CME Options History — April 2016

In April 2016, CME traded between $89.20 and $96.98. ATM implied volatility averaged 20.8%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.5% (HV 20d: 18.3%). Max pain ranged from $92.50 to $96.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2016-04-21: Highest Volume — 14,152 contracts
  • 2016-04-07: Largest IV spike — 5.9% change
  • 2016-04-11: Highest IV Rank — 41.2%
  • 2016-04-11: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.71$89.20$96.98$96.98$91.88
Max Pain$93.48$92.50$96.00$96.00$93.00
ATM IV20.8%19.0%23.2%19.6%19.0%
Expected Move5.8%4.9%6.4%4.9%5.5%
HV 20d18.3%12.9%21.5%12.9%21.0%
HV 60d23.1%21.6%25.3%23.8%22.3%
IV Rank27.4%17.3%41.2%20.7%17.3%
IV Percentile41.5%23.0%67.1%26.2%23.0%
Term Structure-0.3%-1.9%0.6%0.5%-0.1%
VWIV20.5%17.0%22.6%17.0%19.4%
Skew 25d3.6%2.8%5.0%3.3%2.8%
Skew 10d7.5%4.3%10.3%9.1%10.3%
Call IV 25d19.3%18.0%21.6%18.0%18.0%
Put IV 25d22.9%20.8%25.9%21.2%20.8%
Bid-Ask Spread %21.5114.3231.9924.7029.16
Gamma HHI0.150.080.620.140.62
Net GEX5.0M-1.2M19.6M7.1M19.6M
Net DEX-13.6M-72.7M55.7M-64.2M2.4M
Net VEX-464.4K-506.8K-401.9K-492.2K-461.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.371.531.050.87
Total Volume8,425.816,16914,1527,2407,204
Total OI45,584.61938,23951,90541,56051,905

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$96.98$96.0019.6%4.9%12.9%20.7%17.0%3.3%0.5%7.1M-64.2M-492.2K1.0524.70N/AN/A3,5313,70923,48018,080
2016-04-04$96.63$95.0020.7%5.5%13.0%26.8%19.4%3.7%-0.3%5.1M-48.1M-482.8K0.5819.24N/AN/A4,2172,42821,70916,530
2016-04-05$94.42$95.0021.7%5.9%14.5%32.6%22.0%3.6%-1.0%4.1M-22.9M-478.4K0.6514.32N/AN/A4,4292,88522,87416,749
2016-04-06$94.41$95.0021.2%6.0%14.5%30.0%21.9%4.0%-0.1%4.7M-21.6M-478.2K1.0922.35N/AN/A4,0344,38424,24717,294
2016-04-07$92.14$95.0022.5%6.3%16.9%37.2%22.1%4.7%-0.3%259.0K22.7M-460.1K0.6417.89N/AN/A4,7773,07424,89219,266
2016-04-08$89.20$95.0023.1%6.3%20.3%40.9%22.3%4.3%-0.4%-1.0M55.7M-401.9K1.5316.22N/AN/A5,3098,09726,42719,509
2016-04-11$89.76$95.0023.2%6.4%20.0%41.2%22.6%3.9%-0.9%-1.2M45.5M-432.7K1.2414.60N/AN/A3,3874,21526,43820,257
2016-04-12$90.11$92.5022.8%6.2%18.3%39.1%22.1%5.0%-1.0%-1.0M40.0M-445.4K1.2415.54N/AN/A3,2153,98127,00520,640
2016-04-13$90.19$92.5021.9%5.9%18.2%33.8%19.6%3.6%-1.2%-1.1M39.9M-444.5K1.1118.17N/AN/A3,4703,83527,40621,045
2016-04-14$90.97$92.5020.8%5.9%18.7%27.7%20.3%3.9%0.0%2.7M21.6M-454.5K0.9521.61N/AN/A3,1633,00630,20921,113
2016-04-15$91.36$92.5020.2%5.5%18.8%24.0%20.5%3.3%-1.9%3.9M17.2M-443.6K0.9420.13N/AN/A3,3093,12530,11021,246
2016-04-18$91.45$92.5020.3%5.8%18.9%24.9%19.7%3.3%0.6%4.7M-9.3M-441.9K1.3023.16N/AN/A2,8053,63722,67417,346
2016-04-19$92.51$92.5019.7%5.6%19.5%21.2%19.5%2.9%0.2%4.8M-23.2M-450.7K0.7424.12N/AN/A5,2683,89822,82317,808
2016-04-20$93.20$92.5019.6%5.6%19.8%20.5%20.2%2.8%0.3%6.4M-47.7M-471.0K1.0127.47N/AN/A5,0715,11625,47318,456
2016-04-21$93.06$92.5019.9%5.7%19.4%22.1%20.4%3.7%-0.5%6.0M-45.0M-472.7K0.4223.00N/AN/A9,9694,18325,77419,818
2016-04-22$94.20$92.5019.6%5.7%19.5%20.6%20.1%3.4%-0.6%8.0M-66.0M-492.9K0.5022.01N/AN/A6,7553,35227,04820,024
2016-04-25$93.58$92.5020.4%5.9%19.6%25.4%21.0%3.3%0.4%6.2M-43.0M-489.8K0.9120.06N/AN/A3,3173,03025,66719,470
2016-04-26$94.19$93.0020.4%5.9%19.7%25.5%21.3%4.3%-0.6%6.4M-53.7M-489.0K0.4222.25N/AN/A8,1013,36726,02220,159
2016-04-27$94.54$93.0020.2%6.0%19.6%24.1%20.6%3.3%-0.3%9.7M-72.7M-506.8K0.3731.99N/AN/A6,2452,28629,07320,584
2016-04-28$92.07$93.0019.4%5.4%21.5%19.6%19.3%3.5%-0.1%9.4M-12.1M-462.1K1.0923.75N/AN/A3,7074,05129,73220,895
2016-04-29$91.88$93.0019.0%5.5%21.0%17.3%19.4%2.8%-0.1%19.6M2.4M-461.0K0.8729.16N/AN/A3,8543,35030,22721,678