CME Options History — June 2015

In June 2015, CME traded between $92.47 and $98.78. ATM implied volatility averaged 17.5%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.9% (HV 20d: 15.6%). Max pain ranged from $87.50 to $95.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.63.

Notable Days

  • 2015-06-05: Highest Volume — 20,510 contracts
  • 2015-06-29: Largest IV spike — 13.1% change
  • 2015-06-30: Highest IV Rank — 43.4%
  • 2015-06-29: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.23$92.47$98.78$94.06$93.25
Max Pain$93.95$87.50$95.00$87.50$94.50
ATM IV17.5%16.0%20.4%17.2%20.4%
Expected Move4.9%4.4%5.5%5.0%5.4%
HV 20d15.6%12.5%17.9%14.8%17.9%
HV 60d16.8%16.0%17.7%17.7%16.0%
IV Rank23.9%13.8%43.4%21.6%43.4%
IV Percentile25.9%7.5%69.0%18.3%69.0%
Term Structure0.3%-1.0%2.3%-0.3%-0.1%
VWIV17.9%15.5%19.4%19.0%19.1%
Skew 25d2.7%2.0%3.3%2.7%2.7%
Skew 10d5.3%4.0%6.7%6.1%5.2%
Call IV 25d16.9%15.0%20.2%16.5%20.0%
Put IV 25d19.6%17.4%23.0%19.2%22.7%
Bid-Ask Spread %24.7818.2833.2025.1522.72
Gamma HHI0.140.090.260.110.10
Net GEX8.8M2.0M18.7M7.5M2.5M
Net DEX-78.6M-155.6M-22.7M-88.9M-31.2M
Net VEX-640.4K-674.1K-611.4K-634.3K-648.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.221.101.100.88
Total Volume9,191.6361,94120,5104,9405,851
Total OI60,005.36452,77769,89258,75656,698

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$94.06$87.5017.2%5.0%14.8%21.6%19.0%2.7%-0.3%7.5M-88.9M-634.3K1.1025.15N/AN/A2,3512,58935,92222,834
2015-06-02$94.30$87.5017.0%4.7%14.8%20.4%17.0%2.9%0.0%7.8M-91.3M-630.8K0.4927.93N/AN/A1,30363835,93222,911
2015-06-03$94.63$87.5017.0%4.8%14.8%20.2%18.4%3.1%-0.7%8.2M-99.3M-611.4K0.7723.54N/AN/A4,0463,13335,70423,280
2015-06-04$94.09$95.0016.9%4.8%14.7%20.0%18.0%3.0%0.0%8.3M-88.9M-628.9K0.7724.41N/AN/A4,0993,13637,46823,507
2015-06-05$96.04$95.0017.5%5.0%14.1%24.1%17.7%2.1%-0.0%17.3M-127.5M-640.0K0.2221.53N/AN/A16,7473,76337,21823,679
2015-06-08$95.27$95.0017.4%5.1%12.5%23.5%17.8%3.3%0.4%9.3M-78.7M-644.0K0.2819.56N/AN/A11,6763,21333,68923,261
2015-06-09$96.30$95.0017.4%4.8%12.5%23.2%18.1%2.6%-0.5%10.4M-94.7M-642.6K0.3718.67N/AN/A7,8702,89933,62123,443
2015-06-10$98.61$95.0016.5%4.9%14.9%17.1%17.4%2.6%0.3%15.5M-146.8M-644.5K0.4525.44N/AN/A7,8443,56434,69223,537
2015-06-11$98.78$95.0016.0%4.4%14.9%13.8%15.5%2.4%-1.0%16.8M-155.6M-635.4K0.4218.36N/AN/A8,9563,76435,79923,917
2015-06-12$96.93$95.0016.8%4.8%16.2%19.2%17.8%3.1%0.0%18.7M-110.9M-665.3K0.5318.28N/AN/A9,0784,85538,16224,455
2015-06-15$96.25$95.0018.5%5.3%15.8%30.7%18.3%2.6%-0.3%10.7M-83.5M-668.4K0.4920.98N/AN/A6,9783,39440,27425,382
2015-06-16$96.49$95.0017.5%5.0%15.8%24.2%18.7%2.4%-0.0%11.1M-89.4M-658.6K0.4921.18N/AN/A6,7833,32341,24725,732
2015-06-17$96.55$95.0017.1%4.9%15.8%20.9%17.9%2.4%0.4%12.0M-96.2M-674.1K0.5328.82N/AN/A6,2533,30142,20226,009
2015-06-18$95.95$95.0017.9%5.2%15.5%26.9%18.6%3.1%-0.4%10.5M-84.4M-651.0K0.5821.77N/AN/A6,5793,80242,55426,605
2015-06-19$94.18$95.0017.2%4.8%16.8%21.5%17.0%3.2%0.7%3.7M-28.4M-612.7K0.6321.13N/AN/A6,9774,41642,99326,899
2015-06-22$94.58$95.0017.2%4.9%16.7%21.9%18.1%2.4%1.5%4.7M-47.6M-630.0K0.7230.03N/AN/A3,4782,50532,43720,340
2015-06-23$94.76$95.0016.8%4.7%16.6%18.9%17.0%2.3%1.6%5.2M-51.4M-638.3K0.9033.20N/AN/A3,2282,90533,29120,926
2015-06-24$93.80$95.0017.2%4.8%16.9%21.8%17.6%3.0%1.6%3.8M-35.2M-617.7K0.7030.69N/AN/A4,2292,94033,24420,900
2015-06-25$94.07$95.0017.3%4.9%16.9%22.9%17.3%2.0%2.3%4.3M-39.0M-636.7K0.7130.53N/AN/A3,7222,63534,67621,299
2015-06-26$93.79$95.0017.9%4.8%16.9%26.7%17.3%2.5%2.1%4.3M-38.4M-637.6K0.9530.23N/AN/A3,9553,76335,74821,462
2015-06-29$92.47$95.0020.3%5.5%17.6%42.5%19.4%2.7%-0.1%2.0M-22.7M-638.0K0.8830.94N/AN/A3,0262,64934,70621,463
2015-06-30$93.25$94.5020.4%5.4%17.9%43.4%19.1%2.7%-0.1%2.5M-31.2M-648.6K0.8822.72N/AN/A3,1112,74034,90321,795