CME Options History — September 2016 In September 2016, CME traded between $104.74 and $109.87. ATM implied volatility averaged 16.5%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 4.6% (HV 20d: 11.9%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.63.
Notable Days 2016-09-12 : Highest Volume — 14,857 contracts2016-09-26 : Largest IV spike — 15.6% change2016-09-29 : Highest IV Rank — 34.0%2016-09-13 : Largest Expected Move — 5.4%Monthly Statistics Metric Avg Min Max Open Close Price $107.47 $104.74 $109.87 $108.71 $104.74 Max Pain $104.52 $100.00 $105.00 $100.00 $105.00 ATM IV 16.5% 14.6% 20.0% 14.7% 19.2% Expected Move 4.6% 4.0% 5.4% 4.1% 4.6% HV 20d 11.9% 9.9% 14.1% 10.2% 13.9% HV 60d 13.8% 11.3% 15.4% 14.9% 11.7% IV Rank 16.7% 7.1% 34.0% 7.8% 29.8% IV Percentile 16.4% 5.6% 46.0% 6.0% 34.5% Term Structure 0.4% -1.3% 2.7% 0.2% 0.1% VWIV 16.6% 13.9% 18.9% 15.1% 16.7% Skew 25d 3.7% 2.9% 5.2% 3.6% 3.5% Skew 10d 8.1% 5.0% 11.0% 7.1% 6.9% Call IV 25d 15.2% 13.1% 18.2% 14.1% 18.2% Put IV 25d 18.9% 16.6% 21.8% 17.7% 21.7% Bid-Ask Spread % 34.77 26.93 47.80 28.49 35.72 Gamma HHI 0.21 0.16 0.37 0.21 0.27 Net GEX 8.8M -2.3M 20.0M 12.9M -2.3M Net DEX -121.3M -184.9M -31.5M -184.9M -31.5M Net VEX -811.3K -902.7K -588.0K -611.5K -846.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.18 2.38 0.57 0.46 Total Volume 9,143.619 5,059 14,857 6,619 6,403 Total OI 57,784.667 52,327 63,453 56,772 59,620
Daily Data (21 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 2016-09-01 $108.71 $100.00 14.7% 4.1% 10.2% 7.8% 15.1% 3.6% 0.2% 12.9M -184.9M -611.5K 0.57 28.49 N/A N/A 4,204 2,415 32,380 24,392 2016-09-02 $108.34 $100.00 14.6% 4.0% 9.9% 7.1% 13.9% 3.5% -0.3% 11.8M -177.8M -618.7K 0.59 26.93 N/A N/A 3,980 2,356 33,263 24,585 2016-09-06 $107.56 $105.00 14.9% 4.2% 10.2% 9.0% 15.2% 3.7% 0.2% 11.4M -155.6M -588.0K 0.19 31.01 N/A N/A 10,617 2,055 32,368 24,204 2016-09-07 $106.89 $105.00 15.1% 4.8% 10.5% 9.7% 18.1% 3.5% 0.4% 9.3M -97.8M -643.9K 0.20 31.89 N/A N/A 10,259 2,095 28,234 24,338 2016-09-08 $106.60 $105.00 14.8% 4.8% 10.6% 8.4% 18.7% 3.5% 0.7% 10.6M -119.5M -795.2K 0.18 33.88 N/A N/A 11,162 2,017 33,302 24,594 2016-09-09 $106.28 $105.00 16.3% 5.1% 10.6% 15.4% 18.1% 2.9% 0.9% 9.4M -113.4M -824.4K 0.28 33.71 N/A N/A 10,687 2,947 34,027 24,738 2016-09-12 $108.24 $105.00 16.8% 4.6% 12.1% 17.9% 17.9% 4.9% -1.3% 13.0M -148.2M -836.3K 0.42 30.85 N/A N/A 10,492 4,365 34,247 25,362 2016-09-13 $107.50 $105.00 17.5% 5.4% 12.1% 21.8% 18.9% 3.6% 1.2% 11.2M -131.6M -902.7K 0.45 47.80 N/A N/A 9,979 4,527 34,765 26,924 2016-09-14 $107.65 $105.00 16.7% 4.5% 11.5% 17.5% 18.2% 4.0% -0.9% 11.3M -135.9M -873.3K 0.39 37.67 N/A N/A 9,755 3,757 35,087 27,352 2016-09-15 $109.44 $105.00 15.5% 4.4% 11.5% 11.8% 18.5% 4.3% -0.6% 17.1M -172.8M -844.0K 0.58 31.55 N/A N/A 6,172 3,558 35,244 27,438 2016-09-16 $109.74 $105.00 15.0% 4.3% 11.4% 9.5% 14.9% 3.9% 0.4% 20.0M -164.8M -899.8K 0.55 30.64 N/A N/A 5,452 3,021 35,244 28,209 2016-09-19 $109.87 $105.00 15.5% 4.5% 11.3% 11.7% 15.7% 4.4% 2.0% 11.0M -162.8M -881.8K 0.79 37.44 N/A N/A 4,215 3,319 31,321 21,006 2016-09-20 $109.15 $105.00 16.0% 4.6% 11.6% 14.4% 16.5% 3.0% 1.7% 9.9M -149.3M -889.1K 0.84 39.72 N/A N/A 3,403 2,846 32,096 21,827 2016-09-21 $108.89 $105.00 15.3% 4.4% 11.7% 10.8% 15.9% 4.3% 1.7% 10.3M -147.4M -839.6K 0.77 47.22 N/A N/A 3,436 2,638 32,192 22,017 2016-09-22 $108.37 $105.00 15.6% 4.3% 11.8% 12.1% 15.7% 3.4% 2.7% 10.4M -136.1M -881.2K 0.96 43.19 N/A N/A 2,821 2,697 32,382 22,053 2016-09-23 $106.57 $105.00 16.4% 4.4% 13.4% 16.0% 15.0% 3.0% 2.6% 8.3M -105.6M -836.1K 2.38 36.42 N/A N/A 3,513 8,353 32,399 22,139 2016-09-26 $105.25 $105.00 18.9% 4.9% 14.1% 28.6% 16.7% 3.0% -0.8% 296.6K -47.4M -862.3K 0.78 30.93 N/A N/A 3,448 2,683 31,111 26,455 2016-09-27 $105.61 $105.00 18.7% 4.6% 13.4% 27.7% 16.1% 4.0% -0.6% 225.4K -56.5M -862.2K 0.68 33.82 N/A N/A 3,009 2,050 31,518 26,991 2016-09-28 $106.36 $105.00 19.0% 4.6% 13.6% 28.9% 15.4% 5.2% -0.3% 183.2K -69.5M -863.1K 0.56 30.53 N/A N/A 3,676 2,060 31,594 27,162 2016-09-29 $105.03 $105.00 20.0% 5.1% 14.0% 34.0% 17.4% 3.6% -0.6% -811.9K -38.5M -838.2K 0.59 30.76 N/A N/A 3,515 2,059 31,868 27,430 2016-09-30 $104.74 $105.00 19.2% 4.6% 13.9% 29.8% 16.7% 3.5% 0.1% -2.3M -31.5M -846.8K 0.46 35.72 N/A N/A 4,376 2,027 32,152 27,468
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