CME Options History — March 2016

In March 2016, CME traded between $92.36 and $96.73. ATM implied volatility averaged 20.8%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.0% (HV 20d: 18.9%). Max pain ranged from $91.50 to $97.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2016-03-18: Highest Volume — 18,343 contracts
  • 2016-03-28: Largest IV spike — 8.2% change
  • 2016-03-01: Highest IV Rank — 43.1%
  • 2016-03-01: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.00$92.36$96.73$92.36$96.07
Max Pain$94.66$91.50$97.50$91.50$96.00
ATM IV20.8%19.1%23.5%23.5%20.4%
Expected Move5.9%5.0%7.0%7.0%5.0%
HV 20d18.9%13.3%29.8%29.5%13.3%
HV 60d26.7%23.8%30.7%30.7%23.8%
IV Rank27.7%17.9%43.1%43.1%25.0%
IV Percentile43.2%23.4%69.0%69.0%34.1%
Term Structure0.6%-0.7%2.3%0.2%0.5%
VWIV21.2%18.3%26.0%26.0%18.4%
Skew 25d3.9%3.1%4.8%4.8%3.6%
Skew 10d9.1%6.3%11.6%10.3%7.5%
Call IV 25d19.5%17.5%22.2%22.2%19.0%
Put IV 25d23.4%21.0%27.0%27.0%22.6%
Bid-Ask Spread %25.2615.3937.9332.1528.96
Gamma HHI0.180.090.470.100.16
Net GEX6.9M2.5M16.8M2.5M7.4M
Net DEX-59.5M-107.6M-22.8M-30.5M-44.2M
Net VEX-474.2K-502.9K-440.4K-464.7K-502.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.321.491.140.96
Total Volume10,055.1825,59718,3435,9266,076
Total OI44,820.77338,96354,61144,13941,243

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$92.36$91.5023.5%7.0%29.5%43.1%26.0%4.8%0.2%2.5M-30.5M-464.7K1.1432.15N/AN/A2,7673,15924,39119,748
2016-03-02$93.20$92.0022.9%6.8%29.5%39.4%25.4%3.8%0.5%3.6M-41.7M-463.4K1.4033.49N/AN/A2,6633,74024,13920,149
2016-03-03$94.42$92.5021.4%6.3%29.8%30.9%23.3%4.1%0.6%4.6M-58.9M-453.2K1.4927.90N/AN/A2,6303,91624,31320,994
2016-03-04$94.81$92.5021.0%6.2%25.8%28.6%22.4%3.9%0.5%2.6M-67.7M-452.9K0.7325.17N/AN/A4,9433,61524,52721,249
2016-03-07$93.37$92.5021.7%6.5%25.5%32.9%22.6%4.2%1.3%2.5M-39.1M-440.4K0.3722.89N/AN/A8,1953,05624,10120,202
2016-03-08$93.27$92.5022.1%6.5%24.7%35.0%23.4%3.8%0.5%3.6M-44.2M-458.6K0.4223.20N/AN/A8,1603,46624,60620,464
2016-03-09$93.71$92.5022.1%6.6%21.2%35.3%23.3%4.4%0.6%3.9M-48.4M-461.7K0.3223.70N/AN/A11,0093,54424,67820,962
2016-03-10$93.56$92.5022.2%6.5%17.7%35.5%23.6%3.9%0.7%6.4M-58.3M-478.6K0.4622.64N/AN/A7,2573,34827,23821,426
2016-03-11$94.54$92.5020.4%5.9%17.1%25.2%21.5%3.9%0.4%8.2M-76.0M-470.5K0.5122.17N/AN/A6,6293,38827,69321,685
2016-03-14$96.44$92.5019.7%5.6%17.6%21.1%21.0%3.9%0.9%8.6M-99.5M-452.0K0.4115.39N/AN/A8,0733,31726,64720,624
2016-03-15$96.73$92.5020.3%5.8%17.4%24.7%20.5%3.7%0.1%8.5M-101.9M-452.2K0.9116.98N/AN/A6,7046,08627,04021,110
2016-03-16$96.33$97.5019.7%5.6%16.8%21.1%20.6%3.9%0.2%8.1M-90.4M-468.4K0.4534.95N/AN/A11,1004,94027,58722,213
2016-03-17$96.42$97.5019.4%5.5%16.3%19.3%21.8%4.3%0.4%11.1M-102.4M-473.0K0.5023.88N/AN/A10,7175,33529,61522,658
2016-03-18$95.99$97.5019.6%5.7%14.8%20.8%20.0%3.1%-0.7%11.3M-107.6M-473.4K0.6823.26N/AN/A10,9197,42431,42423,187
2016-03-21$95.88$97.5019.5%5.5%13.6%20.2%19.8%4.2%1.0%10.7M-58.8M-499.1K1.2627.50N/AN/A3,4564,34024,09815,421
2016-03-22$95.63$97.5019.6%5.4%13.7%20.4%18.6%3.8%0.9%13.4M-52.1M-490.2K1.0721.66N/AN/A4,3054,60224,64715,879
2016-03-23$96.48$97.5019.1%5.3%13.9%17.9%18.7%3.5%2.3%16.8M-70.8M-499.1K0.6637.93N/AN/A6,4844,30024,29016,713
2016-03-24$95.14$97.5019.9%5.5%14.8%22.3%18.9%4.4%2.3%3.8M-27.1M-496.6K0.8123.37N/AN/A4,4703,62923,55717,084
2016-03-28$95.21$96.0021.5%5.7%14.8%31.7%19.9%4.2%-0.3%4.4M-30.5M-497.9K1.1020.81N/AN/A2,6622,93522,02316,940
2016-03-29$94.87$96.0021.5%5.6%13.5%31.5%18.5%3.8%-0.1%4.0M-22.8M-489.3K0.7026.76N/AN/A4,3563,05522,16617,056
2016-03-30$95.54$96.0020.8%5.2%13.5%27.5%18.3%3.4%-0.2%5.6M-35.8M-495.0K1.1220.98N/AN/A3,0393,40522,95117,319
2016-03-31$96.07$96.0020.4%5.0%13.3%25.0%18.4%3.6%0.5%7.4M-44.2M-502.9K0.9628.96N/AN/A3,1042,97223,35517,888