CME Options History — August 2016

In August 2016, CME traded between $103.08 and $108.41. ATM implied volatility averaged 14.5%, placing in the 2.2% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 4.5% (HV 20d: 9.9%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.67.

Notable Days

2016-08-05: Highest Volume — 10,443 contracts
2016-08-31: Largest IV spike — 9.3% change
2016-08-31: Highest IV Rank — 10.0%
2016-08-02: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$105.02	$103.08	$108.41	$103.08	$108.41
Max Pain	$96.63	$95.00	$100.00	$100.00	$100.00
ATM IV	14.5%	13.1%	16.1%	15.6%	15.1%
Expected Move	4.1%	3.8%	4.5%	4.4%	4.3%
HV 20d	9.9%	8.7%	10.9%	10.6%	10.2%
HV 60d	15.3%	15.0%	16.0%	16.0%	15.0%
IV Rank	2.2%	0.0%	10.0%	0.0%	10.0%
IV Percentile	1.1%	0.0%	7.1%	0.0%	7.1%
Term Structure	0.2%	-0.8%	1.0%	0.4%	0.1%
VWIV	16.7%	14.7%	19.1%	16.4%	15.5%
Skew 25d	3.5%	2.8%	4.4%	3.3%	3.3%
Skew 10d	7.6%	5.3%	10.7%	8.7%	7.0%
Call IV 25d	13.4%	12.4%	14.8%	14.7%	14.0%
Put IV 25d	16.9%	15.7%	18.4%	18.0%	17.3%
Bid-Ask Spread %	28.90	18.86	41.59	27.90	28.66
Gamma HHI	0.20	0.15	0.27	0.19	0.18
Net GEX	10.4M	6.1M	15.0M	6.5M	12.1M
Net DEX	-134.4M	-181.9M	-101.9M	-101.9M	-181.9M
Net VEX	-586.3K	-605.8K	-544.9K	-603.5K	-579.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.23	1.00	0.79	0.48
Total Volume	5,133.043	855	10,443	4,346	7,944
Total OI	52,247.913	47,834	56,432	47,834	55,171

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-08-01	$103.08	$100.00	15.6%	4.4%	10.6%	0.0%	16.4%	3.3%	0.4%	6.5M	-101.9M	-603.5K	0.79	27.90	N/A	N/A	2,432	1,914	25,037	22,797
2016-08-02	$103.30	$100.00	16.1%	4.5%	9.6%	2.7%	16.5%	3.7%	0.5%	6.1M	-105.3M	-597.0K	1.00	31.94	N/A	N/A	2,405	2,410	25,104	23,188
2016-08-03	$103.16	$100.00	15.6%	4.4%	9.7%	0.0%	16.1%	3.3%	0.6%	6.3M	-105.7M	-587.6K	0.69	32.80	N/A	N/A	3,250	2,232	25,289	23,494
2016-08-04	$103.30	$95.00	15.4%	4.3%	9.6%	0.0%	18.6%	3.2%	0.4%	6.3M	-104.6M	-589.3K	0.59	25.03	N/A	N/A	3,065	1,798	25,317	23,737
2016-08-05	$104.45	$95.00	14.5%	4.3%	9.8%	0.0%	16.7%	3.1%	0.8%	6.8M	-126.2M	-550.1K	0.23	26.26	N/A	N/A	8,485	1,958	25,464	23,656
2016-08-08	$104.07	$95.00	14.8%	4.3%	10.0%	1.6%	18.6%	3.1%	0.5%	11.4M	-133.4M	-603.6K	0.87	28.92	N/A	N/A	2,467	2,154	28,968	23,410
2016-08-09	$103.77	$95.00	14.7%	4.1%	10.1%	0.9%	18.3%	3.0%	-0.7%	11.8M	-127.2M	-601.0K	0.71	26.11	N/A	N/A	2,665	1,890	29,502	23,956
2016-08-10	$103.65	$95.00	14.1%	4.0%	10.1%	0.0%	17.1%	2.8%	-0.4%	12.3M	-125.5M	-599.5K	0.78	23.76	N/A	N/A	2,509	1,968	30,053	24,033
2016-08-11	$103.32	$95.00	14.8%	4.1%	8.8%	3.7%	16.7%	3.5%	-0.8%	11.3M	-117.0M	-601.3K	0.85	25.68	N/A	N/A	2,290	1,936	30,240	24,282
2016-08-12	$103.75	$95.00	14.3%	4.0%	8.7%	1.1%	16.9%	4.0%	-0.5%	12.0M	-128.6M	-590.7K	0.73	26.07	N/A	N/A	2,550	1,869	30,400	24,502
2016-08-15	$104.89	$95.00	14.1%	4.1%	9.2%	0.0%	15.4%	4.0%	0.2%	13.6M	-143.4M	-576.8K	0.65	18.86	N/A	N/A	2,823	1,841	29,020	23,929
2016-08-16	$104.04	$95.00	14.2%	4.1%	9.7%	0.9%	17.1%	2.9%	1.0%	15.0M	-125.4M	-589.3K	0.82	23.55	N/A	N/A	2,675	2,203	29,693	24,209
2016-08-17	$105.81	$95.00	15.1%	4.3%	10.9%	5.1%	15.4%	4.0%	0.2%	13.4M	-166.5M	-561.8K	0.23	27.88	N/A	N/A	2,718	622	29,956	24,531
2016-08-18	$106.33	$95.00	14.2%	4.1%	10.5%	0.4%	14.7%	4.4%	-0.2%	10.3M	-180.5M	-569.5K	0.45	23.66	N/A	N/A	1,229	556	30,913	24,837
2016-08-19	$105.98	$97.50	13.7%	3.9%	10.6%	0.0%	15.3%	3.3%	0.1%	12.3M	-173.5M	-577.8K	0.56	24.61	N/A	N/A	4,177	2,321	31,256	25,176
2016-08-22	$105.77	$95.00	13.1%	3.8%	10.6%	0.0%	16.2%	2.9%	0.3%	9.5M	-128.4M	-587.7K	1.00	35.85	N/A	N/A	2,495	2,493	27,412	22,028
2016-08-23	$106.02	$97.50	13.7%	3.9%	10.5%	2.7%	17.0%	3.6%	0.1%	8.9M	-128.1M	-602.9K	0.93	35.52	N/A	N/A	2,448	2,277	27,743	22,806
2016-08-24	$105.82	$97.50	14.0%	4.0%	10.0%	4.5%	15.6%	3.2%	0.2%	8.9M	-127.0M	-568.6K	0.79	41.59	N/A	N/A	477	378	27,929	23,044
2016-08-25	$105.63	$97.50	13.7%	4.0%	9.6%	2.8%	18.6%	4.1%	0.5%	9.1M	-119.7M	-605.8K	0.63	36.87	N/A	N/A	3,607	2,271	28,218	23,275
2016-08-26	$105.92	$97.50	14.2%	4.0%	9.6%	5.4%	15.3%	3.6%	0.3%	12.9M	-128.4M	-596.8K	0.81	35.10	N/A	N/A	2,938	2,376	28,814	23,534
2016-08-29	$107.21	$97.50	14.2%	4.1%	10.2%	5.5%	17.1%	3.2%	-0.1%	10.6M	-151.4M	-544.9K	0.41	30.02	N/A	N/A	5,663	2,307	28,357	23,016
2016-08-30	$107.78	$97.50	13.9%	3.9%	10.2%	3.6%	19.1%	4.3%	0.3%	12.3M	-162.8M	-599.4K	0.47	28.15	N/A	N/A	4,751	2,223	30,819	23,587
2016-08-31	$108.41	$100.00	15.1%	4.3%	10.2%	10.0%	15.5%	3.3%	0.1%	12.1M	-181.9M	-579.8K	0.48	28.66	N/A	N/A	5,381	2,563	31,269	23,902