CME Options History — June 2016

In June 2016, CME traded between $93.01 and $97.91. ATM implied volatility averaged 19.3%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 5.9% (HV 20d: 13.4%). Max pain ranged from $94.00 to $97.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.82.

Notable Days

  • 2016-06-27: Highest Volume — 10,997 contracts
  • 2016-06-24: Largest IV spike — 20.0% change
  • 2016-06-27: Highest IV Rank — 55.3%
  • 2016-06-27: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.43$93.01$97.91$97.91$97.12
Max Pain$95.98$94.00$97.50$94.00$95.00
ATM IV19.3%16.7%26.0%17.3%21.3%
Expected Move5.4%4.8%7.3%4.8%5.2%
HV 20d13.4%9.0%21.8%13.2%21.8%
HV 60d16.7%16.0%18.9%16.5%18.9%
IV Rank16.9%3.9%55.3%7.2%27.5%
IV Percentile25.8%0.8%81.7%6.7%51.2%
Term Structure0.4%-1.0%2.2%0.2%0.0%
VWIV19.4%15.9%25.7%17.2%17.6%
Skew 25d4.2%2.9%6.1%3.0%4.9%
Skew 10d9.3%7.0%12.7%7.3%10.6%
Call IV 25d17.7%15.4%24.0%16.1%19.5%
Put IV 25d21.9%18.7%30.2%19.1%24.3%
Bid-Ask Spread %30.1918.7747.0329.0140.42
Gamma HHI0.110.070.250.140.13
Net GEX2.8M-3.6M5.7M5.3M5.7M
Net DEX-17.8M-56.5M12.4M-56.5M-52.3M
Net VEX-597.5K-676.8K-561.5K-586.5K-669.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.471.591.030.59
Total Volume7,178.4095,17210,9975,3197,076
Total OI45,292.86438,02950,38544,68147,893

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$97.91$94.0017.3%4.8%13.2%7.2%17.2%3.0%0.2%5.3M-56.5M-586.5K1.0329.01N/AN/A2,6212,69823,81420,867
2016-06-02$97.44$97.5017.1%5.1%13.2%6.2%17.8%3.7%0.1%4.8M-47.0M-584.2K1.0224.43N/AN/A2,5622,61024,14621,435
2016-06-03$96.84$97.5016.8%4.9%13.5%4.3%18.1%2.9%-0.1%3.7M-36.9M-583.9K1.1127.37N/AN/A2,7293,03024,19821,528
2016-06-06$96.77$97.5016.7%4.8%13.5%3.9%17.6%3.5%-0.2%4.1M-35.6M-574.1K1.0226.62N/AN/A2,6912,75724,12122,024
2016-06-07$96.05$97.5017.3%5.0%13.2%7.3%15.9%3.4%0.1%3.3M-26.1M-561.6K0.4719.24N/AN/A6,2872,92924,29822,296
2016-06-08$95.43$97.5017.2%4.9%13.2%6.6%16.5%3.0%-0.1%3.1M-12.2M-565.8K0.6220.78N/AN/A4,9743,06123,99022,679
2016-06-09$95.18$97.5017.3%4.9%12.6%7.6%17.4%3.4%-0.2%2.6M-6.1M-561.5K0.6425.09N/AN/A4,8823,13624,30522,895
2016-06-10$95.28$97.5017.2%5.1%11.3%6.8%18.3%3.8%0.9%2.7M-7.4M-569.3K0.6129.92N/AN/A4,9503,03824,43223,069
2016-06-13$95.27$97.5018.8%5.5%10.9%12.7%19.5%4.6%-0.9%3.1M-11.6M-568.7K0.8318.77N/AN/A3,4692,88724,05222,554
2016-06-14$94.79$97.5019.3%5.5%10.8%15.3%19.8%5.0%0.5%2.4M-3.6M-574.6K0.8221.82N/AN/A3,7213,05524,35522,895
2016-06-15$94.14$95.0019.2%5.5%11.1%14.9%20.6%4.7%0.3%1.2M4.1M-571.5K0.8528.17N/AN/A3,5883,05124,82723,205
2016-06-16$95.10$95.0019.3%5.5%10.4%15.6%21.4%4.9%0.5%3.3M-7.6M-576.2K0.7523.00N/AN/A4,7013,53724,96623,435
2016-06-17$94.11$95.0019.5%5.5%10.6%16.5%20.6%4.7%0.6%-3.6M6.6M-590.6K0.8623.05N/AN/A4,0823,50526,29124,094
2016-06-20$94.03$95.0019.4%5.5%10.3%16.5%18.3%3.6%1.9%1.3M-2.6M-579.4K0.7047.03N/AN/A3,7552,62219,82218,207
2016-06-21$93.53$95.0019.6%5.5%10.3%17.3%19.4%4.2%1.9%827.6K4.4M-585.9K0.4931.04N/AN/A4,6762,29920,65818,841
2016-06-22$94.13$95.0019.0%5.6%9.0%14.0%20.1%4.3%2.2%1.5M-2.0M-604.0K0.8132.13N/AN/A3,3732,72721,49719,118
2016-06-23$96.09$95.0018.4%5.3%12.1%10.3%18.5%4.6%1.6%3.8M-26.4M-622.7K0.8441.51N/AN/A3,4242,86621,70719,780
2016-06-24$97.12$95.0022.1%6.3%12.7%32.3%22.3%5.8%-0.1%2.6M-49.7M-638.4K1.0645.91N/AN/A3,9464,17522,16119,931
2016-06-27$93.01$95.0026.0%7.3%19.3%55.3%25.7%6.1%-0.3%115.0K12.4M-640.1K0.6439.47N/AN/A6,6864,31121,11320,512
2016-06-28$94.10$95.0023.6%6.2%19.9%41.6%22.9%4.7%-1.0%3.4M-745.8K-659.4K1.5936.32N/AN/A3,0404,84623,90522,025
2016-06-29$96.03$95.0022.2%5.5%21.4%32.7%20.6%4.5%-0.2%5.3M-35.9M-676.8K0.6833.00N/AN/A4,4913,06124,40124,101
2016-06-30$97.12$95.0021.3%5.2%21.8%27.5%17.6%4.9%0.0%5.7M-52.3M-669.0K0.5940.42N/AN/A4,4542,62224,01223,881