CME Options History — March 2015 In March 2015, CME traded between $94.27 and $100.06. ATM implied volatility averaged 18.6%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 0.9% (HV 20d: 17.7%). Max pain ranged from $87.50 to $97.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.63.
Notable Days 2015-03-05 : Highest Volume — 31,818 contracts2015-03-10 : Largest IV spike — 7.6% change2015-03-31 : Highest IV Rank — 47.6%2015-03-26 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $96.97 $94.27 $100.06 $97.10 $94.83 Max Pain $94.11 $87.50 $97.50 $87.50 $95.00 ATM IV 18.6% 16.9% 21.0% 17.3% 21.0% Expected Move 5.3% 4.9% 5.5% 5.0% 5.4% HV 20d 17.7% 12.7% 21.8% 18.3% 21.6% HV 60d 20.7% 20.1% 21.5% 20.6% 21.0% IV Rank 31.2% 20.1% 47.6% 22.8% 47.6% IV Percentile 40.0% 12.7% 71.4% 17.1% 71.4% Term Structure 0.4% -0.7% 2.2% 0.2% -0.5% VWIV 19.0% 17.7% 20.8% 17.7% 20.7% Skew 25d 2.6% 1.8% 3.3% 3.0% 3.2% Skew 10d 5.8% 3.6% 8.0% 5.2% 7.6% Call IV 25d 18.2% 16.6% 20.8% 16.6% 20.8% Put IV 25d 20.7% 18.7% 24.1% 19.5% 24.1% Bid-Ask Spread % 32.04 25.30 48.00 35.62 34.44 Gamma HHI 0.13 0.09 0.38 0.15 0.09 Net GEX 12.0M 5.4M 25.4M 13.0M 6.0M Net DEX -146.9M -221.7M -63.2M -216.0M -70.5M Net VEX -780.0K -818.1K -739.3K -739.3K -760.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.14 1.82 1.11 0.69 Total Volume 7,338.591 1,674 31,818 7,444 9,852 Total OI 62,148.318 54,671 68,778 63,006 58,651
Daily Data (22 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 2015-03-02 $97.10 $87.50 17.3% 5.0% 18.3% 22.8% 17.7% 3.0% 0.2% 13.0M -216.0M -739.3K 1.11 35.62 N/A N/A 3,534 3,910 41,992 21,014 2015-03-03 $97.05 $87.50 17.2% 4.9% 17.6% 22.1% 17.9% 2.7% -0.7% 13.8M -221.7M -746.7K 1.09 30.52 N/A N/A 3,801 4,151 42,919 21,237 2015-03-04 $96.38 $87.50 17.7% 5.1% 18.1% 25.5% 17.7% 2.6% -0.1% 13.6M -209.2M -788.0K 0.36 28.11 N/A N/A 11,205 4,046 43,618 21,939 2015-03-05 $96.84 $95.00 16.9% 4.9% 17.0% 20.1% 18.1% 1.8% 0.1% 15.9M -215.6M -758.8K 0.14 28.14 N/A N/A 27,878 3,940 44,433 22,402 2015-03-06 $95.34 $95.00 18.2% 5.4% 17.4% 28.8% 18.7% 2.8% -0.5% 10.2M -118.4M -773.8K 0.44 25.89 N/A N/A 10,096 4,444 37,914 22,652 2015-03-09 $96.57 $95.00 17.8% 5.0% 12.7% 26.2% 18.8% 2.5% -0.3% 12.4M -128.1M -774.2K 0.80 26.30 N/A N/A 1,220 980 37,183 23,052 2015-03-10 $95.30 $95.00 19.2% 5.5% 13.6% 35.3% 19.2% 2.4% 0.1% 10.2M -106.9M -775.3K 1.82 29.75 N/A N/A 594 1,080 37,485 23,368 2015-03-11 $96.29 $95.00 18.2% 5.2% 13.9% 28.7% 18.5% 2.6% 0.1% 12.0M -120.3M -774.0K 0.61 25.40 N/A N/A 1,404 863 37,766 23,833 2015-03-12 $97.33 $95.00 18.1% 5.2% 14.3% 28.1% 18.2% 2.2% -0.1% 15.8M -154.2M -786.4K 0.75 27.98 N/A N/A 2,891 2,169 38,714 24,507 2015-03-13 $96.83 $95.00 18.3% 5.2% 14.4% 29.1% 18.8% 3.1% -0.4% 14.2M -139.1M -785.5K 0.24 25.30 N/A N/A 1,817 443 38,998 26,022 2015-03-16 $100.06 $95.00 19.1% 5.5% 17.2% 34.4% 19.8% 3.3% -0.6% 14.6M -211.8M -751.6K 0.22 30.90 N/A N/A 11,667 2,532 37,936 25,278 2015-03-17 $99.75 $95.00 18.9% 5.4% 17.3% 33.4% 19.0% 2.9% 0.2% 14.7M -201.6M -796.2K 0.42 34.41 N/A N/A 2,897 1,215 39,634 26,069 2015-03-18 $98.99 $95.00 18.6% 5.3% 17.6% 31.1% 18.9% 1.8% 0.8% 13.2M -183.0M -813.3K 0.50 33.05 N/A N/A 1,945 970 39,584 26,956 2015-03-19 $99.67 $97.50 18.6% 5.3% 17.6% 31.6% 19.4% 2.4% 0.6% 16.1M -198.1M -818.1K 0.26 36.43 N/A N/A 2,171 559 40,514 27,636 2015-03-20 $99.75 $95.00 17.8% 5.1% 17.6% 26.3% 18.1% 2.1% 0.2% 25.4M -199.8M -817.3K 1.08 36.44 N/A N/A 1,075 1,166 40,870 27,908 2015-03-23 $98.75 $95.00 18.1% 5.2% 18.1% 28.2% 18.8% 2.8% 1.9% 10.8M -147.2M -806.5K 0.51 48.00 N/A N/A 1,724 873 35,665 19,006 2015-03-24 $97.34 $95.00 18.1% 5.2% 18.4% 28.3% 19.0% 2.1% 2.2% 9.9M -116.9M -810.9K 0.72 35.41 N/A N/A 1,106 796 36,774 19,752 2015-03-25 $94.27 $95.50 19.3% 5.5% 21.7% 36.0% 20.5% 2.0% 1.7% 5.7M -63.4M -762.7K 0.47 31.57 N/A N/A 3,337 1,569 37,151 20,404 2015-03-26 $94.85 $95.00 19.7% 5.5% 21.8% 38.7% 20.8% 2.8% 2.1% 5.8M -70.5M -785.4K 0.56 35.05 N/A N/A 8,033 4,485 37,599 21,409 2015-03-27 $94.66 $95.00 19.8% 5.5% 21.8% 39.3% 19.9% 2.4% 2.0% 5.4M -63.2M -772.6K 0.41 33.29 N/A N/A 1,425 585 38,038 21,504 2015-03-30 $95.28 $95.00 20.6% 5.4% 21.5% 45.0% 20.3% 2.9% -0.4% 6.1M -77.4M -762.6K 0.60 32.92 N/A N/A 6,865 4,136 37,139 20,738 2015-03-31 $94.83 $95.00 21.0% 5.4% 21.6% 47.6% 20.7% 3.2% -0.5% 6.0M -70.5M -760.2K 0.69 34.44 N/A N/A 5,829 4,023 37,795 20,856
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