CME Options History — July 2014 In July 2014, CME traded between $70.13 and $75.83. ATM implied volatility averaged 20.0%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 4.2% (HV 20d: 15.8%). Max pain ranged from $70.00 to $77.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.90.
Notable Days 2014-07-31 : Highest Volume — 5,051 contracts2014-07-18 : Largest IV drop — 11.2% change2014-07-10 : Highest IV Rank — 46.4%2014-07-18 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $72.76 $70.13 $75.83 $70.99 $73.94 Max Pain $75.12 $70.00 $77.50 $77.50 $72.50 ATM IV 20.0% 18.1% 21.7% 20.0% 18.1% Expected Move 6.2% 5.7% 6.5% 6.4% 5.7% HV 20d 15.8% 13.5% 18.7% 14.0% 18.7% HV 60d 18.8% 18.0% 21.2% 21.2% 18.8% IV Rank 31.1% 14.1% 46.4% 30.7% 14.1% IV Percentile 33.4% 10.3% 56.3% 32.5% 10.3% Term Structure -0.1% -1.1% 1.7% -0.4% 0.9% VWIV 23.2% 16.4% 33.1% 33.1% 22.6% Skew 25d 2.9% 0.3% 4.3% 2.1% 2.2% Skew 10d 6.2% 3.2% 9.6% 5.5% 4.0% Call IV 25d 19.0% 17.7% 22.1% 19.6% 18.2% Put IV 25d 21.8% 20.2% 23.4% 21.8% 20.4% Bid-Ask Spread % 48.37 30.82 92.29 30.82 56.65 Gamma HHI 0.14 0.10 0.20 0.12 0.10 Net GEX 3.6M -484.2K 6.8M 98.5K 5.6M Net DEX -39.6M -103.1M 14.7M -2.1M -56.8M Net VEX -786.7K -838.3K -743.1K -838.3K -793.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.90 0.17 2.71 1.92 1.66 Total Volume 2,124 609 5,051 741 5,051 Total OI 77,920.682 70,876 81,125 79,539 79,837
Daily Data (22 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 2014-07-01 $70.99 $77.50 20.0% 6.4% 14.0% 30.7% 33.1% 2.1% -0.4% 98.5K -2.1M -838.3K 1.92 30.82 N/A N/A 254 487 38,467 41,072 2014-07-02 $71.06 $77.50 19.8% 6.4% 13.5% 29.3% 0.0% 3.6% -0.3% 308.9K -1.8M -831.6K 1.92 36.14 N/A N/A 368 706 38,630 41,391 2014-07-03 $72.36 $77.50 19.3% 6.3% 14.2% 24.6% 22.2% 4.3% -0.3% 786.5K -30.9M -831.6K 2.71 39.06 N/A N/A 514 1,395 38,920 41,474 2014-07-07 $72.14 $77.50 20.4% 6.3% 14.2% 34.3% 22.0% 2.2% -0.7% 2.5M -27.6M -804.3K 0.63 41.36 N/A N/A 422 267 38,185 40,154 2014-07-08 $71.05 $77.50 21.3% 6.4% 15.0% 43.0% 22.5% 2.1% 0.3% 1.2M -8.8M -808.8K 1.29 35.91 N/A N/A 1,089 1,404 38,449 40,226 2014-07-09 $71.58 $77.50 20.9% 6.4% 14.8% 38.9% 22.5% 3.0% -0.7% 496.7K -11.2M -815.1K 0.45 37.91 N/A N/A 759 345 38,992 41,429 2014-07-10 $70.13 $77.50 21.7% 6.4% 16.5% 46.4% 22.2% 0.3% -0.9% -484.2K 14.1M -791.9K 0.45 46.73 N/A N/A 562 253 39,388 41,614 2014-07-11 $70.49 $77.50 21.4% 6.5% 16.5% 43.2% 22.8% 3.2% -0.3% 2.3M 14.7M -782.5K 1.04 33.57 N/A N/A 368 382 39,337 41,788 2014-07-14 $71.28 $77.50 20.6% 6.4% 16.7% 36.4% 0.0% 3.3% 0.1% 2.4M -13.7M -779.7K 0.80 33.70 N/A N/A 666 530 38,900 40,483 2014-07-15 $71.28 $77.50 20.5% 6.4% 16.5% 35.1% 23.9% 3.2% 0.2% 2.8M -14.5M -774.4K 1.66 31.98 N/A N/A 229 380 39,265 40,376 2014-07-16 $71.02 $77.50 21.3% 6.2% 15.3% 42.8% 24.8% 2.7% 0.3% 2.4M -6.0M -764.4K 0.87 36.19 N/A N/A 371 324 39,335 40,632 2014-07-17 $71.13 $77.50 21.7% 6.4% 15.3% 46.3% 0.0% 2.5% -0.8% 2.6M -8.7M -743.1K 0.53 40.20 N/A N/A 953 506 39,175 40,329 2014-07-18 $72.46 $77.50 19.3% 6.5% 16.5% 24.5% 22.6% 4.2% 1.7% 6.1M -37.6M -767.3K 0.32 34.33 N/A N/A 3,515 1,139 39,409 40,534 2014-07-21 $73.38 $0.00 19.9% 6.2% 17.0% 29.8% 16.4% 4.3% -0.2% 4.6M -47.1M -756.4K 0.20 92.29 N/A N/A 1,601 328 38,096 32,780 2014-07-22 $74.57 $72.50 19.4% 5.9% 17.8% 25.8% 23.6% 4.0% -0.2% 5.5M -75.5M -756.1K 0.35 72.79 N/A N/A 3,078 1,070 39,032 33,002 2014-07-23 $74.88 $70.00 19.2% 6.1% 15.9% 23.9% 0.0% 3.6% -1.1% 6.3M -86.5M -778.0K 0.45 77.82 N/A N/A 1,545 697 40,724 33,869 2014-07-24 $75.36 $70.00 19.2% 5.8% 15.8% 24.1% 24.3% 2.2% -0.4% 6.8M -103.1M -770.6K 0.17 68.49 N/A N/A 2,438 426 41,534 34,061 2014-07-25 $75.05 $70.00 19.2% 5.8% 15.9% 24.1% 24.5% 2.2% -0.3% 6.6M -95.0M -789.9K 0.25 58.73 N/A N/A 3,083 761 42,302 34,342 2014-07-28 $75.14 $70.00 19.1% 5.8% 15.9% 23.1% 21.1% 2.5% 0.6% 6.1M -82.0M -781.7K 0.59 52.85 N/A N/A 718 427 40,701 34,248 2014-07-29 $75.50 $72.50 19.3% 5.8% 15.8% 24.5% 23.5% 2.0% 0.4% 6.6M -92.7M -754.8K 0.26 53.19 N/A N/A 2,069 528 41,066 34,394 2014-07-30 $75.83 $72.50 18.6% 5.9% 15.8% 18.7% 22.4% 3.1% 0.1% 6.7M -99.3M -793.0K 1.29 53.42 N/A N/A 2,060 2,660 41,885 34,428 2014-07-31 $73.94 $72.50 18.1% 5.7% 18.7% 14.1% 22.6% 2.2% 0.9% 5.6M -56.8M -793.1K 1.66 56.65 N/A N/A 1,899 3,152 43,290 36,547
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