CME Options History — October 2014 In October 2014, CME traded between $78.26 and $83.84. ATM implied volatility averaged 23.2%, placing in the 66.1% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 0.5% (HV 20d: 22.7%). Max pain ranged from $72.50 to $75.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.59.
Notable Days 2014-10-15 : Highest Volume — 15,584 contracts2014-10-21 : Largest IV drop — 8.6% change2014-10-15 : Highest IV Rank — 100.0%2014-10-15 : Largest Expected Move — 6.9%Monthly Statistics Metric Avg Min Max Open Close Price $80.65 $78.26 $83.84 $79.40 $83.84 Max Pain $72.83 $72.50 $75.00 $72.50 $75.00 ATM IV 23.2% 17.3% 28.7% 22.3% 17.3% Expected Move 6.1% 5.3% 6.9% 5.9% 5.4% HV 20d 22.7% 20.2% 25.4% 20.2% 24.6% HV 60d 17.0% 14.9% 18.6% 15.5% 18.6% IV Rank 66.1% 22.9% 100.0% 63.8% 22.9% IV Percentile 77.4% 15.1% 100.0% 76.6% 15.1% Term Structure -0.5% -2.8% 1.0% -1.4% 0.8% VWIV 21.4% 19.2% 23.4% 21.3% 20.0% Skew 25d 4.1% 2.7% 8.8% 2.7% 3.2% Skew 10d 8.7% 4.8% 16.9% 5.7% 8.2% Call IV 25d 21.7% 16.2% 26.5% 21.2% 16.2% Put IV 25d 25.8% 19.5% 32.7% 23.8% 19.5% Bid-Ask Spread % 60.06 51.88 71.85 61.89 68.36 Gamma HHI 0.10 0.08 0.12 0.09 0.12 Net GEX 6.3M 1.9M 10.5M 3.9M 10.5M Net DEX -115.9M -183.5M -59.1M -88.7M -183.5M Net VEX -746.7K -826.9K -638.8K -817.6K -638.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.59 0.27 1.41 0.45 0.27 Total Volume 5,984.435 952 15,584 2,046 11,650 Total OI 79,721.913 72,484 85,498 83,509 75,091
Daily Data (23 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 2014-10-01 $79.40 $72.50 22.3% 5.9% 20.2% 63.8% 21.3% 2.7% -1.4% 3.9M -88.7M -817.6K 0.45 61.89 N/A N/A 1,415 631 48,538 34,971 2014-10-02 $80.42 $72.50 22.7% 5.9% 20.6% 66.8% 20.3% 4.8% -1.2% 5.1M -116.5M -826.9K 0.79 52.61 N/A N/A 1,230 976 49,372 35,074 2014-10-03 $80.95 $72.50 21.5% 6.0% 20.5% 57.4% 20.2% 3.9% -0.6% 5.3M -131.6M -818.8K 0.42 55.31 N/A N/A 1,450 608 49,787 35,401 2014-10-06 $81.35 $72.50 21.7% 5.8% 20.2% 59.2% 20.0% 3.2% -0.2% 6.5M -140.2M -799.0K 0.28 54.22 N/A N/A 792 225 49,153 34,479 2014-10-07 $79.75 $72.50 22.8% 6.1% 21.8% 67.4% 20.8% 3.1% -0.6% 4.8M -104.1M -790.4K 0.34 57.43 N/A N/A 713 239 49,652 34,554 2014-10-08 $81.14 $72.50 22.3% 6.0% 22.4% 63.7% 21.7% 3.8% -0.5% 5.9M -129.8M -794.7K 0.66 58.59 N/A N/A 4,777 3,167 50,057 34,683 2014-10-09 $81.15 $72.50 23.8% 6.2% 21.5% 75.3% 23.4% 5.1% -1.2% 5.8M -134.4M -799.2K 0.70 56.82 N/A N/A 4,537 3,175 50,035 34,927 2014-10-10 $82.15 $72.50 24.5% 6.2% 20.5% 81.0% 22.8% 5.5% -1.3% 7.1M -156.5M -772.4K 0.38 56.56 N/A N/A 5,758 2,206 50,300 35,198 2014-10-13 $79.00 $72.50 26.5% 6.6% 25.0% 96.3% 22.1% 3.5% -1.7% 3.4M -85.2M -773.1K 0.53 62.96 N/A N/A 4,397 2,317 48,835 34,149 2014-10-14 $80.01 $72.50 26.1% 6.3% 25.4% 92.7% 22.7% 3.7% -1.2% 5.1M -105.3M -779.0K 0.44 63.61 N/A N/A 4,988 2,185 49,046 34,365 2014-10-15 $79.31 $72.50 28.1% 6.9% 25.3% 100.0% 22.5% 8.8% -0.8% 2.8M -75.5M -772.4K 1.08 63.34 N/A N/A 7,479 8,105 48,261 34,373 2014-10-16 $79.13 $72.50 28.7% 6.7% 22.9% 100.0% 23.2% 5.9% -2.8% 3.7M -80.7M -772.4K 1.41 60.93 N/A N/A 1,097 1,545 49,076 34,335 2014-10-17 $78.26 $72.50 26.3% 6.7% 23.1% 83.3% 23.3% 2.8% -0.4% 1.9M -59.1M -725.5K 1.04 57.04 N/A N/A 1,212 1,263 49,190 35,444 2014-10-20 $79.44 $72.50 25.7% 6.4% 24.0% 79.5% 20.6% 5.1% -0.0% 6.0M -84.8M -739.2K 0.53 54.92 N/A N/A 4,563 2,422 45,482 27,655 2014-10-21 $79.95 $72.50 23.5% 6.4% 23.4% 64.5% 20.6% 3.5% -0.4% 7.1M -99.6M -711.3K 0.64 61.65 N/A N/A 4,565 2,931 45,775 27,762 2014-10-22 $79.50 $72.50 23.5% 6.1% 23.5% 64.6% 22.5% 3.9% -1.1% 7.0M -94.3M -702.5K 0.52 57.97 N/A N/A 4,477 2,315 46,706 28,235 2014-10-23 $81.08 $72.50 22.8% 6.1% 22.6% 59.6% 20.7% 3.5% -0.5% 9.3M -126.4M -716.7K 0.55 63.89 N/A N/A 4,078 2,231 47,040 28,057 2014-10-24 $82.29 $72.50 21.1% 5.9% 22.9% 48.2% 21.8% 3.6% 0.8% 8.6M -152.4M -727.8K 0.54 51.88 N/A N/A 4,268 2,309 47,230 28,102 2014-10-27 $82.05 $72.50 21.8% 5.9% 22.8% 53.1% 21.3% 3.7% 1.0% 8.8M -138.5M -665.2K 0.55 59.01 N/A N/A 3,654 2,010 45,593 26,891 2014-10-28 $81.36 $72.50 21.6% 5.3% 23.0% 51.5% 20.5% 3.6% -0.2% 8.3M -125.3M -689.3K 0.54 61.48 N/A N/A 4,006 2,168 45,797 27,047 2014-10-29 $81.88 $75.00 20.0% 5.5% 22.9% 40.6% 19.2% 4.3% 0.4% 8.5M -130.4M -678.0K 0.48 71.85 N/A N/A 4,601 2,223 45,971 27,367 2014-10-30 $81.50 $75.00 18.3% 5.6% 22.6% 29.1% 20.7% 3.8% 1.0% 9.3M -122.6M -663.0K 0.48 69.02 N/A N/A 4,527 2,157 46,813 27,735 2014-10-31 $83.84 $75.00 17.3% 5.4% 24.6% 22.9% 20.0% 3.2% 0.8% 10.5M -183.5M -638.8K 0.27 68.36 N/A N/A 9,187 2,463 47,096 27,995
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