CME Options History — September 2015

In September 2015, CME traded between $90.13 and $95.41. ATM implied volatility averaged 24.6%, placing in the 56.9% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 6.4% (HV 20d: 31.0%). Max pain ranged from $92.50 to $95.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.12.

Notable Days

  • 2015-09-11: Highest Volume — 29,655 contracts
  • 2015-09-28: Largest IV spike — 14.1% change
  • 2015-09-02: Highest IV Rank — 80.8%
  • 2015-09-01: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.45$90.13$95.41$91.00$92.76
Max Pain$94.17$92.50$95.00$95.00$92.50
ATM IV24.6%21.4%28.1%28.0%25.2%
Expected Move7.0%6.0%9.1%9.1%6.8%
HV 20d31.0%27.6%34.7%27.6%29.6%
HV 60d22.6%20.6%25.1%20.8%25.1%
IV Rank56.9%34.8%80.8%79.8%60.0%
IV Percentile88.7%69.4%98.8%98.4%91.7%
Term Structure0.1%-1.3%2.5%-0.1%-0.4%
VWIV25.6%22.0%33.0%33.0%25.3%
Skew 25d5.0%3.5%7.7%4.1%5.5%
Skew 10d10.8%6.6%18.5%9.2%15.4%
Call IV 25d23.6%19.7%36.0%28.4%23.6%
Put IV 25d28.6%25.1%39.5%32.5%29.1%
Bid-Ask Spread %40.0225.93106.4168.7447.94
Gamma HHI0.120.080.160.090.12
Net GEX935.0K-1.7M6.6M780.9K2.0M
Net DEX-26.3M-94.4M21.4M-12.4M-35.8M
Net VEX-656.4K-770.3K-560.7K-560.7K-673.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.202.262.261.14
Total Volume9,987.3331,69629,6558,5646,257
Total OI69,523.8154,39783,75454,39772,534

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$91.00$95.0028.0%9.1%27.6%79.8%33.0%4.1%-0.1%780.9K-12.4M-560.7K2.2668.74N/AN/A2,6275,93730,87023,527
2015-09-02$92.27$95.0028.1%8.0%27.6%80.8%28.5%4.5%-0.3%-310.7K-10.3M-592.0K0.9763.91N/AN/A2,9462,84831,10226,613
2015-09-03$93.86$95.0025.3%7.1%28.4%63.4%26.4%4.6%-0.1%275.9K-30.4M-588.6K1.0132.94N/AN/A3,0883,11531,20726,723
2015-09-04$92.69$95.0026.6%7.6%28.6%71.5%27.9%6.6%-0.4%-81.0K-13.7M-595.6K1.1741.17N/AN/A2,9443,44931,51827,093
2015-09-08$94.82$95.0025.3%6.9%29.8%63.6%27.6%7.7%-1.0%1.3M-45.1M-572.8K1.0731.78N/AN/A82087629,88326,518
2015-09-09$91.88$95.0026.3%7.2%31.6%69.9%25.9%3.8%-1.3%-399.0K-18.9M-581.0K1.0228.21N/AN/A2,4452,48831,10926,761
2015-09-10$93.30$95.0026.3%7.7%32.2%69.4%32.5%3.5%-0.7%1.4M-44.5M-566.3K1.03106.41N/AN/A14,00414,35531,31127,019
2015-09-11$94.20$95.0024.0%6.7%32.3%56.0%24.6%5.9%-1.3%2.2M-50.4M-770.3K0.9625.93N/AN/A15,12814,52742,98738,953
2015-09-14$94.35$95.0024.3%6.9%32.3%55.0%26.0%6.2%-0.2%3.4M-67.4M-758.7K0.9626.55N/AN/A14,69314,04942,84238,292
2015-09-15$95.24$95.0022.5%6.4%32.5%42.4%22.4%5.4%0.2%5.4M-78.8M-757.4K0.2032.95N/AN/A1,62931942,55538,359
2015-09-16$95.41$95.0021.6%6.2%32.5%36.5%22.7%5.7%-0.2%6.6M-94.4M-731.5K1.5728.85N/AN/A9,48714,89044,24638,449
2015-09-17$92.25$95.0022.1%6.3%34.4%39.9%22.6%4.2%0.2%321.8K-24.4M-710.1K0.9633.60N/AN/A3,5923,46544,18639,004
2015-09-18$90.53$95.0023.0%6.6%34.7%45.4%22.2%5.0%-0.6%-893.9K21.4M-668.0K1.2729.11N/AN/A3,3334,23644,42839,326
2015-09-21$91.84$95.0021.4%6.0%31.2%34.8%22.0%4.9%1.7%646.2K-18.7M-661.4K1.2533.15N/AN/A2,3102,89235,33532,497
2015-09-22$90.25$92.5023.6%6.8%30.4%49.2%23.6%4.2%1.4%-1.3M6.4M-652.5K1.2230.55N/AN/A2,4122,94235,75933,030
2015-09-23$91.26$92.5022.0%6.4%30.6%39.2%22.9%4.7%2.5%-528.4K-3.7M-653.7K0.7429.23N/AN/A3,4982,59036,06533,374
2015-09-24$90.13$92.5023.8%6.9%30.3%50.3%24.1%4.3%1.4%-1.7M10.4M-670.0K0.8734.40N/AN/A3,7413,24037,19633,653
2015-09-25$92.48$92.5023.4%6.5%30.9%48.0%22.9%4.4%1.4%2.2M-37.1M-666.6K1.1933.01N/AN/A3,0423,62837,42134,437
2015-09-28$90.67$92.5026.7%8.1%31.3%69.4%26.9%5.3%-0.4%-239.5K-6.8M-690.2K1.3737.76N/AN/A2,4583,37537,59934,142
2015-09-29$90.36$92.5026.9%7.7%31.3%70.8%27.1%4.4%-0.5%-1.5M3.3M-663.4K1.2044.17N/AN/A2,7503,30937,59034,487
2015-09-30$92.76$92.5025.2%6.8%29.6%60.0%25.3%5.5%-0.4%2.0M-35.8M-673.5K1.1447.94N/AN/A2,9263,33137,75734,777