CME Options History — February 2017

In February 2017, CME traded between $116.50 and $122.68. ATM implied volatility averaged 16.5%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.8% (HV 20d: 15.7%). Max pain ranged from $115.00 to $118.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.65.

Notable Days

2017-02-09: Highest Volume — 9,529 contracts
2017-02-09: Largest IV spike — 8.7% change
2017-02-28: Highest IV Rank — 31.3%
2017-02-01: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$120.90	$116.50	$122.68	$121.20	$121.48
Max Pain	$115.16	$115.00	$118.00	$118.00	$115.00
ATM IV	16.5%	15.1%	18.1%	18.1%	17.1%
Expected Move	4.9%	4.5%	5.5%	5.5%	5.1%
HV 20d	15.7%	13.0%	17.8%	13.5%	16.2%
HV 60d	17.1%	15.5%	21.3%	21.3%	15.9%
IV Rank	21.0%	9.9%	31.3%	24.5%	31.3%
IV Percentile	18.3%	9.9%	30.2%	30.2%	27.4%
Term Structure	0.1%	-1.8%	2.1%	0.1%	-0.2%
VWIV	17.1%	14.8%	19.8%	19.8%	17.9%
Skew 25d	2.7%	1.1%	3.9%	2.1%	1.6%
Skew 10d	4.7%	-2.2%	6.6%	5.3%	2.7%
Call IV 25d	15.4%	14.0%	17.8%	17.8%	16.4%
Put IV 25d	18.0%	17.0%	19.8%	19.8%	18.0%
Bid-Ask Spread %	26.01	14.93	85.06	85.06	30.53
Gamma HHI	0.17	0.13	0.22	0.18	0.17
Net GEX	10.5M	2.0M	14.3M	9.3M	8.8M
Net DEX	-145.6M	-196.2M	-52.2M	-154.4M	-138.3M
Net VEX	-1.0M	-1.1M	-982.1K	-1.1M	-1.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.42	0.82	0.76	0.54
Total Volume	6,132.895	4,825	9,529	6,258	5,470
Total OI	55,684.474	52,500	59,687	52,500	54,220

Daily Data (19 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
2017-02-01	$121.20	$118.00	18.1%	5.5%	13.5%	24.5%	19.8%	2.1%	0.1%	9.3M	-154.4M	-1.1M	0.76	85.06	N/A	N/A	3,558	2,700	31,325	21,175
2017-02-02	$121.26	$115.00	16.8%	5.1%	13.0%	18.2%	18.0%	3.2%	0.4%	10.1M	-154.2M	-1.1M	0.67	19.64	N/A	N/A	4,120	2,746	31,580	21,936
2017-02-03	$119.97	$115.00	15.9%	4.8%	13.8%	13.7%	17.5%	2.8%	0.3%	10.1M	-126.4M	-1.1M	0.77	14.97	N/A	N/A	3,669	2,836	32,147	22,679
2017-02-06	$119.66	$115.00	15.1%	4.7%	13.1%	9.9%	16.9%	2.5%	1.3%	8.5M	-117.1M	-1.0M	0.72	18.31	N/A	N/A	3,361	2,420	31,466	22,520
2017-02-07	$118.87	$115.00	15.7%	4.7%	13.1%	12.8%	16.8%	1.1%	0.8%	7.2M	-103.2M	-1.1M	0.82	14.93	N/A	N/A	2,868	2,347	31,444	23,011
2017-02-08	$116.50	$115.00	16.0%	5.1%	15.1%	14.0%	16.8%	2.7%	2.1%	2.0M	-52.2M	-1.0M	0.78	17.10	N/A	N/A	3,528	2,744	31,569	23,277
2017-02-09	$118.86	$115.00	17.3%	5.0%	16.5%	20.9%	17.6%	3.3%	-0.0%	7.5M	-100.3M	-1.0M	0.42	21.94	N/A	N/A	6,693	2,836	31,837	23,535
2017-02-10	$119.17	$115.00	16.4%	4.7%	16.5%	16.3%	16.5%	3.0%	-0.2%	13.0M	-122.4M	-1.1M	0.58	23.31	N/A	N/A	4,714	2,722	34,774	24,035
2017-02-13	$121.60	$115.00	16.6%	4.8%	17.8%	18.8%	16.7%	2.5%	-0.5%	14.3M	-179.8M	-1.1M	0.65	21.69	N/A	N/A	4,206	2,747	35,027	24,151
2017-02-14	$121.05	$115.00	16.6%	4.8%	17.2%	20.2%	16.1%	3.0%	-0.1%	12.9M	-163.9M	-1.1M	0.65	24.11	N/A	N/A	3,328	2,179	34,814	24,674
2017-02-15	$122.23	$115.00	16.6%	4.8%	16.9%	23.6%	16.0%	3.4%	-0.6%	13.9M	-189.8M	-1.1M	0.64	18.87	N/A	N/A	3,400	2,167	34,727	24,811
2017-02-16	$121.72	$115.00	16.8%	4.9%	16.7%	24.9%	14.8%	3.8%	-1.8%	13.7M	-175.8M	-1.1M	0.73	21.77	N/A	N/A	2,782	2,043	34,403	24,885
2017-02-17	$122.50	$115.00	15.6%	4.5%	16.7%	18.6%	15.1%	3.0%	-0.6%	13.5M	-196.2M	-1.0M	0.55	21.05	N/A	N/A	4,069	2,230	34,577	25,110
2017-02-21	$121.04	$115.00	16.3%	4.8%	17.5%	24.8%	16.2%	2.1%	-0.0%	10.6M	-140.4M	-1.0M	0.82	25.01	N/A	N/A	2,666	2,179	31,271	21,539
2017-02-22	$122.42	$115.00	16.6%	4.7%	17.7%	27.0%	17.7%	2.7%	0.2%	11.6M	-167.0M	-982.1K	0.57	30.45	N/A	N/A	3,972	2,270	31,445	22,006
2017-02-23	$122.39	$115.00	16.6%	4.8%	16.0%	27.3%	17.4%	2.0%	0.0%	11.3M	-163.5M	-999.9K	0.56	27.82	N/A	N/A	3,534	1,992	31,613	22,428
2017-02-24	$122.42	$115.00	16.5%	4.8%	15.9%	26.7%	17.9%	2.0%	0.2%	11.3M	-161.6M	-1.0M	0.63	31.95	N/A	N/A	3,658	2,288	31,870	22,692
2017-02-27	$122.68	$115.00	16.5%	4.9%	15.7%	26.3%	18.4%	3.9%	0.1%	9.6M	-160.1M	-986.4K	0.55	25.61	N/A	N/A	3,529	1,954	30,978	22,454
2017-02-28	$121.48	$115.00	17.1%	5.1%	16.2%	31.3%	17.9%	1.6%	-0.2%	8.8M	-138.3M	-1.0M	0.54	30.53	N/A	N/A	3,554	1,916	31,287	22,933