CME Options History — January 2016

In January 2016, CME traded between $82.09 and $89.39. ATM implied volatility averaged 27.6%, placing in the 75.6% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 0.4% (HV 20d: 28.1%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.98.

Notable Days

  • 2016-01-22: Highest Volume — 15,686 contracts
  • 2016-01-22: Largest IV drop — 12.1% change
  • 2016-01-21: Highest IV Rank — 93.3%
  • 2016-01-21: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.26$82.09$89.39$88.52$87.92
Max Pain$85.79$85.00$90.00$90.00$85.00
ATM IV27.6%24.9%30.4%25.9%26.6%
Expected Move7.8%6.9%8.7%7.3%7.6%
HV 20d28.1%26.1%34.6%34.6%27.6%
HV 60d26.5%25.6%27.5%26.3%26.5%
IV Rank75.6%57.7%93.3%64.2%69.0%
IV Percentile95.8%88.9%99.6%93.3%90.1%
Term Structure-0.4%-1.6%0.8%-0.6%0.4%
VWIV27.5%22.7%30.5%22.7%28.6%
Skew 25d4.8%3.8%6.0%4.3%4.2%
Skew 10d10.6%7.3%17.2%10.0%11.6%
Call IV 25d25.8%23.5%28.2%24.2%25.7%
Put IV 25d30.7%27.3%34.0%28.6%29.9%
Bid-Ask Spread %27.0421.6232.1722.5530.97
Gamma HHI0.220.090.690.100.16
Net GEX-6.1M-28.2M-1.4M-3.5M-1.4M
Net DEX51.8M-6.7M96.9M48.1M-6.7M
Net VEX-411.3K-455.4K-358.5K-402.1K-455.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.452.300.461.04
Total Volume9,6366,52915,6869,3276,529
Total OI52,178.78942,46265,25654,46347,086

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$88.52$90.0025.9%7.3%34.6%64.2%22.7%4.3%-0.6%-3.5M48.1M-402.1K0.4622.55N/AN/A6,3752,95225,81528,648
2016-01-05$89.39$87.5024.9%6.9%30.5%57.7%23.6%3.8%-0.4%-3.0M34.9M-419.2K0.4523.04N/AN/A6,1972,79926,37828,999
2016-01-06$88.85$87.5025.3%6.9%30.5%60.3%25.6%3.8%0.2%-3.2M39.1M-419.4K0.5328.22N/AN/A5,1912,76227,32529,193
2016-01-07$87.92$87.5026.9%7.4%30.3%71.0%26.2%4.9%-0.5%-3.5M49.3M-416.8K0.6221.62N/AN/A5,8263,60927,60829,303
2016-01-08$86.18$87.5028.1%7.7%27.8%78.9%28.6%4.0%-0.3%-4.2M68.7M-385.4K0.6124.60N/AN/A6,2173,81327,92729,753
2016-01-11$87.06$85.0027.6%7.6%27.9%75.6%26.3%4.7%-0.9%-4.2M49.4M-389.0K0.7425.31N/AN/A5,0843,76427,76529,037
2016-01-12$87.25$85.0026.7%7.4%26.3%69.3%25.6%4.1%-1.0%-4.5M44.6M-398.5K0.7025.35N/AN/A4,7163,29928,38029,450
2016-01-13$84.24$85.0028.9%8.0%26.3%84.0%28.4%5.7%-1.0%-4.1M78.2M-358.5K1.9026.46N/AN/A5,0029,50628,87929,700
2016-01-14$84.76$85.0028.1%8.0%26.2%78.5%28.7%4.4%-0.2%-8.3M94.3M-408.6K1.8325.92N/AN/A5,3089,73129,13435,265
2016-01-15$84.76$85.0029.5%8.3%26.1%87.8%28.6%5.6%-0.9%-9.2M96.9M-408.8K0.6930.76N/AN/A6,1294,21029,25636,000
2016-01-19$86.18$85.0027.6%7.9%27.3%75.4%26.5%5.3%0.3%-6.5M37.5M-419.5K0.6728.48N/AN/A5,5903,73820,52221,940
2016-01-20$84.25$85.0030.3%8.7%26.8%92.9%28.8%5.5%-0.2%-6.0M63.7M-409.9K0.7528.72N/AN/A5,1113,82521,64622,605
2016-01-21$82.09$85.0030.4%8.7%27.9%93.3%30.5%5.9%-0.3%-4.5M94.7M-368.2K0.7230.70N/AN/A5,1563,68721,80623,156
2016-01-22$84.81$85.0026.7%7.6%29.2%69.6%25.9%5.3%0.2%-28.2M66.3M-407.1K2.3028.23N/AN/A4,74810,93822,46923,339
2016-01-25$84.60$85.0028.6%8.2%26.4%82.1%30.5%4.5%-1.2%-5.1M55.9M-416.3K1.8125.47N/AN/A3,6816,66222,19922,678
2016-01-26$86.22$85.0027.6%8.1%27.2%75.5%28.9%6.0%0.8%-5.4M32.0M-437.5K0.8428.59N/AN/A4,0243,36622,47722,998
2016-01-27$86.69$85.0027.4%7.9%27.4%73.8%28.9%5.3%0.2%-5.8M24.8M-447.6K0.9332.17N/AN/A3,5843,34922,69623,339
2016-01-28$87.19$85.0028.0%8.0%27.4%77.6%29.0%4.5%-1.6%-5.5M12.3M-446.9K0.9926.54N/AN/A3,3143,29223,02223,604
2016-01-29$87.92$85.0026.6%7.6%27.6%69.0%28.6%4.2%0.4%-1.4M-6.7M-455.4K1.0430.97N/AN/A3,1963,33323,24923,837