5524.35N/AN/A1,2953,30442,18733,872
2014-02-27$73.16$75.0019.4%6.8%21.9%29.0%0.0%4.0%0.5%-1.1M51.9M-671.7K0.5217.57N/AN/A1,02053542,57436,300
2014-02-28$73.82$75.0019.3%6.7%19.9%28.7%0.0%3.8%0.3%-299.3K39.8M-685.3K0.4726.57N/AN/A1,60175342,98436,479