CME Options History — December 2015

In December 2015, CME traded between $90.92 and $99.61. ATM implied volatility averaged 22.6%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 5.4% (HV 20d: 28.0%). Max pain ranged from $90.00 to $97.50. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.68.

Notable Days

2015-12-22: Highest Volume — 25,311 contracts
2015-12-17: Largest IV drop — 16.3% change
2015-12-11: Highest IV Rank — 72.5%
2015-12-11: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$94.54	$90.92	$99.61	$97.85	$90.92
Max Pain	$95.80	$90.00	$97.50	$92.50	$95.00
ATM IV	22.6%	20.9%	27.2%	21.2%	20.9%
Expected Move	6.3%	5.7%	7.7%	5.9%	6.0%
HV 20d	28.0%	13.7%	35.1%	13.7%	34.7%
HV 60d	25.2%	22.8%	26.7%	23.4%	25.7%
IV Rank	43.1%	31.6%	72.5%	33.9%	31.6%
IV Percentile	72.2%	52.4%	98.0%	63.1%	52.4%
Term Structure	-0.2%	-2.8%	2.2%	-0.7%	2.0%
VWIV	22.7%	19.3%	27.6%	20.2%	22.6%
Skew 25d	3.6%	1.3%	7.0%	3.6%	3.2%
Skew 10d	7.3%	-1.5%	28.8%	4.9%	5.9%
Call IV 25d	20.6%	18.9%	23.7%	18.9%	19.5%
Put IV 25d	24.1%	20.5%	30.7%	22.5%	22.7%
Bid-Ask Spread %	44.51	22.36	100.92	36.37	71.27
Gamma HHI	0.12	0.07	0.32	0.16	0.32
Net GEX	-354.4K	-9.3M	8.6M	6.7M	-9.3M
Net DEX	-7.6M	-137.8M	86.3M	-109.1M	22.2M
Net VEX	-433.4K	-491.9K	-349.5K	-395.4K	-449.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.07	1.67	1.67	0.64
Total Volume	15,653.636	2,747	25,311	2,747	12,405
Total OI	66,547.909	60,160	76,356	62,143	62,182

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
2015-12-01	$97.85	$92.50	21.2%	5.9%	13.7%	33.9%	20.2%	3.6%	-0.7%	6.7M	-109.1M	-395.4K	1.67	36.37	N/A	N/A	1,028	1,719	30,316	31,827
2015-12-02	$98.22	$92.50	22.1%	5.7%	13.7%	39.3%	19.9%	2.9%	-0.9%	6.4M	-105.5M	-436.8K	1.14	29.48	N/A	N/A	4,031	4,599	30,441	32,994
2015-12-03	$95.49	$90.00	23.4%	6.2%	16.6%	47.9%	20.8%	4.3%	-1.4%	2.8M	-44.9M	-430.0K	1.04	26.81	N/A	N/A	4,444	4,634	31,153	33,732
2015-12-04	$99.61	$90.00	24.2%	5.8%	22.3%	53.3%	20.9%	2.2%	-0.7%	5.6M	-137.8M	-421.3K	0.76	23.91	N/A	N/A	6,180	4,682	31,587	35,142
2015-12-07	$99.54	$92.50	21.4%	5.8%	21.9%	35.2%	19.3%	1.3%	-0.8%	8.6M	-132.7M	-390.8K	0.07	25.88	N/A	N/A	19,634	1,367	31,196	34,293
2015-12-08	$97.90	$97.50	21.8%	6.0%	22.8%	37.8%	24.3%	3.1%	-0.1%	4.6M	-35.2M	-454.2K	0.48	22.36	N/A	N/A	9,815	4,699	25,018	35,142
2015-12-09	$93.98	$97.50	23.4%	6.6%	27.0%	47.8%	23.4%	3.0%	-1.6%	-3.5M	42.1M	-431.9K	0.55	25.70	N/A	N/A	11,801	6,463	25,952	36,471
2015-12-10	$94.83	$97.50	23.4%	6.7%	27.1%	48.2%	22.4%	5.6%	-0.2%	-2.1M	21.8M	-448.4K	0.64	29.12	N/A	N/A	11,825	7,556	28,981	38,624
2015-12-11	$92.09	$97.50	27.2%	7.7%	28.2%	72.5%	25.7%	7.0%	-1.8%	-6.1M	86.3M	-457.1K	0.67	31.57	N/A	N/A	11,714	7,868	32,435	42,024
2015-12-14	$94.62	$97.50	26.4%	7.4%	29.9%	67.6%	27.6%	5.2%	1.4%	-874.5K	12.4M	-437.3K	0.68	29.42	N/A	N/A	11,115	7,513	32,147	41,419
2015-12-15	$95.24	$97.50	23.8%	6.8%	30.0%	50.4%	22.9%	4.4%	-2.5%	341.7K	-240.4K	-451.9K	0.50	28.22	N/A	N/A	11,163	5,581	32,844	41,624
2015-12-16	$95.66	$97.50	25.1%	7.2%	30.0%	59.0%	23.2%	2.8%	0.2%	2.6M	-12.8M	-426.6K	0.49	71.89	N/A	N/A	10,535	5,190	33,435	41,737
2015-12-17	$95.25	$97.50	21.0%	5.9%	29.9%	32.5%	20.8%	2.5%	0.1%	313.5K	-4.5M	-407.5K	0.50	71.37	N/A	N/A	12,049	6,004	33,694	41,756
2015-12-18	$92.71	$97.50	21.6%	6.2%	31.0%	36.3%	20.4%	2.8%	-0.9%	-7.4M	56.6M	-400.4K	0.58	73.51	N/A	N/A	12,008	6,964	34,550	41,806
2015-12-21	$92.36	$97.50	21.0%	6.0%	30.9%	32.4%	19.9%	1.7%	0.1%	-3.3M	28.3M	-349.5K	0.56	58.90	N/A	N/A	9,716	5,437	27,929	33,319
2015-12-22	$94.63	$97.50	20.9%	6.4%	32.4%	31.9%	25.0%	4.3%	-2.8%	2.2M	1.7M	-419.1K	0.22	100.92	N/A	N/A	20,677	4,634	28,411	33,923
2015-12-23	$91.02	$97.50	22.1%	6.2%	34.9%	39.5%	22.7%	3.7%	0.1%	-5.0M	48.4M	-446.3K	1.16	54.78	N/A	N/A	11,069	12,833	28,301	34,353
2015-12-24	$91.90	$97.50	21.2%	5.9%	35.1%	33.7%	22.9%	3.3%	0.1%	-2.9M	39.6M	-491.9K	1.01	50.15	N/A	N/A	10,191	10,269	29,195	37,558
2015-12-28	$91.92	$97.50	23.9%	6.3%	35.0%	51.2%	23.5%	4.3%	2.2%	-2.5M	34.6M	-471.4K	0.79	41.75	N/A	N/A	7,646	6,037	28,711	34,505
2015-12-29	$92.40	$95.00	21.0%	6.0%	34.8%	32.7%	24.6%	3.4%	1.9%	-1.6M	7.7M	-463.6K	0.39	36.60	N/A	N/A	7,689	3,029	28,980	32,642
2015-12-30	$91.63	$95.00	21.2%	6.0%	34.8%	33.6%	27.2%	3.9%	1.2%	-3.2M	12.9M	-454.9K	0.44	39.34	N/A	N/A	7,314	3,253	29,437	32,268
2015-12-31	$90.92	$95.00	20.9%	6.0%	34.7%	31.6%	22.6%	3.2%	2.0%	-9.3M	22.2M	-449.4K	0.64	71.27	N/A	N/A	7,583	4,822	29,761	32,421