CME Options History — April 2014

In April 2014, CME traded between $66.95 and $72.66. ATM implied volatility averaged 22.7%, placing in the 55.0% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 0.5% (HV 20d: 23.2%). Max pain ranged from $75.00 to $77.50. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2014-04-08: Highest Volume — 13,829 contracts
  • 2014-04-07: Largest IV spike — 8.1% change
  • 2014-04-07: Highest IV Rank — 76.9%
  • 2014-04-14: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.88$66.95$72.66$72.66$70.39
Max Pain$75.36$75.00$77.50$75.00$75.00
ATM IV22.7%21.1%25.6%21.6%21.1%
Expected Move6.7%6.5%6.9%6.6%6.6%
HV 20d23.2%15.6%26.7%16.0%25.1%
HV 60d21.1%19.3%22.2%19.4%20.6%
IV Rank55.0%42.3%76.9%46.4%42.3%
IV Percentile56.3%35.3%89.7%43.7%35.3%
Term Structure-0.4%-1.5%1.0%-0.7%1.0%
VWIV24.9%21.7%34.8%21.7%22.7%
Skew 25d2.7%1.0%4.3%3.2%2.4%
Skew 10d4.9%0.8%7.3%5.4%7.3%
Call IV 25d21.9%20.4%25.5%20.5%20.4%
Put IV 25d24.7%22.7%27.5%23.7%22.8%
Bid-Ask Spread %20.5514.8824.4918.0524.49
Gamma HHI0.150.080.190.110.15
Net GEX-661.4K-3.5M1.3M1.3M367.2K
Net DEX46.0M5.0M111.2M5.0M17.9M
Net VEX-778.0K-856.9K-603.0K-672.1K-827.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.352.221.480.68
Total Volume4,510.66789413,8296,7152,868
Total OI77,049.1961,14386,90061,14377,700

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$72.66$75.0021.6%6.6%16.0%46.4%21.7%3.2%-0.7%1.3M5.0M-672.1K1.4818.05N/AN/A2,7044,01137,87423,269
2014-04-02$72.27$75.0021.7%6.5%15.8%47.0%23.8%3.7%-0.1%-112.0K17.4M-697.5K0.8114.88N/AN/A3,4502,79838,83226,194
2014-04-03$72.18$75.0022.4%6.6%15.6%52.3%22.3%3.2%-0.5%86.2K16.5M-722.2K0.4018.66N/AN/A1,35953840,53127,462
2014-04-04$70.60$75.0023.7%6.7%16.8%62.2%23.7%2.0%-0.2%-83.2K40.9M-680.7K1.8821.26N/AN/A1,8653,49941,34927,890
2014-04-07$67.59$75.0025.6%6.9%21.8%76.9%23.6%1.0%-0.9%-758.7K79.4M-603.0K1.1223.77N/AN/A6,3787,14941,00329,408
2014-04-08$69.13$77.5024.7%6.7%24.0%70.0%24.4%4.3%-1.5%-2.0M69.2M-693.1K2.2216.65N/AN/A4,2949,53542,89032,657
2014-04-09$69.53$77.5023.9%6.7%24.2%64.0%34.8%4.2%-1.1%-3.5M77.3M-856.9K0.9620.22N/AN/A84080443,87841,297
2014-04-10$68.37$77.5024.6%6.9%24.2%69.2%28.2%2.4%-0.6%-3.1M98.0M-826.8K1.0116.38N/AN/A2,9442,98744,14241,737
2014-04-11$66.95$75.0024.8%6.9%24.4%71.2%23.1%2.6%-1.2%-2.1M111.2M-801.7K0.6821.79N/AN/A4,6123,14245,27141,629
2014-04-14$67.25$75.0023.6%6.9%23.8%61.7%25.0%3.5%0.4%-1.4M99.3M-818.8K0.3517.82N/AN/A3,1161,10045,43540,883
2014-04-15$67.79$75.0023.4%6.9%24.4%60.2%25.7%2.9%-0.3%-1.4M89.5M-829.3K0.8221.64N/AN/A1,7861,46245,81340,810
2014-04-16$68.73$75.0023.1%6.9%25.3%57.6%25.9%2.8%-0.3%-1.5M75.4M-792.5K0.4220.87N/AN/A84034942,55539,872
2014-04-17$69.30$75.0021.4%6.7%24.6%44.7%25.7%2.4%0.5%-2.1M61.3M-784.8K0.6122.82N/AN/A2,4061,47542,68539,920
2014-04-21$69.43$75.0022.1%6.7%24.4%50.6%23.8%2.6%-0.5%-484.4K38.0M-786.7K0.8124.49N/AN/A1,04484938,74535,231
2014-04-22$71.14$75.0021.8%6.6%26.6%48.0%22.1%2.0%-0.7%-525.3K14.8M-799.1K0.3617.91N/AN/A4,3041,54938,91635,816
2014-04-23$71.40$75.0021.4%6.5%26.7%44.7%24.4%2.1%-1.0%75.7K5.1M-822.9K0.5119.14N/AN/A1,81492440,05936,095
2014-04-24$70.90$75.0021.5%6.6%26.0%45.3%24.7%1.9%-0.9%1.0M10.8M-829.0K0.8821.93N/AN/A64356341,62436,550
2014-04-25$70.39$75.0021.6%6.6%25.7%46.6%0.0%2.5%-1.0%970.9K21.3M-826.1K0.3822.88N/AN/A84332141,96436,815
2014-04-28$70.75$75.0022.0%6.5%25.8%49.2%28.9%2.9%0.8%957.2K7.7M-831.2K1.4521.76N/AN/A1,0881,57740,93734,913
2014-04-29$70.83$75.0021.5%6.6%25.8%45.5%24.3%2.2%0.9%567.2K10.6M-835.9K0.3724.16N/AN/A65424041,37836,004
2014-04-30$70.39$75.0021.1%6.6%25.1%42.3%22.7%2.4%1.0%367.2K17.9M-827.0K0.6824.49N/AN/A1,7071,16141,68436,016