CME Options History — June 2014

In June 2014, CME traded between $69.51 and $72.28. ATM implied volatility averaged 17.9%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 0.7% (HV 20d: 18.6%). Max pain ranged from $70.00 to $80.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.21.

Notable Days

2014-06-25: Highest Volume — 6,768 contracts
2014-06-30: Largest IV spike — 7.9% change
2014-06-30: Highest IV Rank — 30.0%
2014-06-05: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$70.96	$69.51	$72.28	$71.95	$70.95
Max Pain	$75.71	$70.00	$80.00	$70.00	$77.50
ATM IV	17.9%	16.9%	19.9%	17.8%	19.9%
Expected Move	6.4%	6.2%	6.6%	6.3%	6.5%
HV 20d	18.6%	13.6%	24.3%	23.7%	14.8%
HV 60d	21.9%	21.6%	22.2%	21.9%	21.7%
IV Rank	11.9%	2.9%	30.0%	10.1%	30.0%
IV Percentile	7.6%	0.4%	31.0%	3.6%	31.0%
Term Structure	0.5%	-0.7%	2.3%	0.0%	-0.3%
VWIV	22.9%	15.2%	28.7%	21.7%	23.1%
Skew 25d	3.0%	2.1%	3.5%	3.0%	2.6%
Skew 10d	6.7%	4.8%	11.3%	7.0%	5.4%
Call IV 25d	16.9%	15.8%	19.3%	17.0%	19.3%
Put IV 25d	19.8%	18.7%	21.9%	20.0%	21.9%
Bid-Ask Spread %	34.51	16.95	53.28	21.24	36.49
Gamma HHI	0.14	0.12	0.18	0.13	0.13
Net GEX	1.4M	-3.6M	4.5M	2.1M	56.8K
Net DEX	1.0M	-30.9M	33.6M	-9.8M	-4.3M
Net VEX	-818.6K	-851.6K	-775.0K	-775.0K	-836.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.21	0.18	4.11	0.31	0.76
Total Volume	2,271.381	746	6,768	2,432	1,350
Total OI	82,110.905	69,283	88,788	80,372	78,021

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
2014-06-02	$71.95	$70.00	17.8%	6.3%	23.7%	10.1%	21.7%	3.0%	0.0%	2.1M	-9.8M	-775.0K	0.31	21.24	N/A	N/A	1,851	581	41,797	38,575
2014-06-03	$70.99	$70.00	18.2%	6.5%	24.3%	13.9%	0.0%	2.9%	-0.4%	1.7M	1.0M	-818.6K	1.87	16.95	N/A	N/A	260	486	44,838	38,997
2014-06-04	$70.26	$70.00	18.3%	6.5%	23.7%	14.2%	25.1%	3.0%	-0.4%	415.7K	18.4M	-789.6K	3.48	31.93	N/A	N/A	374	1,301	44,965	39,272
2014-06-05	$69.51	$70.00	18.5%	6.6%	22.1%	15.9%	21.6%	3.2%	0.1%	-3.6M	33.6M	-780.9K	0.18	32.80	N/A	N/A	4,425	790	45,048	40,456
2014-06-06	$69.82	$70.00	17.7%	6.4%	21.3%	9.8%	24.5%	2.1%	0.3%	-1.8M	27.7M	-788.1K	0.64	32.67	N/A	N/A	575	370	44,068	40,851
2014-06-09	$70.61	$70.00	18.2%	6.3%	21.5%	13.8%	23.0%	2.3%	0.1%	1.5M	7.9M	-782.5K	0.98	33.73	N/A	N/A	1,153	1,131	43,418	38,878
2014-06-10	$70.03	$70.00	18.1%	6.5%	20.7%	12.8%	23.3%	3.5%	-0.2%	579.1K	20.5M	-784.5K	0.37	28.75	N/A	N/A	1,260	463	44,004	39,233
2014-06-11	$70.46	$70.00	17.6%	6.4%	20.7%	9.2%	20.3%	3.2%	0.3%	1.7M	9.6M	-793.2K	2.41	36.96	N/A	N/A	720	1,738	44,963	39,208
2014-06-12	$70.89	$80.00	17.5%	6.3%	20.4%	7.8%	21.9%	2.5%	0.8%	2.4M	-1.5M	-841.6K	0.85	45.78	N/A	N/A	1,018	867	45,260	40,480
2014-06-13	$71.45	$80.00	17.2%	6.3%	20.5%	5.6%	20.4%	2.7%	-0.7%	4.0M	-12.2M	-820.9K	0.48	35.48	N/A	N/A	1,341	647	45,700	40,899
2014-06-16	$70.90	$80.00	18.4%	6.4%	20.2%	15.3%	15.2%	3.3%	-0.6%	1.5M	4.4M	-819.6K	1.86	35.65	N/A	N/A	530	987	45,081	40,581
2014-06-17	$72.12	$80.00	17.3%	6.2%	19.3%	5.9%	22.3%	3.5%	0.8%	3.9M	-22.4M	-838.3K	0.85	28.94	N/A	N/A	2,357	1,996	45,292	40,670
2014-06-18	$72.28	$80.00	17.1%	6.2%	16.3%	4.8%	0.0%	3.3%	-0.1%	4.5M	-30.9M	-844.2K	0.83	53.28	N/A	N/A	1,157	956	46,312	41,225
2014-06-19	$71.73	$80.00	16.9%	6.4%	15.0%	2.9%	22.4%	3.3%	1.0%	3.5M	-11.2M	-842.1K	2.04	37.70	N/A	N/A	799	1,630	46,204	41,269
2014-06-20	$71.75	$80.00	17.0%	6.3%	13.6%	3.4%	24.3%	3.2%	1.3%	3.3M	-13.3M	-848.7K	1.05	43.25	N/A	N/A	480	505	46,493	42,295
2014-06-23	$72.19	$80.00	17.5%	6.4%	13.6%	7.8%	28.7%	3.1%	1.9%	1.8M	-19.4M	-831.2K	0.50	35.29	N/A	N/A	1,005	501	35,419	33,864
2014-06-24	$70.77	$80.00	18.4%	6.5%	15.0%	15.5%	22.6%	2.7%	1.2%	838.3K	475.1K	-822.1K	0.72	37.69	N/A	N/A	1,848	1,332	36,173	34,086
2014-06-25	$70.68	$77.50	18.2%	6.5%	14.9%	15.0%	26.2%	2.8%	2.1%	882.7K	3.6M	-835.7K	4.11	36.81	N/A	N/A	1,325	5,443	37,139	35,134
2014-06-26	$70.50	$77.50	18.6%	6.5%	14.6%	18.5%	23.1%	3.4%	1.9%	195.8K	9.0M	-851.6K	0.42	32.17	N/A	N/A	628	266	38,333	40,403
2014-06-27	$70.42	$77.50	18.4%	6.4%	14.5%	16.9%	25.3%	2.7%	2.3%	140.9K	10.4M	-845.7K	0.67	31.20	N/A	N/A	749	504	38,863	40,562
2014-06-30	$70.95	$77.50	19.9%	6.5%	14.8%	30.0%	23.1%	2.6%	-0.3%	56.8K	-4.3M	-836.3K	0.76	36.49	N/A	N/A	765	585	37,730	40,291