CME Options History — November 2015

In November 2015, CME traded between $95.17 and $98.29. ATM implied volatility averaged 21.2%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 0.0% (HV 20d: 21.2%). Max pain ranged from $90.00 to $92.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.94.

Notable Days

  • 2015-11-19: Highest Volume — 16,606 contracts
  • 2015-11-24: Largest IV spike — 27.3% change
  • 2015-11-27: Highest IV Rank — 51.3%
  • 2015-11-17: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$96.56$95.17$98.29$96.35$97.65
Max Pain$90.72$90.00$92.50$92.00$92.50
ATM IV21.2%18.7%23.9%19.5%22.1%
Expected Move5.9%5.5%6.4%5.5%6.0%
HV 20d21.2%14.9%25.0%25.0%14.9%
HV 60d26.3%23.6%27.9%27.5%23.6%
IV Rank33.9%17.2%51.3%22.8%39.3%
IV Percentile64.7%36.5%86.1%49.6%73.8%
Term Structure0.1%-1.7%2.8%0.9%-1.1%
VWIV22.3%20.1%27.8%25.6%20.9%
Skew 25d3.9%3.0%5.7%4.1%3.1%
Skew 10d7.4%3.1%12.3%9.5%11.9%
Call IV 25d19.5%18.2%20.9%18.6%19.3%
Put IV 25d23.5%21.9%25.0%22.7%22.4%
Bid-Ask Spread %54.9528.9273.5945.4436.83
Gamma HHI0.140.100.230.130.17
Net GEX8.0M3.2M14.6M7.5M5.7M
Net DEX-102.9M-153.6M-70.2M-112.4M-95.8M
Net VEX-497.5K-598.7K-422.9K-542.3K-426.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.940.573.982.480.84
Total Volume8,484.52,01516,60611,0533,960
Total OI69,321.559,06176,08869,59759,265

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$96.35$92.0019.5%5.5%25.0%22.8%25.6%4.1%0.9%7.5M-112.4M-542.3K2.4845.44N/AN/A3,1757,87834,79434,803
2015-11-03$96.37$92.5019.7%5.6%24.3%24.3%27.8%3.5%0.3%7.4M-107.4M-598.7K3.8555.08N/AN/A2,63010,13235,35836,954
2015-11-04$95.17$92.5020.5%5.8%24.9%29.5%24.7%3.7%0.4%6.1M-86.4M-553.7K3.4560.60N/AN/A2,4068,29135,65934,206
2015-11-05$95.51$90.0020.7%6.1%24.6%30.4%23.5%3.5%-0.2%6.8M-94.2M-548.2K3.9863.01N/AN/A2,0878,31635,77134,421
2015-11-06$96.79$90.0019.9%5.8%23.0%25.4%21.7%3.0%0.9%9.0M-125.8M-533.0K0.6173.18N/AN/A1,25476135,86734,516
2015-11-09$97.22$90.0020.6%6.0%22.5%29.6%20.5%4.5%0.5%10.0M-124.5M-555.9K1.0365.51N/AN/A1,3041,34335,54634,346
2015-11-10$97.58$90.0020.8%5.9%21.3%31.3%20.8%4.6%-0.4%11.4M-137.5M-544.9K3.6058.73N/AN/A2,2568,12236,13334,450
2015-11-11$98.29$90.0019.9%5.8%20.6%25.2%22.3%3.5%0.3%12.9M-153.6M-509.3K3.2373.59N/AN/A2,5228,13736,27434,621
2015-11-12$96.43$90.0021.3%5.9%21.7%34.2%24.1%4.0%-0.7%10.1M-111.9M-522.3K2.1866.17N/AN/A3,7428,15737,90035,904
2015-11-13$95.52$90.0022.9%6.3%22.1%45.2%23.1%4.1%-0.9%6.3M-82.3M-553.9K1.4663.23N/AN/A3,6585,32637,91036,469
2015-11-16$95.84$90.0021.9%6.3%21.6%38.2%21.5%3.7%1.2%8.3M-93.4M-457.7K2.7768.72N/AN/A1,2063,34237,33035,575
2015-11-17$95.44$90.0022.1%6.4%21.8%39.3%22.8%3.8%0.8%5.3M-73.8M-490.6K2.4065.11N/AN/A3,0797,40537,39438,267
2015-11-18$96.17$90.0021.8%6.3%20.9%37.7%21.8%4.0%0.5%8.0M-96.6M-462.3K2.4461.58N/AN/A3,0277,37137,42938,479
2015-11-19$97.25$90.0021.1%5.8%20.0%33.0%20.2%4.0%2.8%14.6M-118.0M-481.7K0.7266.05N/AN/A9,6686,93837,43638,652
2015-11-20$97.48$90.0021.1%5.7%19.3%33.0%21.7%5.0%1.7%12.8M-119.8M-445.2K1.0336.77N/AN/A6,9437,15534,72638,979
2015-11-23$97.32$90.0018.7%5.8%19.3%17.2%21.5%5.7%-0.9%4.7M-100.5M-435.0K0.8833.59N/AN/A1,3291,17528,90630,155
2015-11-24$96.16$90.0023.8%5.8%19.9%50.3%20.8%4.2%-1.5%4.3M-75.2M-422.9K0.5937.70N/AN/A1,44085329,07030,608
2015-11-25$95.92$92.5022.3%5.8%18.5%40.7%21.2%4.0%-1.4%3.2M-70.2M-431.4K0.6128.92N/AN/A4,1062,50729,84231,139
2015-11-27$96.65$92.5023.9%5.8%17.9%51.3%20.1%3.0%-1.7%6.1M-79.0M-434.9K0.5739.16N/AN/A4,2522,43729,99631,280
2015-11-30$97.65$92.5022.1%6.0%14.9%39.3%20.9%3.1%-1.1%5.7M-95.8M-426.5K0.8436.83N/AN/A2,1491,81128,88530,380