CME Options History — May 2017 In May 2017, CME traded between $115.14 and $118.53. ATM implied volatility averaged 15.9%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 1.7% (HV 20d: 17.6%). Max pain ranged from $115.00 to $117.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.60.
Notable Days 2017-05-30 : Highest Volume — 9,622 contracts2017-05-08 : Largest IV spike — 7.1% change2017-05-17 : Highest IV Rank — 34.7%2017-05-17 : Largest Expected Move — 5.0%Monthly Statistics Metric Avg Min Max Open Close Price $117.24 $115.14 $118.53 $116.94 $117.31 Max Pain $115.27 $115.00 $117.00 $117.00 $115.00 ATM IV 15.9% 14.9% 17.6% 15.8% 15.6% Expected Move 4.6% 4.2% 5.0% 4.4% 4.5% HV 20d 17.6% 11.4% 19.7% 18.7% 11.4% HV 60d 18.0% 14.9% 19.5% 19.5% 14.9% IV Rank 21.7% 14.3% 34.7% 21.3% 19.7% IV Percentile 20.1% 9.1% 45.2% 16.7% 19.4% Term Structure 0.1% -1.1% 1.1% -0.6% 0.1% VWIV 16.6% 14.9% 20.4% 15.1% 16.9% Skew 25d 2.3% 1.5% 3.1% 2.1% 2.7% Skew 10d 4.6% 1.5% 6.6% 4.2% 5.7% Call IV 25d 15.0% 14.4% 16.6% 15.3% 14.9% Put IV 25d 17.4% 16.6% 19.2% 17.3% 17.6% Bid-Ask Spread % 19.49 11.00 27.49 26.55 24.99 Gamma HHI 0.14 0.09 0.20 0.15 0.15 Net GEX 5.5M -96.5K 10.2M 6.2M 5.1M Net DEX -52.8M -87.7M -20.1M -57.8M -52.8M Net VEX -803.1K -902.8K -701.1K -874.3K -769.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.60 0.26 0.99 0.52 0.45 Total Volume 6,786.091 4,885 9,622 5,961 6,693 Total OI 54,439.318 49,657 57,162 55,209 55,559
Daily Data (22 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 2017-05-01 $116.94 $117.00 15.8% 4.4% 18.7% 21.3% 15.1% 2.1% -0.6% 6.2M -57.8M -874.3K 0.52 26.55 N/A N/A 3,918 2,043 33,540 21,669 2017-05-02 $117.03 $117.00 15.3% 4.2% 18.1% 16.7% 14.9% 1.6% 0.6% 7.0M -61.6M -882.6K 0.61 19.01 N/A N/A 3,708 2,253 34,128 21,947 2017-05-03 $117.96 $117.00 15.4% 4.5% 18.3% 18.2% 16.0% 1.7% 0.5% 8.4M -78.3M -895.1K 0.73 27.49 N/A N/A 3,507 2,552 34,069 22,136 2017-05-04 $118.53 $115.00 15.4% 4.7% 18.4% 17.9% 17.0% 1.8% 0.5% 9.4M -87.7M -902.8K 0.49 21.97 N/A N/A 5,202 2,565 34,304 22,638 2017-05-05 $118.44 $115.00 15.4% 4.4% 18.4% 17.9% 16.3% 2.0% 0.7% 9.4M -86.1M -882.2K 0.47 21.10 N/A N/A 4,622 2,194 34,465 22,697 2017-05-08 $116.80 $115.00 16.5% 4.8% 19.1% 26.4% 16.1% 2.5% 0.5% 5.6M -49.8M -824.4K 0.57 22.49 N/A N/A 3,607 2,057 31,891 22,125 2017-05-09 $117.53 $115.00 15.9% 4.4% 19.1% 21.6% 16.8% 2.0% -1.1% 7.2M -59.3M -823.2K 0.85 26.61 N/A N/A 2,930 2,477 32,084 22,384 2017-05-10 $116.79 $115.00 15.9% 4.8% 19.2% 22.0% 17.8% 2.1% 1.1% 5.5M -42.6M -829.3K 0.75 14.48 N/A N/A 2,795 2,090 32,222 22,755 2017-05-11 $116.85 $115.00 16.3% 4.9% 19.1% 24.7% 17.1% 1.5% 0.9% 5.4M -41.6M -815.9K 0.74 16.88 N/A N/A 3,220 2,367 32,165 22,984 2017-05-12 $116.19 $115.00 16.1% 4.7% 19.2% 22.9% 17.6% 2.5% 0.8% 820.0K -30.3M -817.9K 0.71 12.10 N/A N/A 3,254 2,301 32,160 23,249 2017-05-15 $117.46 $115.00 16.6% 4.8% 19.6% 26.9% 16.1% 2.4% -0.9% 2.7M -50.6M -807.1K 0.81 12.82 N/A N/A 3,865 3,133 30,860 23,032 2017-05-16 $116.76 $115.00 16.4% 4.7% 19.1% 25.7% 16.7% 2.9% -1.1% 2.3M -40.6M -815.8K 0.99 11.00 N/A N/A 3,873 3,825 31,579 24,443 2017-05-17 $115.14 $115.00 17.6% 5.0% 19.7% 34.7% 17.2% 2.6% -0.1% -96.5K -20.1M -782.3K 0.47 20.74 N/A N/A 5,891 2,750 32,011 23,652 2017-05-18 $116.09 $115.00 17.1% 4.9% 18.7% 30.7% 20.4% 3.1% -0.4% 1.3M -24.1M -866.6K 0.63 15.11 N/A N/A 4,377 2,755 33,020 23,551 2017-05-19 $116.73 $115.00 16.6% 4.8% 18.9% 27.0% 17.8% 3.1% -1.0% 5.1M -48.4M -781.9K 0.34 18.59 N/A N/A 5,692 1,943 33,462 23,618 2017-05-22 $117.16 $115.00 15.7% 4.4% 18.9% 20.0% 16.1% 2.9% 0.1% 4.4M -49.4M -744.3K 0.54 18.37 N/A N/A 5,060 2,736 27,791 21,866 2017-05-23 $118.14 $115.00 15.2% 4.3% 19.2% 16.1% 15.6% 2.3% 0.0% 6.8M -60.2M -720.6K 0.70 19.96 N/A N/A 3,803 2,668 27,438 22,769 2017-05-24 $117.72 $115.00 15.1% 4.3% 19.2% 15.3% 16.0% 2.6% 0.8% 6.5M -53.3M -710.9K 0.81 22.65 N/A N/A 3,598 2,932 27,795 22,852 2017-05-25 $118.18 $115.00 15.2% 4.3% 11.7% 16.3% 15.7% 2.2% 0.2% 7.4M -59.4M -709.7K 0.40 18.79 N/A N/A 5,182 2,055 27,954 23,199 2017-05-26 $118.10 $115.00 14.9% 4.2% 11.5% 14.3% 15.2% 2.1% -0.1% 10.2M -59.3M -710.6K 0.42 15.97 N/A N/A 5,063 2,116 29,733 23,359 2017-05-30 $117.50 $115.00 15.8% 4.5% 11.4% 21.2% 16.3% 2.6% -0.6% 4.6M -47.3M -701.1K 0.26 21.10 N/A N/A 7,660 1,962 29,464 23,046 2017-05-31 $117.31 $115.00 15.6% 4.5% 11.4% 19.7% 16.9% 2.7% 0.1% 5.1M -52.8M -769.1K 0.45 24.99 N/A N/A 4,630 2,063 32,262 23,297
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