CME Options History — April 2015

In April 2015, CME traded between $88.80 and $94.39. ATM implied volatility averaged 21.3%, placing in the 49.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 3.2% (HV 20d: 18.2%). Max pain ranged from $90.00 to $95.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2015-04-07: Highest Volume — 13,888 contracts
  • 2015-04-30: Largest IV drop — 7.9% change
  • 2015-04-07: Highest IV Rank — 57.5%
  • 2015-04-27: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.96$88.80$94.39$94.39$90.98
Max Pain$91.79$90.00$95.00$95.00$90.50
ATM IV21.3%18.2%22.5%21.7%18.2%
Expected Move6.2%5.4%6.8%5.4%5.4%
HV 20d18.2%14.0%21.9%21.5%16.6%
HV 60d20.4%18.7%21.3%21.0%19.1%
IV Rank49.9%28.9%57.5%52.6%28.9%
IV Percentile74.7%34.9%84.1%79.8%34.9%
Term Structure-0.3%-1.5%1.7%-0.5%1.7%
VWIV22.8%19.5%25.9%19.5%19.7%
Skew 25d3.2%2.3%4.1%2.7%2.9%
Skew 10d6.5%4.7%8.6%5.7%5.6%
Call IV 25d20.6%17.5%22.1%21.5%17.5%
Put IV 25d23.8%20.4%24.9%24.2%20.4%
Bid-Ask Spread %28.3917.5146.0434.5135.28
Gamma HHI0.080.080.110.080.11
Net GEX2.7M-95.5K5.4M5.4M4.8M
Net DEX-27.1M-63.9M-8.2M-63.9M-48.8M
Net VEX-684.1K-749.1K-642.0K-749.1K-691.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.460.940.690.69
Total Volume9,379.4292,54713,8889,53611,708
Total OI59,971.28655,46264,50758,89060,194

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$94.39$95.0021.7%5.4%21.5%52.6%19.5%2.7%-0.5%5.4M-63.9M-749.1K0.6934.51N/AN/A5,6443,89237,89720,993
2015-04-02$92.99$95.0022.4%6.2%21.9%57.1%22.6%2.4%-1.0%3.0M-38.3M-723.8K0.6825.70N/AN/A6,0264,10038,08221,732
2015-04-06$92.08$95.0022.4%6.2%21.6%57.0%24.2%2.3%-0.5%2.8M-30.0M-701.5K0.6129.16N/AN/A6,5183,96437,34121,555
2015-04-07$90.65$95.0022.5%6.4%21.4%57.5%23.1%3.1%0.3%2.3M-9.5M-673.1K0.4623.51N/AN/A9,5064,38237,90922,112
2015-04-08$90.36$92.5022.3%6.3%21.0%56.5%25.9%2.3%-0.3%2.5M-9.3M-683.7K0.6726.71N/AN/A1,5281,01939,02822,963
2015-04-09$90.86$92.5021.8%6.3%20.7%52.8%22.6%3.5%0.4%2.3M-12.3M-670.8K0.6022.89N/AN/A7,0934,28539,22023,778
2015-04-10$92.38$92.5021.1%6.0%21.3%47.9%23.0%3.3%-0.4%4.0M-37.7M-707.0K0.7824.19N/AN/A6,7435,25339,82324,085
2015-04-13$92.06$92.5021.6%6.1%21.3%51.5%22.9%3.4%-0.2%3.5M-44.7M-698.9K0.9017.51N/AN/A4,7504,26236,45424,132
2015-04-14$91.14$92.5022.1%6.3%16.8%55.2%24.8%3.4%-1.5%2.8M-31.1M-701.7K0.8020.42N/AN/A5,0324,03737,13124,891
2015-04-15$91.06$92.5021.5%6.2%16.9%51.0%22.3%3.3%-1.0%2.5M-28.7M-681.1K0.8318.36N/AN/A5,0794,19137,18324,992
2015-04-16$91.54$90.0020.3%5.8%17.2%43.2%21.3%3.4%0.3%3.0M-38.0M-688.2K0.9418.80N/AN/A4,6924,42937,74625,392
2015-04-17$89.93$90.0021.5%6.2%17.4%50.7%22.6%4.0%-1.3%-95.5K-8.2M-671.4K0.7820.02N/AN/A5,9884,66738,51025,997
2015-04-20$90.90$90.0021.0%6.1%18.2%47.3%22.9%3.0%-0.5%2.3M-27.3M-664.7K0.9339.21N/AN/A4,4804,17431,27324,189
2015-04-21$90.33$90.0021.1%6.2%18.1%48.3%22.5%3.0%-0.6%2.2M-23.7M-642.0K0.8831.76N/AN/A4,7254,16331,63224,473
2015-04-22$90.67$90.0021.2%6.3%17.9%48.8%22.0%3.3%-0.5%2.3M-27.0M-675.2K0.8330.96N/AN/A4,4863,73632,37624,902
2015-04-23$90.38$90.0021.1%6.4%14.4%48.5%22.2%2.6%-0.6%2.2M-23.7M-676.9K0.9428.97N/AN/A4,0653,81732,79925,197
2015-04-24$90.03$90.5021.4%6.4%14.0%50.1%21.9%3.9%-0.7%883.9K-16.4M-671.9K0.7934.86N/AN/A5,1314,03533,56725,453
2015-04-27$88.80$90.5022.0%6.8%14.6%54.6%24.1%3.7%-0.6%2.5M-13.2M-660.1K0.7532.67N/AN/A5,0753,80833,29924,101
2015-04-28$89.39$90.5021.3%6.7%14.6%49.5%24.8%3.5%-0.6%2.8M-18.3M-668.3K0.7034.63N/AN/A4,7193,31633,75424,548
2015-04-29$89.23$90.5019.8%6.7%14.6%39.5%24.1%4.1%0.8%2.9M-19.4M-666.7K0.8346.04N/AN/A4,6073,84333,91324,781
2015-04-30$90.98$90.5018.2%5.4%16.6%28.9%19.7%2.9%1.7%4.8M-48.8M-691.1K0.6935.28N/AN/A6,9334,77534,68425,510