CME Options History — May 2014

In May 2014, CME traded between $68.52 and $72.46. ATM implied volatility averaged 19.1%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 3.2% (HV 20d: 22.3%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2014-05-01: Highest Volume — 11,392 contracts
  • 2014-05-20: Largest IV spike — 7.6% change
  • 2014-05-06: Highest IV Rank — 38.7%
  • 2014-05-06: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.31$68.52$72.46$70.68$72.00
Max Pain$71.43$70.00$75.00$75.00$70.00
ATM IV19.1%17.3%20.8%19.6%17.7%
Expected Move6.5%6.3%6.7%6.6%6.4%
HV 20d22.3%19.6%25.7%25.1%24.5%
HV 60d21.4%19.7%22.6%20.6%22.0%
IV Rank22.9%6.5%38.7%30.8%9.7%
IV Percentile15.5%1.2%33.3%20.2%3.2%
Term Structure-0.1%-0.9%1.4%1.4%-0.4%
VWIV23.9%21.4%27.7%22.9%23.6%
Skew 25d2.9%1.7%4.6%3.1%3.0%
Skew 10d6.1%1.3%9.2%7.2%6.2%
Call IV 25d18.0%16.2%20.3%18.2%16.7%
Put IV 25d20.9%18.9%23.4%21.3%19.7%
Bid-Ask Spread %19.7816.6230.9221.2118.26
Gamma HHI0.180.130.330.140.13
Net GEX2.3M70.8K5.9M486.1K4.2M
Net DEX14.5M-26.3M50.0M15.8M-20.0M
Net VEX-785.6K-838.9K-728.4K-817.5K-805.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.105.930.100.17
Total Volume2,353.38162211,39211,3924,637
Total OI82,649.95274,64387,68579,64282,498

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$70.68$75.0019.6%6.6%25.1%30.8%22.9%3.1%1.4%486.1K15.8M-817.5K0.1021.21N/AN/A10,3601,03242,75336,889
2014-05-02$69.57$75.0019.6%6.6%25.7%31.3%24.4%1.7%1.2%1.9M27.1M-826.6K0.6119.48N/AN/A1,11368449,92137,269
2014-05-05$69.75$75.0020.2%6.6%24.6%35.6%26.5%2.9%-0.0%2.4M25.5M-808.5K1.4518.62N/AN/A62390448,98236,382
2014-05-06$68.55$75.0020.8%6.7%19.8%38.7%24.1%1.9%-0.7%502.0K50.0M-790.3K0.5019.38N/AN/A1,15458149,29836,971
2014-05-07$70.36$75.0020.6%6.5%20.3%37.3%23.0%4.6%-0.9%3.5M12.4M-838.9K0.6718.77N/AN/A90960849,66137,287
2014-05-08$69.17$75.0020.8%6.5%21.2%38.3%22.8%1.7%-0.6%786.1K39.1M-797.1K1.3716.62N/AN/A8401,14949,97537,335
2014-05-09$69.59$70.0020.0%6.5%20.4%32.0%27.7%2.7%-0.4%1.4M31.7M-802.4K0.5418.77N/AN/A74440450,44537,083
2014-05-12$70.91$70.0019.2%6.6%19.6%26.4%21.4%3.1%0.6%5.9M-888.9K-811.0K0.5818.89N/AN/A1,62995049,73336,465
2014-05-13$70.59$70.0019.3%6.5%19.7%22.8%0.0%3.6%0.1%4.3M8.0M-801.8K0.2420.24N/AN/A78518950,48036,671
2014-05-14$69.81$70.0019.1%6.5%20.2%21.3%0.0%2.7%-0.8%1.2M24.4M-786.7K0.4919.76N/AN/A49124350,94536,740
2014-05-15$69.48$70.0019.3%6.5%19.7%23.3%0.0%2.9%-0.9%341.4K34.9M-746.5K0.4819.09N/AN/A41920348,75535,847
2014-05-16$68.68$70.0019.7%6.6%20.0%26.6%23.5%3.2%0.1%323.6K49.6M-728.4K0.5819.41N/AN/A1,04960549,06735,933
2014-05-19$70.35$70.0018.3%6.5%21.8%14.8%22.7%3.5%-0.3%1.8M13.0M-740.9K0.4419.96N/AN/A1,46464941,50933,134
2014-05-20$68.52$70.0019.7%6.6%21.9%26.4%23.8%3.2%-0.4%70.8K40.5M-730.3K1.9417.78N/AN/A5271,02242,20633,565
2014-05-21$70.02$70.0018.5%6.4%23.4%15.9%23.5%3.3%0.3%1.5M20.0M-747.1K0.5718.62N/AN/A78544642,50334,107
2014-05-22$71.34$70.0017.3%6.3%24.3%6.5%26.3%3.6%1.0%3.2M-7.1M-766.5K0.6421.33N/AN/A1,6041,02642,89534,396
2014-05-23$71.00$70.0017.8%6.5%24.2%10.7%0.0%2.5%-0.9%2.9M-3.0M-783.6K0.4430.92N/AN/A84837143,59335,054
2014-05-27$71.67$70.0018.3%6.4%24.3%14.6%22.2%2.7%-0.1%3.5M-13.1M-781.3K5.9318.95N/AN/A7504,44842,21834,352
2014-05-28$71.93$70.0017.6%6.3%24.4%8.8%23.7%2.5%-0.1%3.3M-16.9M-793.8K0.5420.62N/AN/A76341242,57638,399
2014-05-29$72.46$70.0017.6%6.4%24.3%8.7%24.2%2.8%0.2%4.6M-26.3M-794.1K0.8818.60N/AN/A1,06593643,08538,672
2014-05-30$72.00$70.0017.7%6.4%24.5%9.7%23.6%3.0%-0.4%4.2M-20.0M-805.6K0.1718.26N/AN/A3,97666143,70038,798