CME Options History — October 2016

In October 2016, CME traded between $99.95 and $105.55. ATM implied volatility averaged 18.5%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 6.2% (HV 20d: 12.3%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.18.

Notable Days

  • 2016-10-05: Highest Volume — 11,617 contracts
  • 2016-10-21: Largest IV drop — 9.0% change
  • 2016-10-05: Highest IV Rank — 34.1%
  • 2016-10-07: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.41$99.95$105.55$104.11$100.25
Max Pain$106.67$105.00$110.00$105.00$105.00
ATM IV18.5%16.6%20.0%19.7%17.0%
Expected Move5.2%4.7%5.5%4.9%5.0%
HV 20d12.3%9.7%13.9%13.9%13.5%
HV 60d11.7%11.0%12.9%11.6%12.7%
IV Rank26.5%17.4%34.1%32.3%19.0%
IV Percentile31.4%15.1%47.6%42.5%19.0%
Term Structure-0.2%-1.5%1.0%-0.2%0.8%
VWIV18.8%16.9%21.3%16.9%18.1%
Skew 25d3.8%2.5%5.8%3.6%4.0%
Skew 10d8.5%4.2%14.3%8.6%8.5%
Call IV 25d17.4%14.9%18.8%18.6%14.9%
Put IV 25d21.1%18.5%23.0%22.2%18.9%
Bid-Ask Spread %27.3515.4438.0732.7526.14
Gamma HHI0.150.100.240.240.10
Net GEX2.3M-2.8M6.6M-931.9K-302.8K
Net DEX-40.9M-84.0M4.0M-18.1M-5.5M
Net VEX-761.1K-831.5K-612.8K-831.2K-642.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.462.820.461.05
Total Volume6,115.8573,97511,6176,2084,781
Total OI58,678.66754,84362,56158,97557,329

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$104.11$105.0019.7%4.9%13.9%32.3%16.9%3.6%-0.2%-931.9K-18.1M-831.2K0.4632.75N/AN/A4,2461,96231,84227,133
2016-10-04$103.88$105.0019.6%5.1%13.8%32.0%18.3%4.3%0.1%-713.3K-14.3M-831.5K0.6725.26N/AN/A3,2982,21032,42727,373
2016-10-05$104.06$105.0020.0%5.0%13.7%34.1%17.9%4.0%0.1%-74.8K-16.3M-824.0K2.6331.76N/AN/A3,2018,41632,88927,711
2016-10-06$104.08$110.0019.9%5.4%13.7%33.1%21.1%3.9%-0.0%432.3K-8.1M-808.9K2.8226.49N/AN/A2,9078,18833,20229,359
2016-10-07$103.82$110.0019.4%5.5%13.7%30.9%21.1%4.1%-0.1%3.1M-52.8M-792.9K1.1332.27N/AN/A2,8363,21533,36424,554
2016-10-10$103.96$110.0019.6%5.3%11.7%31.9%21.2%4.3%-0.7%4.9M-58.7M-795.3K1.1224.55N/AN/A2,8773,22631,29923,544
2016-10-11$103.87$110.0019.7%5.3%11.6%32.2%18.5%3.2%-1.1%5.2M-66.3M-774.0K1.9520.43N/AN/A2,7275,30631,97123,742
2016-10-12$104.40$110.0019.6%5.2%11.8%32.1%19.1%3.5%-1.2%4.5M-59.3M-808.7K1.1328.42N/AN/A2,4302,73832,26626,003
2016-10-13$103.99$110.0019.8%5.3%9.7%33.0%17.5%4.3%-1.5%3.9M-52.1M-809.4K0.8127.25N/AN/A3,3342,71332,52926,444
2016-10-14$105.55$110.0018.7%5.2%11.4%27.4%18.8%4.0%-0.6%6.6M-84.0M-806.1K0.8419.85N/AN/A3,1842,68533,04426,594
2016-10-17$103.89$105.0019.0%5.4%12.3%28.8%20.0%3.6%-0.7%3.1M-59.5M-747.4K1.2515.44N/AN/A2,3712,96732,64526,561
2016-10-18$104.03$105.0018.4%5.2%12.3%26.0%21.3%4.1%-0.5%3.2M-56.0M-799.0K1.1924.07N/AN/A2,3142,75532,98426,964
2016-10-19$104.12$105.0017.7%5.1%12.4%22.8%18.3%4.0%-0.3%3.2M-55.3M-779.4K0.9828.98N/AN/A2,7112,66233,12526,969
2016-10-20$103.74$105.0018.3%5.3%12.4%25.5%18.7%3.1%-0.9%3.0M-57.0M-744.3K1.0729.06N/AN/A2,4412,61433,54826,968
2016-10-21$104.19$105.0016.6%4.7%11.3%17.4%18.5%5.8%0.6%4.1M-54.1M-757.5K0.9620.12N/AN/A2,6322,51733,60327,077
2016-10-24$103.58$105.0017.4%5.1%10.6%21.2%18.5%2.5%1.0%3.5M-53.3M-730.3K0.9236.88N/AN/A2,2732,10131,06425,624
2016-10-25$103.29$105.0017.6%5.3%10.5%22.1%17.9%3.1%0.8%3.2M-49.9M-715.3K1.1638.07N/AN/A1,8422,13331,23125,642
2016-10-26$102.83$105.0016.9%5.2%10.1%18.4%18.6%3.7%0.6%2.6M-39.2M-718.9K0.9233.02N/AN/A2,4242,22731,37925,823
2016-10-27$99.95$105.0016.9%4.9%13.4%18.5%17.1%2.6%-0.1%-1.1M-2.1M-612.8K0.7226.41N/AN/A4,3013,09831,66626,113
2016-10-28$100.03$105.0016.7%5.1%13.5%17.7%17.8%3.1%0.1%-2.8M4.0M-653.0K1.0527.20N/AN/A2,7142,85631,98526,662
2016-10-31$100.25$105.0017.0%5.0%13.5%19.0%18.1%4.0%0.8%-302.8K-5.5M-642.7K1.0526.14N/AN/A2,3302,45130,86026,469