CME Options History — January 2015

In January 2015, CME traded between $84.89 and $88.88. ATM implied volatility averaged 23.0%, placing in the 60.8% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 2.9% (HV 20d: 20.0%). Max pain ranged from $85.00 to $92.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.61.

Notable Days

  • 2015-01-02: Highest Volume — 9,080 contracts
  • 2015-01-05: Largest IV spike — 9.5% change
  • 2015-01-15: Highest IV Rank — 74.6%
  • 2015-01-14: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.03$84.89$88.88$88.13$85.22
Max Pain$87.17$85.00$92.50$92.50$87.50
ATM IV23.0%20.4%25.0%20.4%24.0%
Expected Move6.6%6.0%7.1%6.3%6.9%
HV 20d20.0%15.6%21.7%20.3%21.4%
HV 60d17.7%16.6%18.7%18.7%17.9%
IV Rank60.8%43.7%74.6%43.7%68.2%
IV Percentile85.0%65.1%96.4%65.1%93.7%
Term Structure-0.3%-1.6%2.3%2.0%1.5%
VWIV23.5%21.7%25.7%22.4%22.6%
Skew 25d4.2%2.6%6.2%4.8%4.1%
Skew 10d8.4%3.9%12.6%5.9%11.1%
Call IV 25d22.0%18.8%24.7%18.8%21.9%
Put IV 25d26.3%23.6%28.4%23.6%26.0%
Bid-Ask Spread %37.5824.4049.0537.4541.65
Gamma HHI0.190.130.470.140.21
Net GEX4.7M-5.0M19.5M4.3M4.3M
Net DEX-57.8M-85.9M-25.4M-64.9M-35.3M
Net VEX-688.0K-735.9K-647.9K-725.1K-648.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.211.280.411.13
Total Volume5,441.059059,0809,0806,332
Total OI58,623.6546,58169,91465,04250,036

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$88.13$92.5020.4%6.3%20.3%43.7%22.4%4.8%2.0%4.3M-64.9M-725.1K0.4137.45N/AN/A6,4472,63335,73829,304
2015-01-05$88.64$90.0022.4%6.7%20.3%56.7%23.4%5.3%-1.3%5.2M-77.9M-720.0K1.2830.98N/AN/A9081,16035,20128,302
2015-01-06$87.29$90.0023.8%6.6%20.3%66.7%23.3%3.8%-0.7%4.0M-59.9M-701.6K0.3936.78N/AN/A2,26187535,57228,456
2015-01-07$88.30$87.5023.9%6.6%20.7%66.9%22.7%6.2%-1.4%4.5M-65.8M-718.1K0.2125.71N/AN/A1,69135336,63029,137
2015-01-08$88.59$87.5022.7%6.3%20.6%59.2%22.1%3.1%-0.5%5.9M-85.9M-735.9K0.5443.32N/AN/A4,6672,50137,65929,586
2015-01-09$88.88$87.5022.4%6.1%20.6%57.2%21.7%4.4%-0.2%5.5M-84.8M-725.1K0.4924.40N/AN/A4,6712,27938,28229,440
2015-01-12$87.69$87.5023.3%6.4%20.9%63.3%23.2%2.7%-0.5%5.0M-71.3M-721.5K0.5334.38N/AN/A4,1262,19338,56529,017
2015-01-13$87.05$87.5023.9%6.5%20.4%67.2%23.4%2.6%-0.7%4.1M-63.6M-700.4K0.5640.60N/AN/A3,9292,19538,99129,263
2015-01-14$84.96$87.5024.7%7.1%21.7%72.5%25.3%4.1%0.2%1.9M-25.4M-670.7K0.5939.62N/AN/A5,6153,33539,03429,331
2015-01-15$84.89$87.5025.0%7.1%21.5%74.6%24.3%2.9%-0.3%1.5M-28.1M-673.6K0.4433.30N/AN/A5,8722,60540,00229,912
2015-01-16$85.04$85.0023.9%6.6%18.3%67.2%23.8%5.0%-1.6%-5.0M-26.7M-659.2K0.4740.45N/AN/A3,5221,66240,15429,492
2015-01-20$85.55$85.0024.8%7.1%15.8%73.2%24.6%5.3%-1.4%3.7M-43.0M-659.8K0.5133.03N/AN/A1,42172331,68014,901
2015-01-21$85.55$85.0023.1%6.6%15.6%61.9%24.0%4.1%-1.0%3.6M-38.4M-647.9K0.4337.64N/AN/A1,43962331,77715,016
2015-01-22$88.56$85.0021.5%6.2%20.6%51.0%24.7%5.4%0.4%5.6M-81.5M-691.5K0.6538.60N/AN/A5,4273,54732,46115,496
2015-01-23$88.56$85.0020.7%6.0%20.6%45.7%24.2%3.9%-0.6%19.5M-84.6M-699.4K0.6344.72N/AN/A5,4233,40233,90316,291
2015-01-26$88.79$85.0020.9%6.2%19.0%46.7%22.4%4.8%1.6%6.1M-77.2M-679.2K0.5539.23N/AN/A96552932,02115,271
2015-01-27$87.37$86.0021.8%6.5%19.7%52.9%23.1%3.4%-1.6%5.3M-61.3M-680.9K0.5449.05N/AN/A58831732,49215,754
2015-01-28$85.34$87.5023.0%6.6%21.2%60.9%22.6%3.2%-1.4%4.1M-40.4M-653.0K1.0545.04N/AN/A2,9453,09732,97415,918
2015-01-29$86.15$87.5023.0%7.0%21.6%60.9%25.7%5.7%2.3%4.2M-40.6M-649.1K0.8835.71N/AN/A3,4833,06033,18016,234
2015-01-30$85.22$87.5024.0%6.9%21.4%68.2%22.6%4.1%1.5%4.3M-35.3M-648.5K1.1341.65N/AN/A2,9693,36333,73216,304