CME Options History — August 2014

In August 2014, CME traded between $73.21 and $76.58. ATM implied volatility averaged 16.7%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.4% (HV 20d: 13.3%). Max pain ranged from $72.50 to $75.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2014-08-21: Highest Volume — 8,970 contracts
  • 2014-08-21: Largest IV drop — 7.4% change
  • 2014-08-06: Highest IV Rank — 30.1%
  • 2014-08-13: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.37$73.21$76.58$74.18$76.55
Max Pain$74.64$72.50$75.00$72.50$75.00
ATM IV16.7%14.0%19.7%19.2%14.1%
Expected Move5.9%5.1%6.4%5.8%5.6%
HV 20d13.3%7.7%17.8%17.8%7.7%
HV 60d15.6%13.6%18.1%18.1%13.6%
IV Rank11.1%0.0%30.1%25.7%1.3%
IV Percentile9.6%0.0%32.5%24.6%0.4%
Term Structure0.7%0.0%1.3%1.2%0.5%
VWIV21.0%16.3%26.3%16.3%20.8%
Skew 25d3.2%2.1%4.2%3.5%2.8%
Skew 10d7.0%4.8%10.8%7.9%4.8%
Call IV 25d15.5%12.9%18.9%17.5%13.4%
Put IV 25d18.7%16.2%21.5%20.9%16.2%
Bid-Ask Spread %67.1645.6691.9291.9259.92
Gamma HHI0.160.130.210.140.19
Net GEX7.1M4.9M10.4M5.5M10.4M
Net DEX-66.3M-135.7M-34.6M-62.1M-135.7M
Net VEX-729.9K-804.7K-674.8K-804.7K-681.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.121.790.440.84
Total Volume2,014.9526438,9703,8772,021
Total OI82,006.04877,18387,62080,76887,620

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$74.18$72.5019.2%5.8%17.8%25.7%16.3%3.5%1.2%5.5M-62.1M-804.7K0.4491.92N/AN/A2,6901,18744,45936,309
2014-08-04$74.17$72.5019.1%6.1%17.7%24.5%19.9%2.1%0.5%5.9M-58.3M-800.4K0.4675.01N/AN/A62128444,09535,767
2014-08-05$73.65$72.5019.5%6.1%16.9%28.3%22.9%2.8%1.1%5.4M-43.5M-788.0K0.9164.27N/AN/A33730644,18135,903
2014-08-06$73.59$75.0019.7%6.2%16.8%30.1%21.9%4.2%1.1%5.5M-45.6M-802.5K0.4348.01N/AN/A97141944,33236,039
2014-08-07$73.22$75.0019.4%6.3%14.9%27.7%0.0%2.4%1.3%5.2M-34.6M-777.5K0.8962.39N/AN/A50344844,76136,252
2014-08-08$73.35$75.0019.0%6.3%14.9%23.3%26.3%3.7%0.7%4.9M-34.7M-772.8K0.1367.78N/AN/A1,52220344,94636,415
2014-08-11$73.37$75.0018.9%6.3%14.5%22.1%22.2%3.5%0.7%5.7M-39.2M-758.8K0.9845.66N/AN/A38437844,59235,953
2014-08-12$73.21$75.0018.2%6.2%14.5%15.6%0.0%3.4%0.1%5.7M-38.2M-721.6K0.2551.73N/AN/A67117044,70836,072
2014-08-13$73.54$75.0017.7%6.4%14.4%10.8%0.0%3.3%0.4%6.3M-39.9M-747.8K0.1263.07N/AN/A95511945,20536,114
2014-08-14$73.59$75.0016.8%6.1%14.4%2.4%0.0%3.3%0.0%6.7M-38.7M-713.8K0.5067.59N/AN/A63532045,21835,960
2014-08-15$73.36$75.0016.6%6.1%13.1%0.2%19.7%3.7%0.3%6.5M-42.8M-700.3K1.5275.76N/AN/A64798245,62835,195
2014-08-18$73.81$75.0015.4%5.6%12.5%0.0%20.2%3.5%1.0%5.7M-51.2M-700.9K0.4666.57N/AN/A78736042,47434,709
2014-08-19$73.51$75.0015.3%6.0%11.1%0.0%21.1%3.2%0.8%5.1M-40.9M-674.8K0.4367.67N/AN/A90639242,95334,921
2014-08-20$74.17$75.0015.7%5.5%11.5%3.8%21.4%2.8%0.8%7.0M-55.6M-677.6K0.4565.28N/AN/A63928943,14335,120
2014-08-21$74.64$75.0014.5%5.5%11.5%0.0%19.2%4.0%1.3%9.0M-69.8M-683.8K1.7974.13N/AN/A3,2165,75443,43835,284
2014-08-22$74.86$75.0014.0%5.5%11.4%0.0%23.3%3.5%1.3%8.9M-76.7M-720.4K0.3976.65N/AN/A2,26589045,81140,729
2014-08-25$75.65$75.0014.5%5.1%12.0%4.4%18.7%3.3%0.9%9.4M-104.3M-711.6K0.2478.05N/AN/A3,03971546,10540,235
2014-08-26$76.36$75.0014.7%5.6%12.4%5.5%0.0%2.5%0.6%10.2M-123.8M-700.4K0.4267.24N/AN/A2,5241,05446,56940,166
2014-08-27$76.46$75.0014.6%5.1%12.3%5.0%18.6%2.5%0.3%10.3M-124.6M-696.3K0.6168.69N/AN/A94857646,83640,365
2014-08-28$76.58$75.0014.1%5.6%7.7%1.4%23.0%3.0%0.3%10.4M-131.2M-692.6K0.6673.00N/AN/A71647147,20040,345
2014-08-29$76.55$75.0014.1%5.6%7.7%1.3%20.8%2.8%0.5%10.4M-135.7M-681.2K0.8459.92N/AN/A1,09892347,25040,370