CME Options History — March 2017

In March 2017, CME traded between $118.29 and $127.20. ATM implied volatility averaged 16.7%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 5.3% (HV 20d: 21.9%). Max pain ranged from $115.00 to $125.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.83.

Notable Days

2017-03-01: Highest Volume — 13,340 contracts
2017-03-21: Largest IV spike — 14.6% change
2017-03-27: Highest IV Rank — 46.6%
2017-03-27: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$122.33	$118.29	$127.20	$127.20	$119.06
Max Pain	$124.00	$115.00	$125.00	$115.00	$124.00
ATM IV	16.7%	14.0%	19.1%	16.4%	17.9%
Expected Move	4.6%	4.1%	5.0%	4.8%	4.3%
HV 20d	21.9%	14.3%	24.7%	22.8%	14.4%
HV 60d	18.3%	18.1%	19.2%	18.2%	18.1%
IV Rank	27.6%	7.2%	46.6%	25.4%	37.3%
IV Percentile	26.7%	2.4%	60.3%	17.9%	42.9%
Term Structure	0.5%	-2.0%	2.9%	0.5%	-0.2%
VWIV	16.6%	14.7%	18.2%	17.7%	15.3%
Skew 25d	2.2%	0.8%	3.6%	2.3%	2.6%
Skew 10d	3.9%	-2.6%	8.3%	8.3%	7.7%
Call IV 25d	16.1%	13.1%	19.1%	15.7%	17.9%
Put IV 25d	18.3%	15.2%	20.8%	18.1%	20.5%
Bid-Ask Spread %	28.02	13.29	39.69	26.12	39.69
Gamma HHI	0.18	0.07	0.45	0.19	0.10
Net GEX	8.0M	450.2K	24.2M	10.8M	3.4M
Net DEX	-124.1M	-239.9M	-51.5M	-239.9M	-60.8M
Net VEX	-1.0M	-1.1M	-932.8K	-932.8K	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.53	1.27	0.54	0.68
Total Volume	8,093.87	6,437	13,340	13,340	7,214
Total OI	54,998.261	45,032	60,412	54,835	56,671

Daily Data (23 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
2017-03-01	$127.20	$115.00	16.4%	4.8%	22.8%	25.4%	17.7%	2.3%	0.5%	10.8M	-239.9M	-932.8K	0.54	26.12	N/A	N/A	8,636	4,704	31,818	23,017
2017-03-02	$124.20	$118.00	17.0%	4.9%	24.7%	29.8%	18.2%	1.5%	0.3%	11.9M	-195.3M	-1.1M	0.94	22.01	N/A	N/A	4,774	4,492	34,370	23,788
2017-03-03	$124.01	$120.00	17.1%	4.7%	24.7%	30.6%	17.5%	1.9%	0.3%	24.2M	-192.6M	-1.1M	1.27	29.12	N/A	N/A	3,868	4,915	35,415	24,384
2017-03-06	$124.37	$125.00	16.9%	4.8%	24.3%	29.5%	16.6%	2.1%	0.2%	11.2M	-188.3M	-1.0M	1.09	20.87	N/A	N/A	3,165	3,451	34,703	24,782
2017-03-07	$123.30	$125.00	16.5%	4.8%	24.5%	26.0%	17.1%	0.8%	0.2%	11.6M	-176.4M	-1.1M	0.57	13.29	N/A	N/A	6,199	3,516	34,837	25,575
2017-03-08	$123.27	$125.00	16.8%	4.8%	24.4%	28.9%	18.0%	1.1%	0.1%	7.3M	-134.9M	-1.0M	0.77	15.01	N/A	N/A	4,280	3,292	30,957	25,705
2017-03-09	$123.88	$125.00	16.2%	4.6%	22.9%	23.6%	16.3%	2.7%	-0.1%	8.4M	-146.0M	-1.0M	0.82	27.19	N/A	N/A	4,074	3,321	31,472	26,275
2017-03-10	$123.66	$125.00	15.2%	4.3%	22.1%	15.9%	15.6%	2.3%	0.2%	9.3M	-144.4M	-1.0M	0.69	34.09	N/A	N/A	4,501	3,111	31,754	26,508
2017-03-13	$124.89	$125.00	17.1%	4.6%	22.3%	31.4%	16.7%	2.5%	-2.0%	10.7M	-161.9M	-1.0M	0.89	27.69	N/A	N/A	4,354	3,855	31,019	25,612
2017-03-14	$124.46	$125.00	15.6%	4.6%	21.3%	19.3%	17.5%	3.0%	0.7%	10.3M	-153.5M	-1.0M	0.98	19.08	N/A	N/A	4,045	3,966	31,268	26,709
2017-03-15	$124.70	$125.00	15.2%	4.4%	21.2%	16.5%	15.5%	3.6%	0.5%	13.4M	-157.8M	-1.0M	0.98	29.30	N/A	N/A	3,605	3,532	31,753	27,032
2017-03-16	$124.69	$125.00	15.3%	4.4%	21.0%	17.2%	15.4%	2.0%	0.2%	16.4M	-158.5M	-1.0M	0.82	28.33	N/A	N/A	4,347	3,563	31,836	27,257
2017-03-17	$124.51	$125.00	14.0%	4.3%	20.9%	7.2%	14.9%	1.7%	1.7%	15.6M	-153.4M	-1.0M	0.67	24.53	N/A	N/A	4,218	2,806	31,718	27,438
2017-03-20	$124.17	$125.00	14.2%	4.1%	20.9%	8.7%	14.7%	2.6%	2.9%	5.5M	-128.3M	-993.1K	0.97	33.59	N/A	N/A	3,270	3,167	25,522	19,510
2017-03-21	$120.24	$125.00	16.3%	4.7%	23.6%	24.8%	17.4%	2.6%	0.9%	2.0M	-72.0M	-1.0M	0.93	32.05	N/A	N/A	4,105	3,836	25,970	20,480
2017-03-22	$119.49	$125.00	17.1%	4.9%	23.2%	31.2%	17.9%	2.5%	1.9%	1.7M	-58.9M	-1.0M	0.86	34.11	N/A	N/A	4,346	3,724	26,643	21,865
2017-03-23	$119.08	$125.00	16.6%	4.7%	23.2%	27.0%	17.1%	1.8%	-0.6%	810.5K	-54.1M	-1.0M	1.00	35.98	N/A	N/A	3,522	3,537	27,649	23,010
2017-03-24	$120.05	$125.00	17.1%	4.7%	23.5%	30.7%	16.2%	2.9%	2.2%	2.3M	-66.4M	-1.0M	0.86	33.29	N/A	N/A	4,368	3,737	27,843	23,106
2017-03-27	$118.29	$125.00	19.1%	5.0%	23.9%	46.6%	18.0%	1.8%	0.8%	1.1M	-52.1M	-1.0M	1.04	21.69	N/A	N/A	4,344	4,513	27,179	21,795
2017-03-28	$118.83	$125.00	18.6%	4.7%	23.8%	43.1%	17.2%	1.8%	-0.2%	450.2K	-51.5M	-1.1M	0.64	31.04	N/A	N/A	4,671	2,994	28,176	23,885
2017-03-29	$118.52	$125.00	18.8%	4.6%	16.1%	44.3%	16.0%	2.1%	1.1%	2.9M	-52.2M	-1.0M	0.58	38.75	N/A	N/A	4,917	2,870	29,441	24,428
2017-03-30	$118.77	$125.00	18.2%	4.5%	14.3%	39.4%	15.4%	2.2%	0.6%	3.1M	-54.5M	-1.0M	0.53	27.71	N/A	N/A	5,523	2,911	30,246	24,539
2017-03-31	$119.06	$124.00	17.9%	4.3%	14.4%	37.3%	15.3%	2.6%	-0.2%	3.4M	-60.8M	-1.1M	0.68	39.69	N/A	N/A	4,301	2,913	31,750	24,921