CME Options History — November 2014

In November 2014, CME traded between $83.14 and $86.30. ATM implied volatility averaged 18.5%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 1.0% (HV 20d: 17.5%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.47.

Notable Days

  • 2014-11-03: Highest Volume — 15,379 contracts
  • 2014-11-28: Largest IV drop — 24.4% change
  • 2014-11-26: Highest IV Rank — 51.3%
  • 2014-11-07: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.68$83.14$86.30$84.81$84.64
Max Pain$76.71$75.00$80.00$75.00$80.00
ATM IV18.5%16.3%21.6%18.7%16.3%
Expected Move5.6%5.0%5.9%5.3%5.4%
HV 20d17.5%13.5%24.8%24.8%13.8%
HV 60d18.9%18.7%19.1%18.7%19.1%
IV Rank30.7%15.8%51.3%31.7%15.8%
IV Percentile31.9%8.3%74.6%32.1%8.3%
Term Structure-0.1%-2.6%3.3%-0.6%-1.1%
VWIV20.7%18.8%22.8%20.5%19.0%
Skew 25d3.8%2.5%7.1%4.0%4.8%
Skew 10d7.1%1.2%11.9%8.8%7.4%
Call IV 25d17.2%16.0%18.4%17.0%17.0%
Put IV 25d20.9%19.7%24.1%21.0%21.8%
Bid-Ask Spread %62.4456.0472.2168.8267.49
Gamma HHI0.160.150.170.170.17
Net GEX12.4M9.8M14.0M13.8M12.5M
Net DEX-202.2M-260.9M-150.7M-206.6M-186.2M
Net VEX-728.5K-808.8K-650.1K-650.1K-669.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.161.350.250.16
Total Volume5,95691315,37915,3791,184
Total OI81,98775,57785,70075,57781,960

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$84.81$75.0018.7%5.3%24.8%31.7%20.5%4.0%-0.6%13.8M-206.6M-650.1K0.2568.82N/AN/A12,2843,09547,96227,615
2014-11-04$85.30$75.0018.9%5.4%23.4%33.2%18.9%3.1%0.1%14.0M-232.7M-763.1K0.2961.66N/AN/A9,3922,75953,68228,096
2014-11-05$85.81$75.0018.5%5.5%22.8%30.5%20.8%3.4%0.1%14.0M-248.0M-793.3K0.4364.64N/AN/A7,1203,05555,47728,368
2014-11-06$86.30$75.0017.9%5.0%22.8%26.6%22.8%3.9%0.5%13.3M-260.9M-801.8K0.4061.04N/AN/A5,5712,22155,83229,098
2014-11-07$85.54$75.0018.7%5.9%23.0%31.9%21.2%2.9%1.0%12.2M-247.6M-808.8K0.4361.45N/AN/A5,0192,13656,50229,198
2014-11-10$85.92$75.0018.6%5.6%17.0%31.6%22.6%4.0%-0.0%12.7M-228.5M-781.8K0.5063.26N/AN/A3,6031,81353,87127,675
2014-11-11$86.22$75.0018.8%5.6%16.8%32.8%22.2%3.4%0.3%13.2M-245.2M-723.8K0.4556.04N/AN/A3,8571,72953,25627,553
2014-11-12$85.61$75.0018.7%5.8%16.6%31.8%21.1%2.9%-1.1%13.0M-225.3M-775.7K0.4856.23N/AN/A3,9981,90054,17527,954
2014-11-13$85.10$75.0018.4%5.7%16.8%30.3%21.5%2.5%-1.0%13.5M-225.0M-747.0K0.5956.84N/AN/A3,5762,12454,77828,060
2014-11-14$84.82$75.0017.7%5.6%16.1%25.2%19.9%2.5%-0.3%13.1M-214.4M-754.5K0.3061.56N/AN/A1,77953055,38028,300
2014-11-17$84.10$77.5017.4%5.7%16.2%23.6%20.3%4.0%3.3%12.6M-191.1M-706.5K0.4758.44N/AN/A3,5411,67054,51028,193
2014-11-18$83.70$77.5018.5%5.7%16.3%30.8%19.5%3.6%0.1%12.4M-174.0M-745.6K0.6462.69N/AN/A2,8471,82954,78728,269
2014-11-19$83.78$77.5017.6%5.6%16.1%24.4%18.8%4.8%2.1%12.5M-170.6M-737.1K0.3371.64N/AN/A1,02733554,83128,607
2014-11-20$83.56$77.5019.3%5.7%14.8%36.2%21.7%5.0%-0.5%11.3M-160.1M-710.4K0.7158.91N/AN/A2,8412,02952,97028,097
2014-11-21$83.14$77.5018.7%5.7%14.1%32.0%20.7%3.6%-0.1%10.7M-150.7M-661.8K0.4860.74N/AN/A5,3242,56253,33728,572
2014-11-24$83.36$80.0017.9%5.6%14.1%26.8%19.9%3.4%-0.8%9.8M-152.6M-657.8K0.3561.58N/AN/A1,85564652,10527,013
2014-11-25$83.47$80.0019.5%5.6%13.7%37.7%21.4%7.1%-1.5%10.4M-157.7M-661.4K0.3461.09N/AN/A5,2131,78752,79627,354
2014-11-26$83.69$80.0021.6%5.5%13.5%51.3%19.7%3.1%-2.6%11.5M-164.0M-692.2K1.3572.21N/AN/A38852553,97827,542
2014-11-28$84.64$80.0016.3%5.4%13.8%15.8%19.0%4.8%-1.1%12.5M-186.2M-669.6K0.1667.49N/AN/A1,01716754,11327,847