CME Options History — March 2014

In March 2014, CME traded between $73.83 and $77.45. ATM implied volatility averaged 18.8%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 1.2% (HV 20d: 17.6%). Max pain ranged from $75.00 to $75.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2014-03-05: Highest Volume — 6,972 contracts
  • 2014-03-17: Largest IV drop — 10.7% change
  • 2014-03-31: Highest IV Rank — 36.9%
  • 2014-03-26: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.80$73.83$77.45$74.11$74.02
Max Pain$75.00$75.00$75.00$75.00$75.00
ATM IV18.8%17.2%20.4%19.8%20.4%
Expected Move6.6%6.5%6.7%6.5%6.6%
HV 20d17.6%15.7%20.1%19.8%17.6%
HV 60d20.3%18.9%21.5%20.9%19.4%
IV Rank24.9%12.7%36.9%32.7%36.9%
IV Percentile18.5%5.6%32.1%26.2%32.1%
Term Structure0.7%-1.3%3.0%0.2%-0.0%
VWIV25.1%18.9%32.8%22.1%22.7%
Skew 25d2.9%1.8%3.8%3.7%2.2%
Skew 10d6.3%4.0%9.9%9.9%5.2%
Call IV 25d17.9%16.0%20.3%18.7%20.3%
Put IV 25d20.8%19.0%22.6%22.4%22.6%
Bid-Ask Spread %15.819.4126.0326.0318.11
Gamma HHI0.130.070.370.070.10
Net GEX4.4M894.4K12.9M1.1M1.8M
Net DEX-13.9M-61.0M33.6M33.6M-17.7M
Net VEX-722.0K-755.5K-674.9K-674.9K-693.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.061.761.541.72
Total Volume2,939.7148456,9721,6771,309
Total OI75,255.28657,46286,02077,08957,828

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$74.11$75.0019.8%6.5%19.8%32.7%22.1%3.7%0.2%1.1M33.6M-674.9K1.5426.03N/AN/A6601,01742,35134,738
2014-03-04$76.00$75.0018.4%6.5%20.1%21.9%18.9%3.3%0.2%2.9M2.0M-700.3K0.5515.97N/AN/A3,9832,20742,56735,437
2014-03-05$76.42$75.0018.8%6.6%20.1%24.9%24.7%3.0%-0.0%3.8M-10.2M-726.4K0.1716.01N/AN/A5,9371,03544,72337,023
2014-03-06$76.76$75.0018.1%6.5%20.1%18.9%24.0%2.4%0.2%4.6M-12.4M-744.6K0.1812.46N/AN/A2,59647243,03437,759
2014-03-07$76.97$75.0018.4%6.5%16.7%21.8%26.6%2.9%0.1%5.6M-23.1M-755.5K0.5412.23N/AN/A1,39875444,12637,470
2014-03-10$76.73$75.0018.7%6.5%16.7%24.1%26.1%2.9%-0.7%5.1M-16.2M-753.8K0.609.41N/AN/A72743444,27035,896
2014-03-11$75.91$75.0019.1%6.7%17.1%26.8%0.0%2.9%0.2%4.1M653.4K-736.3K0.4614.13N/AN/A97344644,45436,155
2014-03-12$76.05$75.0018.8%6.6%16.5%24.9%24.4%3.0%0.3%4.7M-3.8M-729.8K1.0413.35N/AN/A41543045,03936,207
2014-03-13$74.78$75.0020.0%6.7%17.4%34.0%27.1%2.7%-1.1%2.1M18.0M-714.3K1.4116.86N/AN/A7361,03645,05736,492
2014-03-14$75.36$75.0020.3%6.7%17.7%36.4%0.0%2.8%-1.3%2.9M9.8M-727.7K0.1616.47N/AN/A2,04032745,26537,186
2014-03-17$76.26$75.0018.1%6.6%18.2%19.7%0.0%3.4%1.9%4.7M-8.2M-729.5K0.4014.74N/AN/A68427245,07236,101
2014-03-18$75.91$75.0018.5%6.6%17.8%22.7%32.8%3.8%0.9%4.6M-3.5M-725.4K0.0613.67N/AN/A3,88225145,41936,182
2014-03-19$75.71$75.0018.9%6.7%16.4%25.2%0.0%3.5%0.1%5.6M-254.9K-717.2K1.7617.69N/AN/A1,3692,40747,31936,177
2014-03-20$76.92$75.0017.9%6.5%16.4%17.9%0.0%2.9%0.3%8.0M-27.6M-715.2K0.0914.47N/AN/A4,89443846,82737,116
2014-03-21$77.45$75.0017.2%6.6%16.4%12.7%26.7%2.9%1.2%12.9M-54.9M-725.9K0.2914.99N/AN/A3,9241,12248,75437,266
2014-03-24$77.04$75.0017.8%6.5%16.5%17.2%26.1%2.1%3.0%5.5M-61.0M-721.5K0.5617.38N/AN/A1,44180535,23822,224
2014-03-25$76.54$75.0017.7%6.6%15.7%16.3%25.1%2.8%2.6%5.8M-52.4M-721.3K0.2814.94N/AN/A3,00383535,94222,733
2014-03-26$75.02$75.0018.9%6.7%17.1%25.4%0.0%1.8%2.3%3.9M-37.4M-739.4K0.2817.41N/AN/A1,16332338,07423,209
2014-03-27$73.92$75.0019.6%6.6%17.9%31.2%24.1%3.3%2.4%894.4K-13.6M-713.6K0.4719.12N/AN/A1,46668938,04123,444
2014-03-28$73.83$75.0019.8%6.6%17.6%32.2%22.7%2.9%2.1%1.3M-13.0M-696.5K0.4516.51N/AN/A2,6391,19538,45623,690
2014-03-31$74.02$75.0020.4%6.6%17.6%36.9%0.0%2.2%-0.0%1.8M-17.7M-693.6K1.7218.11N/AN/A48182836,06621,762