CME Options History — October 2015

In October 2015, CME traded between $87.36 and $97.37. ATM implied volatility averaged 23.1%, placing in the 46.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 3.2% (HV 20d: 26.3%). Max pain ranged from $90.00 to $92.50. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.28.

Notable Days

  • 2015-10-23: Highest Volume — 29,290 contracts
  • 2015-10-12: Largest IV drop — 11.8% change
  • 2015-10-09: Highest IV Rank — 76.6%
  • 2015-10-09: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.45$87.36$97.37$92.50$94.68
Max Pain$90.30$90.00$92.50$92.50$91.50
ATM IV23.1%18.3%27.8%25.0%19.8%
Expected Move6.5%5.3%7.4%6.7%5.6%
HV 20d26.3%23.4%29.6%29.2%24.5%
HV 60d25.8%25.0%27.3%25.1%27.3%
IV Rank46.3%15.0%76.6%58.4%24.5%
IV Percentile76.0%35.7%97.6%90.9%52.0%
Term Structure-0.2%-1.3%2.0%-0.6%0.1%
VWIV24.9%20.7%26.8%23.4%22.5%
Skew 25d4.2%2.7%6.5%5.1%3.6%
Skew 10d9.7%5.4%14.1%9.6%8.2%
Call IV 25d22.0%17.2%28.0%23.4%18.1%
Put IV 25d26.1%21.0%31.4%28.5%21.8%
Bid-Ask Spread %53.8730.9082.1653.7356.83
Gamma HHI0.140.090.280.120.11
Net GEX-1.1M-12.8M6.9M2.2M6.9M
Net DEX-20.6M-115.9M57.5M-38.2M-79.9M
Net VEX-557.2K-673.7K-503.7K-673.7K-576.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.672.621.321.81
Total Volume12,549.3641,16329,2905,75110,000
Total OI70,407.22752,93976,76873,37870,704

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$92.50$92.5025.0%6.7%29.2%58.4%23.4%5.1%-0.6%2.2M-38.2M-673.7K1.3253.73N/AN/A2,4793,27238,39334,985
2015-10-02$90.37$92.5026.9%7.2%29.6%70.7%25.7%5.5%-0.5%-2.5M5.6M-633.9K0.7469.25N/AN/A5,0343,73538,71035,321
2015-10-05$91.23$90.0025.9%7.2%29.6%64.5%25.1%5.3%-1.3%-583.7K-13.7M-638.3K0.7935.80N/AN/A64951438,93835,681
2015-10-06$90.00$90.0026.1%7.2%28.5%65.9%25.0%3.1%-0.4%-2.6M3.1M-632.8K0.8830.90N/AN/A3,2552,87039,13635,761
2015-10-07$90.55$90.0026.1%7.3%26.5%65.3%26.8%4.1%-0.1%-1.8M-6.0M-614.8K1.1432.09N/AN/A2,8523,25439,19735,795
2015-10-08$89.88$90.0025.7%7.1%25.9%62.8%24.6%4.8%-0.3%-4.1M14.2M-596.5K1.0932.05N/AN/A3,3503,65839,11035,823
2015-10-09$87.95$90.0027.8%7.4%26.5%76.6%25.5%3.0%-0.1%-6.9M48.5M-567.3K0.6733.31N/AN/A4,1862,79639,29435,811
2015-10-12$89.56$90.0024.5%6.9%27.5%55.2%24.3%4.8%-0.1%-5.4M14.6M-545.0K0.7637.87N/AN/A3,5302,68239,13235,326
2015-10-13$88.24$90.0024.3%7.0%27.4%54.2%25.3%2.7%0.3%-7.7M37.6M-535.3K0.9150.15N/AN/A3,2512,96239,35435,468
2015-10-14$87.36$90.0024.6%6.8%27.4%55.8%24.6%3.7%-0.7%-9.6M57.5M-509.4K0.8156.88N/AN/A3,3462,70039,32635,652
2015-10-15$89.10$90.0023.1%6.6%26.4%46.4%24.2%5.2%-0.4%-8.2M23.9M-508.5K2.6274.84N/AN/A2,9807,81939,69135,760
2015-10-16$89.89$90.0021.6%6.2%25.9%36.2%23.3%4.3%0.3%-12.8M3.5M-535.1K0.9682.16N/AN/A3,0412,93339,81636,952
2015-10-19$91.31$90.0021.3%6.1%26.0%34.1%25.7%6.5%-0.4%856.4K-28.9M-510.8K1.1467.86N/AN/A12,77314,59337,69933,363
2015-10-20$91.66$90.0021.3%6.1%25.2%34.1%24.5%3.6%-0.6%2.2M-33.5M-513.9K1.1460.57N/AN/A13,14314,92036,76734,232
2015-10-21$90.35$90.0022.3%6.4%25.4%40.8%24.8%4.4%-0.9%155.4K-19.8M-503.7K1.1564.06N/AN/A13,19315,16137,06034,763
2015-10-22$92.34$90.0020.8%6.0%26.2%31.1%26.2%3.9%-0.5%3.5M-43.5M-523.5K1.1264.02N/AN/A13,65915,29237,27435,319
2015-10-23$93.92$90.0020.6%6.0%25.3%29.8%26.7%3.3%-0.9%4.1M-68.6M-528.3K1.1861.79N/AN/A13,43315,85737,77235,797
2015-10-26$93.94$90.0020.8%6.2%24.1%31.3%26.5%3.4%0.2%3.7M-62.3M-521.1K2.1461.31N/AN/A2,5255,39527,08225,857
2015-10-27$93.90$90.0021.3%6.3%24.0%34.6%26.7%3.4%0.3%3.7M-62.2M-534.2K2.4950.16N/AN/A2,4025,98427,77226,653
2015-10-28$95.87$90.0020.7%6.0%23.4%30.3%24.7%4.0%0.7%4.6M-89.5M-530.0K2.2652.80N/AN/A2,9426,65027,95027,716
2015-10-29$97.37$90.0018.3%5.3%23.8%15.0%20.7%3.8%2.0%6.1M-115.9M-526.5K1.0356.69N/AN/A10,35110,66528,58128,166
2015-10-30$94.68$91.5019.8%5.6%24.5%24.5%22.5%3.6%0.1%6.9M-79.9M-576.1K1.8156.83N/AN/A3,5646,43635,83234,872