CME Options History — November 2016

In November 2016, CME traded between $99.61 and $117.23. ATM implied volatility averaged 20.0%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 6.6% (HV 20d: 26.7%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2016-11-10: Highest Volume — 14,335 contracts
  • 2016-11-25: Largest IV drop — 11.6% change
  • 2016-11-22: Highest IV Rank — 48.6%
  • 2016-11-14: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.79$99.61$117.23$99.61$113.06
Max Pain$100.48$100.00$105.00$105.00$100.00
ATM IV20.0%17.5%23.0%18.6%20.8%
Expected Move5.5%5.0%6.3%5.8%5.2%
HV 20d26.7%13.6%32.4%13.6%29.9%
HV 60d18.7%12.7%21.2%12.7%21.1%
IV Rank34.0%21.8%48.6%26.9%37.7%
IV Percentile51.5%23.8%78.2%32.9%61.9%
Term Structure0.1%-1.8%3.0%-1.0%-0.1%
VWIV20.3%17.1%24.3%19.2%18.6%
Skew 25d3.5%1.4%10.1%4.6%2.4%
Skew 10d6.7%-2.2%13.3%6.8%4.0%
Call IV 25d18.9%16.2%21.4%16.3%18.7%
Put IV 25d22.4%19.9%28.3%20.9%21.1%
Bid-Ask Spread %74.8928.6292.4228.6290.42
Gamma HHI0.210.090.340.090.24
Net GEX7.2M-906.6K11.0M-906.6K10.1M
Net DEX-173.3M-276.8M2.9M2.9M-203.8M
Net VEX-730.1K-799.5K-593.4K-593.4K-799.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.451.030.850.51
Total Volume8,166.7144,79014,3355,6887,679
Total OI65,903.57157,55873,67757,55873,677

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$99.61$105.0018.6%5.8%13.6%26.9%19.2%4.6%-1.0%-906.6K2.9M-593.4K0.8528.62N/AN/A3,0712,61730,89226,666
2016-11-02$101.24$105.0017.8%5.4%15.0%23.2%18.8%4.5%0.4%118.8K-16.5M-670.8K0.8035.38N/AN/A3,1582,52731,02427,237
2016-11-03$102.95$100.0018.7%5.2%16.3%27.4%20.6%3.4%-0.3%1.7M-47.6M-742.0K0.5781.81N/AN/A4,2782,45131,54827,444
2016-11-04$102.89$100.0019.3%5.4%16.3%30.4%20.2%2.2%0.1%2.5M-52.7M-729.4K0.6179.13N/AN/A3,5482,16332,81427,742
2016-11-07$104.62$100.0018.1%5.0%17.4%24.4%19.0%4.0%-0.8%4.5M-71.8M-709.3K0.7781.60N/AN/A2,6992,09131,88427,049
2016-11-08$105.81$100.0017.5%5.3%17.8%21.8%17.1%3.5%1.0%5.9M-98.5M-728.1K0.6375.53N/AN/A3,9332,46932,26427,207
2016-11-09$112.23$100.0018.0%5.3%27.2%24.1%18.3%2.2%0.2%9.9M-219.1M-686.9K0.4981.79N/AN/A6,8403,37432,89927,765
2016-11-10$117.23$100.0019.4%5.6%30.5%30.8%20.2%10.1%-0.4%8.5M-276.8M-675.1K0.4577.60N/AN/A9,8734,46233,52428,508
2016-11-11$114.48$100.0020.3%5.7%32.1%35.1%22.8%2.5%-0.6%10.3M-244.1M-737.6K0.8377.76N/AN/A5,4024,49636,76429,683
2016-11-14$115.54$100.0022.1%6.3%31.2%44.5%23.4%3.4%0.8%9.7M-253.1M-760.0K0.6877.07N/AN/A4,9793,37936,43629,726
2016-11-15$115.87$100.0020.4%5.8%31.2%36.1%21.7%4.9%1.5%11.0M-264.3M-724.9K0.5165.60N/AN/A7,1323,62837,79330,235
2016-11-16$114.90$100.0021.1%6.0%31.6%39.2%21.2%3.6%3.0%9.5M-250.1M-698.3K0.5683.00N/AN/A6,2953,51937,83530,570
2016-11-17$115.48$100.0021.0%5.8%31.4%38.9%24.3%2.6%2.5%10.5M-254.6M-731.3K0.8962.37N/AN/A4,6524,12538,73731,006
2016-11-18$114.32$100.0020.6%5.5%31.9%36.9%23.0%3.2%2.8%9.6M-236.3M-745.9K1.0365.92N/AN/A4,3754,51540,05931,834
2016-11-21$114.03$100.0021.9%5.2%31.7%43.4%21.0%2.4%-1.1%8.6M-213.6M-723.7K0.7178.28N/AN/A6,2024,40737,32929,526
2016-11-22$112.44$100.0023.0%5.5%32.4%48.6%19.7%2.6%-1.8%7.3M-184.0M-759.7K0.5878.96N/AN/A5,8433,38838,33630,730
2016-11-23$112.50$100.0021.9%5.3%32.2%43.4%19.0%2.5%-1.1%7.5M-188.5M-788.2K0.7281.15N/AN/A3,9142,80539,60431,260
2016-11-25$112.84$100.0019.4%5.4%29.8%30.9%18.5%4.1%-1.4%8.0M-195.3M-759.9K0.6289.85N/AN/A4,3162,68340,66331,716
2016-11-28$111.86$100.0021.0%5.5%30.2%38.6%19.5%3.0%-1.5%8.2M-178.1M-775.1K0.5888.34N/AN/A4,9412,84840,21731,080
2016-11-29$112.64$100.0019.8%5.2%30.2%33.0%19.3%1.4%-0.4%9.1M-193.7M-793.3K0.5692.42N/AN/A4,1072,31741,13531,557
2016-11-30$113.06$100.0020.8%5.2%29.9%37.7%18.6%2.4%-0.1%10.1M-203.8M-799.5K0.5190.42N/AN/A5,0792,60041,91531,762