CME Options History — July 2016

In July 2016, CME traded between $96.35 and $102.64. ATM implied volatility averaged 19.2%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 0.9% (HV 20d: 20.0%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.67.

Notable Days

  • 2016-07-22: Highest Volume — 7,695 contracts
  • 2016-07-27: Largest IV drop — 9.5% change
  • 2016-07-07: Highest IV Rank — 29.3%
  • 2016-07-05: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.48$96.35$102.64$96.35$102.40
Max Pain$96.13$95.00$100.00$95.00$100.00
ATM IV19.2%16.0%21.6%21.2%16.0%
Expected Move5.3%4.5%6.0%5.0%4.5%
HV 20d20.0%11.2%22.6%21.9%11.2%
HV 60d17.0%15.9%18.3%18.3%15.9%
IV Rank15.2%0.0%29.3%27.1%0.0%
IV Percentile25.3%0.0%54.4%48.8%0.0%
Term Structure-0.5%-2.1%0.8%-0.1%0.4%
VWIV19.3%16.5%21.8%18.0%16.7%
Skew 25d3.9%3.2%4.7%4.2%3.4%
Skew 10d8.6%7.3%10.6%9.0%7.8%
Call IV 25d17.6%14.5%20.0%20.0%14.5%
Put IV 25d21.6%18.0%24.3%24.2%18.0%
Bid-Ask Spread %31.2619.8638.5833.6529.07
Gamma HHI0.170.110.240.110.19
Net GEX6.1M3.2M8.5M3.9M5.9M
Net DEX-86.6M-124.3M-37.3M-37.3M-105.7M
Net VEX-632.6K-669.6K-600.9K-669.6K-617.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.391.080.790.63
Total Volume5,857.454,4937,6955,4825,981
Total OI47,799.144,77452,03547,81652,035

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$96.35$95.0021.2%5.0%21.9%27.1%18.0%4.2%-0.1%3.9M-37.3M-669.6K0.7933.65N/AN/A3,0632,41923,76524,051
2016-07-05$97.85$95.0021.4%6.0%22.6%27.9%20.6%4.7%-0.9%3.2M-46.0M-667.7K0.8726.99N/AN/A2,5832,24722,16222,612
2016-07-06$98.15$95.0021.4%6.0%22.4%27.9%21.2%4.1%-0.7%3.7M-52.2M-668.7K0.6531.79N/AN/A3,1562,04822,59122,894
2016-07-07$98.05$95.0021.6%6.0%22.2%29.3%21.8%4.4%-0.8%4.1M-52.4M-667.0K0.6128.42N/AN/A3,1361,90423,46222,925
2016-07-08$98.97$95.0020.5%5.3%22.3%22.5%19.5%4.6%-0.8%8.5M-69.6M-643.1K0.5135.31N/AN/A3,9292,01523,62322,960
2016-07-11$99.42$95.0020.3%5.4%22.4%21.7%19.4%4.2%-1.5%5.7M-74.5M-635.3K0.4929.95N/AN/A4,4252,15123,49922,469
2016-07-12$99.80$95.0019.5%5.2%22.3%16.9%19.3%3.5%-1.3%6.5M-88.1M-631.1K0.3932.37N/AN/A4,3301,68025,06823,028
2016-07-13$99.72$95.0019.9%5.1%22.2%19.3%19.8%3.9%-2.1%7.2M-89.2M-641.5K0.5422.76N/AN/A2,9101,58325,69523,166
2016-07-14$101.33$95.0018.6%5.2%22.4%11.1%18.5%3.8%-0.3%7.6M-115.6M-622.4K0.4623.04N/AN/A4,1581,89525,90623,202
2016-07-15$101.91$95.0018.4%5.2%22.3%9.9%17.4%3.8%-0.6%7.9M-124.3M-618.3K0.5719.86N/AN/A4,5782,61526,24223,494
2016-07-18$101.55$95.0017.8%5.0%21.9%6.6%19.6%4.0%0.8%7.0M-100.8M-623.0K0.6935.15N/AN/A3,1402,16424,91820,577
2016-07-19$102.17$95.0018.6%5.3%21.8%11.5%18.9%4.2%0.1%6.8M-106.0M-622.3K0.7738.58N/AN/A3,1072,39425,05720,893
2016-07-20$101.59$95.0018.3%5.2%21.8%9.5%19.7%3.2%0.3%6.8M-100.4M-622.6K0.7032.00N/AN/A3,2772,30725,49121,345
2016-07-21$101.02$97.5019.1%5.5%22.1%14.3%20.0%3.5%-0.3%6.6M-91.4M-632.4K0.5634.21N/AN/A3,4771,95625,98521,611
2016-07-22$101.74$97.5018.6%5.4%21.2%11.4%19.4%3.7%-0.5%7.3M-103.2M-625.1K1.0833.16N/AN/A3,6983,99726,04621,698
2016-07-25$101.47$97.5019.5%5.7%21.1%17.0%20.7%4.1%-0.8%5.1M-86.8M-621.7K0.7733.26N/AN/A2,8632,21725,14323,272
2016-07-26$101.44$97.5019.3%5.7%12.6%15.7%20.4%4.0%-0.2%5.2M-86.4M-616.8K0.6233.85N/AN/A3,4232,11125,26023,450
2016-07-27$102.64$97.5017.5%5.2%12.6%4.7%19.0%3.4%0.1%6.3M-106.7M-600.9K0.8038.00N/AN/A4,2563,39125,50823,511
2016-07-28$102.00$100.0016.2%4.7%11.6%0.0%16.5%4.3%0.0%6.9M-95.0M-605.5K0.9433.78N/AN/A3,3893,17626,40824,960
2016-07-29$102.40$100.0016.0%4.5%11.2%0.0%16.7%3.4%0.4%5.9M-105.7M-617.2K0.6329.07N/AN/A3,6602,32126,89825,137