CME Options History — February 2015

In February 2015, CME traded between $87.08 and $96.50. ATM implied volatility averaged 19.8%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 4.0% (HV 20d: 23.8%). Max pain ranged from $85.00 to $87.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.73.

Notable Days

  • 2015-02-05: Highest Volume — 16,435 contracts
  • 2015-02-06: Largest IV drop — 14.0% change
  • 2015-02-04: Highest IV Rank — 73.2%
  • 2015-02-02: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.53$87.08$96.50$87.08$96.01
Max Pain$85.82$85.00$87.50$87.00$87.50
ATM IV19.8%17.4%24.8%23.9%17.7%
Expected Move5.6%4.9%6.9%6.9%5.0%
HV 20d23.8%19.1%27.1%22.9%19.2%
HV 60d20.1%18.4%20.6%18.4%20.6%
IV Rank39.3%23.2%73.2%67.3%25.4%
IV Percentile50.6%17.5%96.4%93.3%24.6%
Term Structure-0.2%-2.1%1.5%-1.1%0.1%
VWIV20.6%17.8%24.7%24.7%18.0%
Skew 25d4.1%2.9%7.8%3.3%2.9%
Skew 10d8.4%5.2%13.3%5.2%5.7%
Call IV 25d18.4%16.3%22.8%22.8%16.8%
Put IV 25d22.5%19.8%27.7%26.0%19.8%
Bid-Ask Spread %29.8020.2444.6444.1133.26
Gamma HHI0.190.140.250.210.14
Net GEX12.2M5.2M18.8M5.2M18.8M
Net DEX-169.3M-223.8M-53.3M-53.3M-201.6M
Net VEX-750.7K-817.4K-658.7K-658.7K-783.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.411.500.481.08
Total Volume8,269.89590116,4351,0788,161
Total OI58,457.36847,63164,57447,63164,574

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$87.08$87.0023.9%6.9%22.9%67.3%24.7%3.3%-1.1%5.2M-53.3M-658.7K0.4844.11N/AN/A73034831,60716,024
2015-02-03$87.27$87.0022.6%6.8%22.8%58.3%23.8%5.2%-1.6%5.4M-60.3M-661.6K1.5044.64N/AN/A2,2163,32032,34516,268
2015-02-04$89.18$86.5024.8%6.7%23.5%73.2%23.2%7.8%-2.1%6.5M-92.8M-675.1K0.5943.41N/AN/A5,2543,08432,58316,287
2015-02-05$90.86$85.0023.2%6.2%24.0%62.5%22.2%2.9%-1.3%7.4M-122.7M-703.2K0.4131.94N/AN/A11,6174,81834,49517,197
2015-02-06$94.22$85.0020.0%5.5%27.0%40.6%21.6%4.1%0.0%13.9M-211.9M-760.7K0.5230.10N/AN/A9,9135,19242,20019,501
2015-02-09$93.93$85.0020.7%5.5%27.1%45.6%20.2%4.6%-0.7%13.1M-185.4M-762.3K0.4825.69N/AN/A7,4603,56440,61718,381
2015-02-10$94.57$85.0019.3%5.5%26.5%35.8%21.6%4.5%-0.1%13.6M-193.4M-773.6K0.4825.76N/AN/A6,8253,27540,78519,063
2015-02-11$94.72$85.0020.0%5.7%26.2%40.8%21.3%3.3%-0.5%13.6M-203.2M-803.3K0.5226.09N/AN/A6,6193,41441,88319,617
2015-02-12$95.38$85.0019.0%5.5%23.9%33.9%20.5%3.5%-0.0%15.2M-223.8M-789.5K0.7124.75N/AN/A5,0373,55742,93019,714
2015-02-13$93.98$85.0019.2%5.4%24.9%35.2%20.9%3.7%-0.4%15.4M-186.8M-817.4K0.7820.24N/AN/A4,6223,58643,79020,159
2015-02-17$94.11$85.0019.0%5.4%24.9%34.3%20.4%4.0%0.4%14.2M-179.5M-790.2K0.7622.66N/AN/A4,0953,10042,36819,827
2015-02-18$93.72$85.0020.0%5.7%25.1%41.0%20.2%4.7%-0.8%13.9M-172.0M-782.4K0.7826.37N/AN/A4,0353,14642,33919,969
2015-02-19$94.18$87.5018.4%5.2%25.1%30.1%20.0%4.2%0.7%13.5M-171.0M-758.6K0.8123.12N/AN/A49940241,28919,953
2015-02-20$94.25$87.5017.5%4.9%22.5%24.0%17.8%5.3%1.5%11.3M-169.9M-749.7K0.4723.96N/AN/A1,65578641,33820,076
2015-02-23$94.88$85.0017.8%5.3%22.5%26.1%18.7%3.4%0.7%10.3M-170.4M-734.0K0.8034.75N/AN/A4,0353,24336,59618,146
2015-02-24$96.21$85.0017.4%5.0%22.8%23.2%18.4%3.2%0.4%11.2M-205.8M-727.3K0.6731.19N/AN/A6,7154,48437,53418,417
2015-02-25$96.50$85.0017.5%4.9%21.5%23.8%19.0%3.7%-0.1%14.0M-213.5M-752.4K1.0928.62N/AN/A4,5945,00740,45619,497
2015-02-26$96.01$87.5017.7%5.1%19.1%25.0%18.7%3.2%0.5%14.9M-199.4M-779.7K1.0125.46N/AN/A4,3414,37942,29320,572
2015-02-27$96.01$87.5017.7%5.0%19.2%25.4%18.0%2.9%0.1%18.8M-201.6M-783.7K1.0833.26N/AN/A3,9304,23143,26921,305