CME Options History — January 2017

In January 2017, CME traded between $114.04 and $121.00. ATM implied volatility averaged 19.6%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 4.1% (HV 20d: 15.5%). Max pain ranged from $115.00 to $118.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.46.

Notable Days

2017-01-03: Highest Volume — 14,329 contracts
2017-01-18: Largest IV drop — 7.6% change
2017-01-03: Highest IV Rank — 45.2%
2017-01-09: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$117.29	$114.04	$121.00	$114.04	$121.00
Max Pain	$115.55	$115.00	$118.00	$115.00	$118.00
ATM IV	19.6%	17.1%	22.3%	22.3%	18.3%
Expected Move	5.7%	5.1%	6.2%	5.6%	5.6%
HV 20d	15.5%	14.3%	17.1%	17.1%	14.3%
HV 60d	22.0%	21.5%	22.3%	22.0%	21.5%
IV Rank	31.8%	19.6%	45.2%	45.2%	25.7%
IV Percentile	50.6%	20.6%	79.8%	79.8%	35.3%
Term Structure	-0.1%	-1.8%	0.9%	-0.6%	0.6%
VWIV	20.1%	18.6%	23.1%	20.3%	20.8%
Skew 25d	2.7%	1.8%	3.5%	3.0%	2.7%
Skew 10d	5.2%	3.9%	6.2%	4.0%	6.1%
Call IV 25d	18.7%	16.3%	21.0%	20.9%	17.5%
Put IV 25d	21.4%	19.1%	23.9%	23.9%	20.2%
Bid-Ask Spread %	77.49	26.27	90.16	66.79	83.29
Gamma HHI	0.26	0.18	0.44	0.20	0.18
Net GEX	8.0M	3.0M	16.4M	3.0M	8.9M
Net DEX	-108.0M	-160.3M	-57.4M	-57.4M	-148.9M
Net VEX	-1.0M	-1.1M	-979.8K	-1.0M	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.27	0.72	0.27	0.45
Total Volume	10,045.6	5,314	14,329	14,329	9,208
Total OI	63,210.35	46,350	73,104	67,104	52,201

Daily Data (20 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
2017-01-03	$114.04	$115.00	22.3%	5.6%	17.1%	45.2%	20.3%	3.0%	-0.6%	3.0M	-57.4M	-1.0M	0.27	66.79	N/A	N/A	11,317	3,012	34,814	32,290
2017-01-04	$115.57	$115.00	21.7%	5.5%	16.6%	42.4%	19.9%	2.2%	-0.3%	4.7M	-86.7M	-1.0M	0.31	26.27	N/A	N/A	9,748	3,057	35,182	32,784
2017-01-05	$115.64	$115.00	21.5%	6.1%	15.8%	41.2%	20.6%	2.8%	0.2%	4.5M	-83.5M	-1.1M	0.40	75.16	N/A	N/A	8,424	3,402	35,686	33,092
2017-01-06	$117.29	$115.00	20.8%	6.1%	16.0%	37.7%	19.3%	2.9%	-0.0%	7.2M	-113.0M	-1.1M	0.40	49.78	N/A	N/A	8,557	3,406	36,050	33,720
2017-01-09	$116.57	$115.00	21.1%	6.2%	15.4%	39.2%	23.1%	2.8%	0.6%	6.3M	-103.5M	-1.1M	0.39	86.15	N/A	N/A	7,707	3,040	35,904	33,087
2017-01-10	$116.26	$115.00	20.8%	6.1%	15.2%	38.1%	21.5%	1.8%	0.4%	6.7M	-100.9M	-1.1M	0.38	78.05	N/A	N/A	7,319	2,786	36,608	33,379
2017-01-11	$115.77	$115.00	20.6%	6.0%	15.1%	36.8%	21.0%	3.3%	0.4%	5.6M	-87.4M	-1.0M	0.39	69.03	N/A	N/A	7,753	3,052	37,006	33,495
2017-01-12	$116.24	$115.00	20.8%	6.0%	15.0%	37.5%	19.4%	2.7%	0.1%	7.4M	-100.1M	-1.0M	0.35	86.79	N/A	N/A	8,520	2,956	37,386	33,875
2017-01-13	$116.93	$115.00	19.8%	5.8%	14.8%	32.9%	20.4%	2.7%	0.6%	14.0M	-113.0M	-1.0M	0.39	84.90	N/A	N/A	7,699	2,978	37,987	34,139
2017-01-17	$115.54	$115.00	21.1%	6.1%	15.0%	39.5%	21.8%	3.4%	-1.6%	4.6M	-85.7M	-996.9K	0.43	77.40	N/A	N/A	8,124	3,455	36,831	33,802
2017-01-18	$117.19	$115.00	19.5%	5.6%	16.1%	31.6%	19.0%	2.6%	-1.3%	6.8M	-111.5M	-1.0M	0.34	84.87	N/A	N/A	8,622	2,947	37,102	34,225
2017-01-19	$116.38	$115.00	19.2%	5.5%	16.2%	29.9%	19.4%	2.7%	-0.4%	7.3M	-101.8M	-1.0M	0.41	78.60	N/A	N/A	7,063	2,930	37,944	34,598
2017-01-20	$116.57	$115.00	18.5%	5.5%	16.3%	26.5%	19.2%	3.5%	-1.8%	13.1M	-106.6M	-992.6K	0.37	81.97	N/A	N/A	7,863	2,883	38,018	35,086
2017-01-23	$116.42	$115.00	18.0%	5.4%	16.1%	24.1%	18.8%	3.2%	0.3%	6.1M	-80.7M	-979.8K	0.72	86.90	N/A	N/A	3,142	2,267	29,011	17,339
2017-01-24	$117.32	$115.00	17.4%	5.1%	16.4%	21.1%	19.4%	3.1%	0.4%	7.5M	-95.7M	-995.3K	0.65	87.19	N/A	N/A	3,220	2,094	29,610	17,887
2017-01-25	$119.96	$115.00	17.1%	5.2%	14.4%	19.6%	18.9%	2.4%	0.0%	10.2M	-139.2M	-1.0M	0.57	79.90	N/A	N/A	4,771	2,731	30,031	18,365
2017-01-26	$120.80	$117.00	17.5%	5.2%	14.5%	21.7%	19.7%	2.3%	-0.1%	11.0M	-160.3M	-1.0M	0.63	88.83	N/A	N/A	5,657	3,546	31,427	19,269
2017-01-27	$120.13	$118.00	17.7%	5.2%	14.5%	22.6%	18.6%	1.9%	0.2%	16.4M	-147.6M	-1.1M	0.61	90.16	N/A	N/A	5,305	3,214	32,237	20,746
2017-01-30	$120.25	$118.00	17.9%	5.6%	14.3%	23.7%	20.0%	2.7%	0.9%	8.6M	-137.3M	-1.1M	0.68	87.66	N/A	N/A	4,246	2,891	31,342	20,652
2017-01-31	$121.00	$118.00	18.3%	5.6%	14.3%	25.7%	20.8%	2.7%	0.6%	8.9M	-148.9M	-1.1M	0.45	83.29	N/A	N/A	6,365	2,843	31,276	20,925