CME Options History — August 2015

In August 2015, CME traded between $89.51 and $98.28. ATM implied volatility averaged 20.9%, placing in the 42.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 3.0% (HV 20d: 17.9%). Max pain ranged from $95.00 to $97.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2015-08-06: Highest Volume — 9,257 contracts
  • 2015-08-24: Largest IV spike — 28.6% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.71$89.51$98.28$96.97$94.68
Max Pain$95.36$95.00$97.50$97.50$95.00
ATM IV20.9%17.2%31.4%17.8%25.2%
Expected Move6.1%4.7%9.1%5.1%7.6%
HV 20d17.9%12.6%24.2%17.2%24.0%
HV 60d16.6%15.1%19.7%15.8%19.2%
IV Rank42.9%22.0%100.0%26.3%64.4%
IV Percentile55.2%22.6%100.0%35.7%95.6%
Term Structure-0.1%-2.9%1.3%0.7%-0.0%
VWIV22.0%17.0%33.7%18.3%28.3%
Skew 25d3.6%1.2%8.6%1.6%6.2%
Skew 10d6.7%1.4%14.4%5.2%12.2%
Call IV 25d19.8%16.1%28.1%17.6%22.9%
Put IV 25d23.5%18.6%36.7%19.3%29.1%
Bid-Ask Spread %39.1620.3266.0830.1163.29
Gamma HHI0.130.100.160.140.14
Net GEX4.2M806.3K7.9M4.7M2.4M
Net DEX-64.5M-100.7M9.1M-75.3M-50.3M
Net VEX-560.0K-596.4K-517.4K-574.5K-575.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.361.190.361.04
Total Volume5,455.9059139,2571,1255,336
Total OI53,770.8150,68655,84552,50253,706

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$96.97$97.5017.8%5.1%17.2%26.3%18.3%1.6%0.7%4.7M-75.3M-574.5K0.3630.11N/AN/A82829730,67321,829
2015-08-04$96.59$97.5018.1%4.9%17.2%28.2%17.0%2.0%0.2%4.7M-74.2M-568.0K0.3924.18N/AN/A4,6131,78630,98121,989
2015-08-05$97.98$97.5017.7%4.7%17.8%25.3%17.0%2.3%0.1%5.8M-94.5M-559.0K0.4622.62N/AN/A4,0751,88130,02222,065
2015-08-06$97.20$95.0017.8%5.3%16.5%26.1%19.5%1.2%0.4%5.9M-87.1M-550.6K0.8431.53N/AN/A5,0374,22030,44922,119
2015-08-07$97.39$95.0017.6%5.2%15.5%25.0%19.2%2.2%0.4%4.1M-80.8M-583.4K0.9328.24N/AN/A4,4814,17231,25223,996
2015-08-10$98.09$95.0017.2%5.0%15.6%22.0%19.4%2.7%-0.1%5.3M-93.6M-570.8K0.7027.99N/AN/A4,0542,85230,04823,400
2015-08-11$97.25$95.0017.5%5.2%15.6%24.2%18.4%2.4%0.3%4.7M-83.6M-571.3K1.1930.44N/AN/A41649730,62623,541
2015-08-12$97.08$95.0018.6%5.4%15.4%31.2%19.5%3.1%-0.2%4.1M-75.5M-568.8K0.4931.81N/AN/A4,3832,16830,80923,718
2015-08-13$97.84$95.0018.1%5.2%14.8%27.9%18.1%2.3%0.4%6.3M-92.5M-569.9K0.8027.38N/AN/A2,7952,23531,34724,072
2015-08-14$98.15$95.0017.3%5.1%14.6%22.4%17.4%2.5%0.8%7.9M-100.1M-559.7K0.7134.27N/AN/A3,0962,18931,61124,234
2015-08-17$98.28$95.0017.2%5.0%14.6%22.1%19.6%4.0%-0.3%6.8M-98.2M-552.3K1.0428.06N/AN/A1,9252,00930,89723,169
2015-08-18$98.28$95.0017.2%5.0%14.2%22.1%19.5%2.9%-0.2%7.2M-100.7M-546.3K0.9820.32N/AN/A2,0311,98831,15823,321
2015-08-19$97.23$95.0017.4%5.0%14.7%23.3%18.9%3.0%0.3%5.7M-84.9M-540.9K1.0624.25N/AN/A50253231,31023,377
2015-08-20$96.19$95.0019.9%5.7%12.6%39.9%20.7%2.9%-0.5%3.6M-66.5M-555.1K1.0740.03N/AN/A2,1262,27031,42523,664
2015-08-21$91.84$95.0024.4%7.1%20.6%70.7%21.2%5.1%-2.9%1.4M-3.8M-517.4K1.0555.72N/AN/A3,1173,25931,62224,006
2015-08-24$89.51$95.0031.4%9.1%21.9%100.0%33.7%8.6%1.3%806.3K9.1M-525.4K0.6856.83N/AN/A4,1552,83328,92821,758
2015-08-25$90.03$95.0030.2%9.0%21.8%93.0%31.8%4.3%-0.8%1.1M-6.5M-554.2K0.8466.08N/AN/A3,4262,86629,60121,908
2015-08-26$91.57$95.0026.9%8.5%22.6%73.8%28.9%6.4%-0.1%1.2M-14.0M-557.4K1.0566.08N/AN/A2,9713,10730,15422,259
2015-08-27$93.40$95.0025.8%7.5%24.0%67.5%27.2%4.2%-1.3%1.6M-32.9M-563.7K1.1553.06N/AN/A3,4964,01530,46722,636
2015-08-28$94.45$95.0025.3%7.7%24.2%64.9%28.5%6.5%-1.3%1.9M-48.9M-596.4K0.9360.11N/AN/A3,3883,14731,30323,737
2015-08-31$94.68$95.0025.2%7.6%24.0%64.4%28.3%6.2%-0.0%2.4M-50.3M-575.3K1.0463.29N/AN/A2,6212,71530,39323,313