CME Options History — July 2015 In July 2015, CME traded between $93.64 and $99.86. ATM implied volatility averaged 20.1%, placing in the 41.7% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 4.0% (HV 20d: 16.1%). Max pain ranged from $94.00 to $97.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.79.
Notable Days 2015-07-10 : Highest Volume — 8,707 contracts2015-07-30 : Largest IV drop — 7.4% change2015-07-27 : Highest IV Rank — 52.0%2015-07-27 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $96.97 $93.64 $99.86 $93.64 $96.10 Max Pain $95.82 $94.00 $97.50 $94.00 $97.50 ATM IV 20.1% 17.7% 21.7% 20.8% 17.7% Expected Move 5.6% 5.0% 6.5% 5.2% 5.0% HV 20d 16.1% 13.9% 18.0% 17.9% 17.0% HV 60d 15.9% 15.3% 16.4% 15.6% 16.4% IV Rank 41.7% 25.4% 52.0% 46.0% 25.4% IV Percentile 65.6% 33.3% 81.3% 71.4% 33.3% Term Structure -0.3% -0.9% 0.4% -0.7% 0.4% VWIV 20.5% 17.5% 22.7% 18.6% 17.5% Skew 25d 2.2% 1.4% 3.2% 1.9% 2.4% Skew 10d 3.9% 1.2% 5.6% 3.0% 3.5% Call IV 25d 19.8% 17.5% 21.4% 20.4% 17.5% Put IV 25d 21.9% 19.8% 23.4% 22.3% 19.8% Bid-Ask Spread % 34.19 21.60 64.68 28.60 37.35 Gamma HHI 0.16 0.09 0.73 0.09 0.13 Net GEX 9.0M 3.0M 45.0M 3.0M 4.6M Net DEX -93.2M -157.9M -39.5M -39.5M -68.7M Net VEX -633.5K -675.8K -573.5K -644.1K -573.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.79 0.52 0.98 0.80 0.62 Total Volume 6,310.636 4,382 8,707 5,883 6,170 Total OI 56,831.364 53,400 62,201 57,363 55,089
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 2015-07-01 $93.64 $94.00 20.8% 5.2% 17.9% 46.0% 18.6% 1.9% -0.7% 3.0M -39.5M -644.1K 0.80 28.60 N/A N/A 3,274 2,609 35,286 22,077 2015-07-02 $94.34 $94.00 19.9% 5.1% 18.0% 40.1% 18.0% 1.9% -0.5% 4.0M -49.0M -656.1K 0.79 27.47 N/A N/A 3,236 2,569 35,784 22,228 2015-07-06 $94.56 $95.00 20.7% 5.6% 16.4% 45.5% 22.7% 3.2% -0.3% 4.6M -52.6M -634.7K 0.84 21.60 N/A N/A 2,892 2,415 33,711 21,396 2015-07-07 $95.22 $95.00 20.5% 5.6% 16.4% 44.1% 21.2% 3.0% -0.1% 5.8M -63.4M -623.5K 0.79 25.54 N/A N/A 3,278 2,584 34,177 21,690 2015-07-08 $95.02 $95.00 21.3% 5.9% 15.9% 49.5% 21.5% 2.0% -0.1% 6.4M -66.7M -651.3K 0.52 27.23 N/A N/A 4,916 2,564 34,873 21,948 2015-07-09 $97.03 $95.00 20.6% 5.8% 15.3% 45.2% 21.2% 1.6% -0.4% 11.4M -109.4M -642.9K 0.62 25.98 N/A N/A 5,039 3,104 36,680 22,126 2015-07-10 $98.57 $95.00 20.4% 5.7% 16.4% 43.9% 20.6% 1.6% -0.6% 13.0M -149.2M -675.8K 0.66 26.63 N/A N/A 5,253 3,454 38,080 22,563 2015-07-13 $98.07 $95.00 20.2% 5.7% 15.0% 42.2% 20.4% 1.4% -0.1% 12.3M -127.1M -638.3K 0.94 26.25 N/A N/A 3,526 3,321 36,277 22,100 2015-07-14 $97.16 $95.00 20.2% 5.7% 15.2% 42.3% 20.6% 1.9% 0.1% 9.7M -105.2M -648.6K 0.91 29.85 N/A N/A 4,020 3,658 36,739 23,079 2015-07-15 $97.81 $95.00 19.7% 5.6% 15.3% 38.5% 20.7% 2.4% -0.1% 11.0M -110.8M -650.5K 0.85 31.06 N/A N/A 3,268 2,785 37,474 23,387 2015-07-16 $99.21 $95.00 19.2% 5.4% 16.0% 35.5% 19.9% 2.3% -0.6% 17.1M -139.2M -635.3K 0.85 28.18 N/A N/A 4,029 3,432 37,446 23,427 2015-07-17 $99.86 $95.00 19.3% 5.4% 15.9% 36.1% 20.6% 2.3% -0.9% 45.0M -157.9M -652.0K 0.63 64.68 N/A N/A 4,906 3,111 38,223 23,978 2015-07-20 $99.84 $95.00 19.5% 5.5% 13.9% 37.2% 19.4% 2.0% 0.4% 8.5M -132.5M -643.9K 0.65 56.23 N/A N/A 3,743 2,441 32,187 21,567 2015-07-21 $98.87 $95.00 20.1% 5.8% 14.6% 41.8% 20.5% 1.8% -0.3% 7.3M -115.5M -626.1K 0.64 52.72 N/A N/A 3,942 2,519 32,654 21,955 2015-07-22 $98.91 $97.50 19.7% 5.7% 14.6% 38.9% 20.2% 2.2% -0.3% 7.2M -113.5M -633.8K 0.88 33.85 N/A N/A 2,782 2,451 32,656 22,317 2015-07-23 $96.62 $97.50 21.0% 6.1% 16.7% 47.5% 21.1% 2.2% -0.9% 4.9M -77.0M -631.4K 0.73 34.28 N/A N/A 3,514 2,556 32,996 22,460 2015-07-24 $96.74 $97.50 20.7% 6.0% 16.7% 45.8% 21.1% 2.1% -0.2% 4.4M -73.2M -630.6K 0.81 31.33 N/A N/A 3,314 2,699 33,256 22,908 2015-07-27 $95.47 $97.50 21.7% 6.5% 17.4% 52.0% 21.7% 1.9% -0.6% 3.7M -58.5M -620.1K 0.89 35.74 N/A N/A 2,484 2,220 31,263 22,137 2015-07-28 $96.16 $97.50 21.0% 6.1% 16.6% 47.6% 22.3% 2.8% -0.3% 4.2M -70.5M -615.8K 0.96 31.97 N/A N/A 2,232 2,150 31,487 22,230 2015-07-29 $97.02 $97.50 20.1% 5.9% 16.7% 41.2% 21.7% 2.3% 0.1% 4.8M -83.7M -619.9K 0.98 38.16 N/A N/A 2,639 2,584 31,579 22,241 2015-07-30 $97.06 $97.50 18.6% 5.0% 16.6% 31.1% 18.5% 2.3% -0.0% 5.4M -86.7M -589.6K 0.91 37.38 N/A N/A 2,698 2,453 32,068 22,491 2015-07-31 $96.10 $97.50 17.7% 5.0% 17.0% 25.4% 17.5% 2.4% 0.4% 4.6M -68.7M -573.5K 0.62 37.35 N/A N/A 3,803 2,367 32,444 22,645
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