CME Options History — May 2015

In May 2015, CME traded between $90.24 and $96.11. ATM implied volatility averaged 17.4%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 1.0% (HV 20d: 16.4%). Max pain ranged from $87.50 to $90.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2015-05-01: Highest Volume — 10,981 contracts
  • 2015-05-26: Largest IV spike — 5.7% change
  • 2015-05-06: Highest IV Rank — 30.7%
  • 2015-05-06: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.66$90.24$96.11$90.75$94.24
Max Pain$87.65$87.50$90.50$90.50$87.50
ATM IV17.4%16.5%18.5%17.8%17.1%
Expected Move5.1%4.7%5.5%5.3%4.9%
HV 20d16.4%14.5%17.7%15.9%14.8%
HV 60d17.7%16.6%18.6%18.6%17.7%
IV Rank23.4%17.4%30.7%25.7%21.1%
IV Percentile21.5%9.9%42.1%26.6%17.1%
Term Structure0.2%-0.2%0.8%-0.2%-0.2%
VWIV18.2%16.4%20.5%20.5%18.6%
Skew 25d2.9%2.3%4.0%2.5%2.3%
Skew 10d6.2%4.2%9.5%4.2%5.1%
Call IV 25d16.7%15.7%17.7%17.0%16.4%
Put IV 25d19.6%18.4%20.5%19.5%18.8%
Bid-Ask Spread %26.8422.2534.6229.7830.49
Gamma HHI0.130.080.390.090.12
Net GEX8.0M3.1M18.1M4.6M6.9M
Net DEX-100.1M-160.0M-41.3M-50.0M-95.6M
Net VEX-685.7K-726.3K-638.4K-690.1K-649.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.191.600.750.81
Total Volume6,462.7548810,98110,9816,723
Total OI61,395.4558,07267,24862,78360,712

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$90.75$90.5017.8%5.3%15.9%25.7%20.5%2.5%-0.2%4.6M-50.0M-690.1K0.7529.78N/AN/A6,2774,70436,16326,620
2015-05-04$90.82$87.5017.6%5.4%15.5%24.5%18.1%2.6%0.6%4.7M-53.3M-668.1K1.2123.56N/AN/A9271,12034,23923,833
2015-05-05$90.87$87.5017.7%5.4%14.5%25.4%17.9%3.0%0.2%4.1M-51.7M-687.8K0.9022.34N/AN/A3,5093,16234,26224,680
2015-05-06$90.24$87.5018.5%5.5%14.7%30.7%19.6%3.0%0.3%3.1M-41.3M-657.3K0.7524.59N/AN/A4,2993,24034,42824,683
2015-05-07$92.39$87.5017.9%5.3%16.8%26.9%18.8%2.8%0.3%6.7M-80.8M-684.8K0.9128.31N/AN/A5,2484,76534,46724,905
2015-05-08$94.37$87.5017.6%5.2%17.5%24.6%18.3%3.1%0.7%7.4M-125.0M-714.5K0.4625.30N/AN/A2,4071,11336,14326,509
2015-05-11$95.40$87.5017.7%5.2%17.7%25.1%17.8%3.1%0.3%9.5M-144.8M-695.3K0.1922.25N/AN/A4,87491235,78625,191
2015-05-12$95.10$87.5017.9%5.2%17.3%26.7%18.6%3.2%0.2%10.8M-143.6M-724.7K1.4326.67N/AN/A3,6495,23238,63325,653
2015-05-13$95.11$87.5017.8%5.1%17.2%26.1%18.9%3.1%-0.0%10.4M-142.3M-700.7K1.2925.91N/AN/A3,5964,63939,13826,900
2015-05-14$96.11$87.5017.2%5.1%17.5%21.7%18.5%3.6%0.8%10.9M-160.0M-726.3K1.1124.01N/AN/A4,0164,47439,17627,042
2015-05-15$94.97$87.5017.6%5.1%16.7%24.7%18.4%4.0%-0.0%18.1M-133.3M-720.0K1.0423.61N/AN/A4,5904,78639,84627,402
2015-05-18$94.92$87.5017.0%4.8%16.4%20.2%17.5%2.7%-0.1%8.6M-118.1M-685.9K1.0234.62N/AN/A62664136,50722,973
2015-05-19$95.01$87.5017.0%4.9%16.1%20.8%18.0%2.7%0.4%8.5M-115.3M-702.0K1.6028.17N/AN/A18830036,64223,477
2015-05-20$94.02$87.5017.2%4.9%16.8%22.0%16.4%3.0%0.0%7.2M-97.0M-687.2K1.3129.60N/AN/A2,7133,54436,74323,608
2015-05-21$93.39$87.5017.1%4.9%17.0%21.2%16.8%3.2%0.3%6.6M-81.7M-680.2K0.8429.99N/AN/A4,4183,71636,76523,831
2015-05-22$94.03$87.5016.5%4.7%16.9%17.4%17.6%2.7%0.2%8.4M-95.5M-678.5K1.0029.14N/AN/A3,4913,47937,14724,352
2015-05-26$93.48$87.5017.5%5.0%16.2%23.8%18.2%3.1%0.5%7.5M-86.3M-666.4K1.0625.23N/AN/A2,7982,96836,02123,101
2015-05-27$93.98$87.5016.8%4.8%16.1%18.9%17.8%2.5%0.2%8.1M-92.6M-656.0K0.8126.71N/AN/A3,5962,92136,49223,288
2015-05-28$94.03$87.5017.0%4.8%16.1%20.8%17.7%2.6%0.1%7.9M-94.4M-638.4K1.0626.47N/AN/A2,7172,87737,02523,526
2015-05-29$94.24$87.5017.1%4.9%14.8%21.1%18.6%2.3%-0.2%6.9M-95.6M-649.4K0.8130.49N/AN/A3,7063,01737,16523,547