CME Options History — September 2014

In September 2014, CME traded between $75.68 and $82.96. ATM implied volatility averaged 16.4%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 3.7% (HV 20d: 12.7%). Max pain ranged from $62.50 to $75.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2014-09-05: Highest Volume — 21,553 contracts
  • 2014-09-29: Largest IV spike — 8.9% change
  • 2014-09-30: Highest IV Rank — 47.9%
  • 2014-09-23: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.08$75.68$82.96$76.75$79.96
Max Pain$68.69$62.50$75.00$75.00$72.50
ATM IV16.4%14.4%20.2%14.7%20.2%
Expected Move5.5%5.2%5.9%5.3%5.8%
HV 20d12.7%6.8%20.0%7.7%20.0%
HV 60d14.3%13.2%16.1%13.6%15.8%
IV Rank18.6%3.0%47.9%5.9%47.9%
IV Percentile12.2%1.2%53.6%2.8%53.6%
Term Structure0.4%-0.6%2.3%0.4%0.8%
VWIV19.9%17.4%25.5%19.3%19.9%
Skew 25d3.1%1.9%5.0%2.6%3.1%
Skew 10d6.9%5.1%9.4%5.1%7.4%
Call IV 25d15.4%13.6%19.3%14.0%19.3%
Put IV 25d18.5%16.3%22.7%16.6%22.4%
Bid-Ask Spread %69.0151.2185.8361.5876.44
Gamma HHI0.150.080.250.190.09
Net GEX6.8M3.1M10.8M10.6M4.1M
Net DEX-119.7M-215.1M-51.8M-130.5M-96.7M
Net VEX-724.6K-837.4K-656.0K-656.0K-837.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.072.961.010.77
Total Volume5,196.95271921,5531,598719
Total OI85,422.09578,161105,96985,67083,215

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$76.75$75.0014.7%5.3%7.7%5.9%19.3%2.6%0.4%10.6M-130.5M-656.0K1.0161.58N/AN/A79580346,07039,600
2014-09-03$76.52$75.0014.4%5.3%7.2%3.0%18.5%3.1%0.8%10.7M-125.4M-658.6K0.2879.91N/AN/A2,52070746,20239,823
2014-09-04$76.61$75.0014.6%5.7%7.1%5.0%19.3%2.8%0.8%10.8M-127.6M-659.8K0.9485.83N/AN/A2,9092,74646,93040,183
2014-09-05$76.45$75.0014.6%5.4%6.8%5.1%19.3%3.0%0.2%9.9M-113.6M-682.7K0.0767.86N/AN/A20,1761,37746,83941,657
2014-09-08$75.94$75.0015.3%5.5%7.5%10.1%25.5%1.9%0.8%6.2M-52.7M-667.8K0.2551.21N/AN/A1,75944438,30341,905
2014-09-09$75.68$62.5015.2%5.6%7.7%9.8%24.2%2.4%0.7%5.9M-51.8M-662.0K0.4257.10N/AN/A80033539,03242,167
2014-09-10$76.01$62.5015.4%5.7%7.7%10.8%17.4%2.7%0.8%7.1M-57.2M-662.3K0.4274.21N/AN/A1,17548839,11542,201
2014-09-11$77.52$62.5014.6%5.5%9.9%5.1%19.9%2.8%0.9%9.4M-95.7M-668.4K0.6468.53N/AN/A1,9021,22439,81042,333
2014-09-12$79.33$62.5015.7%5.3%12.2%13.0%19.5%3.0%-0.2%8.7M-136.5M-660.8K1.0054.85N/AN/A5,0054,99440,44442,924
2014-09-15$79.82$62.5016.3%5.3%12.0%17.6%19.0%4.2%0.6%7.1M-148.2M-704.3K0.2282.44N/AN/A4,28593042,09146,250
2014-09-16$79.87$62.5017.1%5.4%12.0%23.6%19.2%3.5%-0.6%7.4M-152.6M-718.5K2.9176.74N/AN/A1,3143,81943,45246,750
2014-09-17$80.69$62.5017.0%5.2%11.8%22.9%19.3%3.8%-0.4%5.1M-159.7M-729.4K0.2576.33N/AN/A3,93599044,03450,244
2014-09-18$82.96$62.5016.6%5.5%14.3%20.2%18.8%2.3%-0.3%4.3M-214.3M-683.3K0.2579.23N/AN/A15,6623,98345,03350,263
2014-09-19$82.84$70.0016.7%5.5%14.6%20.7%18.3%2.6%-0.5%6.7M-215.1M-790.4K0.7364.01N/AN/A2,3991,75453,03652,933
2014-09-22$82.57$70.0016.2%5.4%14.9%16.9%20.1%2.8%0.5%6.5M-148.1M-779.8K0.2174.39N/AN/A1,64535145,19132,970
2014-09-23$81.13$70.0017.0%5.9%16.7%23.2%19.0%2.4%-0.1%4.9M-126.8M-757.4K2.9680.75N/AN/A8142,40845,52033,044
2014-09-24$81.28$70.0017.2%5.4%16.5%24.6%18.0%3.0%0.3%4.4M-115.7M-794.2K0.9856.71N/AN/A1,3971,36845,58933,365
2014-09-25$79.20$70.0018.4%5.7%19.5%34.2%20.3%3.3%-0.1%3.1M-75.1M-803.7K0.8257.26N/AN/A2,7332,25046,29633,810
2014-09-26$80.03$72.5017.8%5.8%19.7%29.8%25.5%5.0%0.7%7.4M-89.8M-821.4K0.4760.22N/AN/A3,5321,65747,89034,422
2014-09-29$79.50$72.5019.4%5.7%20.0%42.0%18.1%4.5%2.3%3.6M-81.2M-819.1K0.6763.69N/AN/A61841448,15234,776
2014-09-30$79.96$72.5020.2%5.8%20.0%47.9%19.9%3.1%0.8%4.1M-96.7M-837.4K0.7776.44N/AN/A40731248,38334,832