CME Options History — December 2016

In December 2016, CME traded between $114.79 and $123.41. ATM implied volatility averaged 20.3%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.2% (HV 20d: 19.0%). Max pain ranged from $100.00 to $115.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.41.

Notable Days

2016-12-22: Highest Volume — 98,670 contracts
2016-12-23: Largest IV spike — 23.6% change
2016-12-08: Highest IV Rank — 55.9%
2016-12-08: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$119.64	$114.79	$123.41	$114.79	$115.15
Max Pain	$109.76	$100.00	$115.00	$100.00	$115.00
ATM IV	20.3%	14.7%	24.5%	22.9%	19.7%
Expected Move	5.5%	4.1%	6.1%	5.8%	5.3%
HV 20d	19.0%	12.7%	29.8%	29.8%	17.0%
HV 60d	21.4%	20.8%	21.9%	21.3%	21.9%
IV Rank	35.2%	7.7%	55.9%	48.3%	32.5%
IV Percentile	54.8%	6.3%	82.9%	78.6%	56.7%
Term Structure	0.6%	-1.9%	3.2%	-1.1%	3.2%
VWIV	28.2%	15.5%	49.7%	22.6%	20.5%
Skew 25d	3.7%	-0.5%	7.4%	3.6%	2.0%
Skew 10d	7.2%	-1.2%	17.4%	-0.3%	5.2%
Call IV 25d	18.2%	16.5%	20.5%	19.3%	18.5%
Put IV 25d	21.9%	16.0%	24.6%	22.9%	20.4%
Bid-Ask Spread %	83.76	73.32	89.56	85.36	86.59
Gamma HHI	0.18	0.12	0.23	0.23	0.23
Net GEX	10.4M	3.8M	16.1M	12.4M	3.8M
Net DEX	-188.9M	-321.5M	74.4M	-242.7M	-71.0M
Net VEX	-921.2K	-1.2M	-825.5K	-825.5K	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.16	0.65	0.65	0.25
Total Volume	20,499.905	9,206	98,670	11,118	16,133
Total OI	72,051.714	63,566	94,559	75,112	73,060

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
2016-12-01	$114.79	$100.00	22.9%	5.8%	29.8%	48.3%	22.6%	3.6%	-1.1%	12.4M	-242.7M	-825.5K	0.65	85.36	N/A	N/A	6,722	4,396	43,237	31,875
2016-12-02	$115.65	$100.00	21.9%	5.9%	29.6%	43.3%	24.0%	4.4%	-0.9%	13.9M	-261.8M	-862.3K	0.51	89.52	N/A	N/A	9,859	4,982	44,857	31,848
2016-12-05	$117.69	$100.00	20.9%	5.9%	29.7%	38.4%	22.4%	4.0%	-0.0%	14.5M	-307.5M	-848.9K	0.64	81.12	N/A	N/A	5,940	3,784	46,755	32,297
2016-12-06	$119.15	$100.00	21.1%	5.8%	29.6%	39.0%	46.1%	7.4%	1.7%	16.1M	-321.5M	-961.8K	0.16	81.08	N/A	N/A	26,611	4,166	46,809	32,986
2016-12-07	$120.72	$110.00	20.8%	5.8%	29.6%	37.7%	35.3%	4.8%	0.6%	12.9M	-211.3M	-900.7K	0.22	74.98	N/A	N/A	19,675	4,306	34,228	33,700
2016-12-08	$122.03	$110.00	24.5%	6.1%	22.4%	55.9%	49.7%	5.4%	0.4%	11.8M	-224.4M	-916.6K	0.23	82.82	N/A	N/A	15,237	3,551	35,023	35,231
2016-12-09	$122.57	$110.00	23.1%	5.8%	16.9%	49.0%	46.1%	5.1%	1.4%	12.2M	-239.4M	-929.3K	0.24	85.99	N/A	N/A	15,148	3,690	36,095	36,037
2016-12-12	$122.66	$110.00	22.1%	4.4%	13.9%	44.0%	42.4%	3.1%	-1.7%	12.3M	-237.4M	-902.0K	0.21	89.56	N/A	N/A	14,773	3,043	35,246	35,001
2016-12-13	$123.41	$110.00	21.4%	5.5%	13.8%	40.8%	28.2%	4.5%	-1.9%	11.5M	-242.8M	-903.3K	0.44	86.14	N/A	N/A	7,054	3,083	35,518	35,318
2016-12-14	$121.85	$110.00	21.4%	6.1%	14.9%	41.0%	33.7%	5.2%	0.7%	11.6M	-221.1M	-889.3K	0.49	88.52	N/A	N/A	6,710	3,310	35,920	35,546
2016-12-15	$122.37	$110.00	20.4%	6.0%	14.3%	35.7%	39.9%	3.7%	0.3%	11.8M	-225.3M	-914.6K	0.42	85.62	N/A	N/A	9,508	4,005	36,504	35,920
2016-12-16	$122.66	$110.00	19.5%	5.4%	14.3%	31.2%	23.1%	4.8%	-1.1%	11.9M	-238.5M	-972.6K	0.65	87.50	N/A	N/A	7,910	5,175	39,722	36,949
2016-12-19	$122.40	$110.00	18.6%	5.3%	13.6%	26.8%	20.8%	3.9%	0.5%	11.0M	-194.5M	-960.9K	0.53	78.91	N/A	N/A	6,276	3,349	36,461	28,694
2016-12-20	$122.32	$110.00	18.8%	5.4%	13.5%	28.1%	18.8%	4.3%	2.7%	10.7M	-197.0M	-949.5K	0.57	86.03	N/A	N/A	5,961	3,380	36,872	29,201
2016-12-21	$121.29	$115.00	18.2%	5.2%	12.7%	25.1%	20.8%	3.6%	-0.9%	9.3M	-167.9M	-957.6K	0.58	80.27	N/A	N/A	5,842	3,364	37,135	30,241
2016-12-22	$120.58	$115.00	14.7%	4.1%	13.1%	7.7%	15.5%	-0.5%	0.1%	10.9M	-188.8M	-837.9K	0.21	82.66	N/A	N/A	81,827	16,843	37,394	31,239
2016-12-23	$116.91	$115.00	18.1%	5.1%	17.9%	24.8%	19.0%	2.4%	1.4%	4.2M	74.4M	-903.4K	0.65	73.32	N/A	N/A	28,131	18,228	49,282	45,277
2016-12-27	$116.70	$115.00	19.2%	5.4%	17.5%	29.7%	20.4%	2.1%	2.8%	5.6M	-93.4M	-892.1K	0.24	81.76	N/A	N/A	11,770	2,795	34,361	29,205
2016-12-28	$116.00	$115.00	19.1%	5.4%	17.7%	29.5%	21.7%	1.9%	2.4%	5.2M	-81.8M	-877.4K	0.31	87.23	N/A	N/A	12,723	3,931	34,624	30,003
2016-12-29	$115.47	$115.00	19.2%	5.2%	17.8%	29.8%	21.5%	2.5%	2.8%	4.3M	-72.9M	-969.6K	0.35	84.01	N/A	N/A	12,827	4,480	36,033	31,382
2016-12-30	$115.15	$115.00	19.7%	5.3%	17.0%	32.5%	20.5%	2.0%	3.2%	3.8M	-71.0M	-1.2M	0.25	86.59	N/A	N/A	12,919	3,214	38,669	34,391