CME Options History — February 2016

In February 2016, CME traded between $86.07 and $93.41. ATM implied volatility averaged 27.9%, placing in the 72.2% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 2.7% (HV 20d: 30.6%). Max pain ranged from $85.50 to $91.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.99.

Notable Days

  • 2016-02-09: Highest Volume — 11,487 contracts
  • 2016-02-08: Largest IV spike — 9.9% change
  • 2016-02-11: Highest IV Rank — 100.0%
  • 2016-02-11: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.89$86.07$93.41$89.47$91.67
Max Pain$89.63$85.50$91.00$85.50$91.00
ATM IV27.9%24.5%33.4%26.1%25.3%
Expected Move8.1%7.2%9.4%7.7%7.5%
HV 20d30.6%26.5%35.1%28.3%30.0%
HV 60d29.4%26.7%30.6%26.8%30.6%
IV Rank72.2%48.6%100.0%65.5%53.1%
IV Percentile89.9%74.2%100.0%87.7%78.2%
Term Structure-0.4%-2.3%0.8%-0.2%-0.0%
VWIV28.8%25.4%33.6%29.1%25.4%
Skew 25d5.1%3.6%6.7%4.4%3.6%
Skew 10d11.7%8.0%15.7%15.7%8.8%
Call IV 25d25.8%23.3%30.8%24.3%23.7%
Put IV 25d30.9%27.0%37.1%28.6%27.3%
Bid-Ask Spread %27.9816.2862.7227.5839.44
Gamma HHI0.110.070.280.150.09
Net GEX2.8M-2.3M5.2M1.1M1.9M
Net DEX-38.6M-81.7M25.2M-26.6M-23.6M
Net VEX-477.4K-513.3K-431.7K-459.1K-470.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.671.800.981.09
Total Volume8,209.455,16911,4877,8105,169
Total OI45,522.238,72750,34742,93443,631

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$89.47$85.5026.1%7.7%28.3%65.5%29.1%4.4%-0.2%1.1M-26.6M-459.1K0.9827.58N/AN/A3,9503,86022,98819,946
2016-02-02$89.12$87.5026.9%8.3%26.7%70.6%29.0%4.6%0.8%702.4K-18.8M-460.9K0.6762.72N/AN/A5,0333,37224,08220,877
2016-02-03$89.32$87.5029.0%8.3%26.5%84.6%30.1%4.4%0.4%1.1M-23.1M-474.0K0.7040.30N/AN/A5,5043,85925,09921,322
2016-02-04$86.07$90.0028.8%8.2%29.5%83.2%28.1%4.9%0.2%-2.3M25.2M-431.7K0.9920.29N/AN/A5,4855,45025,09821,579
2016-02-05$88.30$90.0027.2%7.9%30.8%72.6%27.2%5.0%0.3%2.5M-12.9M-458.2K0.7418.41N/AN/A6,2264,61026,04624,301
2016-02-08$90.12$90.0029.9%8.3%30.6%90.1%30.6%5.7%-0.6%2.5M-35.8M-481.9K0.8716.28N/AN/A4,3213,75624,81319,612
2016-02-09$93.41$90.0030.5%8.5%32.8%94.0%30.6%5.5%-0.2%3.6M-79.7M-500.1K0.9822.01N/AN/A5,8025,68525,22119,541
2016-02-10$90.53$90.0031.2%8.8%35.1%98.9%31.5%5.8%-0.4%3.2M-45.6M-509.8K1.2421.33N/AN/A4,4805,54526,88420,149
2016-02-11$89.43$90.0033.4%9.4%32.7%100.0%33.6%6.3%-1.0%2.8M-29.6M-506.7K0.8721.15N/AN/A4,5283,95627,37320,515
2016-02-12$90.89$90.0031.8%9.0%33.0%90.7%31.7%6.7%-0.5%3.5M-53.8M-513.3K0.8825.29N/AN/A4,3793,85528,12420,593
2016-02-16$90.48$90.0030.5%8.7%33.1%83.0%31.0%6.3%-0.8%3.4M-39.4M-481.5K1.1017.95N/AN/A3,2903,62026,88519,839
2016-02-17$92.01$90.0027.5%7.9%33.1%65.8%28.4%6.1%-0.2%4.8M-60.3M-474.9K0.8618.62N/AN/A3,4022,92327,09620,109
2016-02-18$91.20$90.0027.9%8.1%32.1%68.1%28.2%5.6%-2.3%4.6M-50.8M-469.5K0.9320.00N/AN/A3,2283,00427,37720,242
2016-02-19$93.24$90.0026.4%7.7%30.6%59.8%26.6%5.8%-1.3%3.0M-81.7M-477.5K0.9517.20N/AN/A3,6633,48827,56220,406
2016-02-22$91.92$90.0025.1%7.3%29.8%52.2%25.9%4.8%-0.3%2.7M-33.3M-448.9K1.1235.92N/AN/A3,5523,96922,67716,050
2016-02-23$92.01$90.0025.8%7.6%29.7%56.2%27.6%4.5%-0.8%2.7M-33.8M-466.1K0.9637.54N/AN/A4,0883,90723,56716,859
2016-02-24$92.35$90.0025.4%7.4%29.2%54.2%29.0%4.2%-0.5%4.4M-42.2M-475.7K1.8031.75N/AN/A3,4026,13825,10717,348
2016-02-25$93.10$90.0025.1%7.3%29.2%52.3%26.2%4.8%-0.5%4.5M-51.1M-496.1K1.0032.97N/AN/A3,3293,34125,46720,096
2016-02-26$93.17$91.0024.5%7.2%29.3%48.6%25.7%3.7%-0.7%5.2M-55.1M-491.5K1.1432.83N/AN/A3,2793,74125,48720,476
2016-02-29$91.67$91.0025.3%7.5%30.0%53.1%25.4%3.6%-0.0%1.9M-23.6M-470.9K1.0939.44N/AN/A2,4692,70024,24119,390