CME Options History — June 2017

In June 2017, CME traded between $116.87 and $127.50. ATM implied volatility averaged 15.7%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.8% (HV 20d: 15.0%). Max pain ranged from $115.00 to $125.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.47.

Notable Days

2017-06-12: Highest Volume — 11,047 contracts
2017-06-08: Largest IV spike — 8.3% change
2017-06-29: Highest IV Rank — 31.6%
2017-06-08: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$123.63	$116.87	$127.50	$117.51	$125.41
Max Pain	$120.50	$115.00	$125.00	$115.00	$125.00
ATM IV	15.7%	14.5%	16.7%	15.3%	16.5%
Expected Move	4.5%	4.2%	4.8%	4.4%	4.6%
HV 20d	15.0%	11.0%	18.2%	11.0%	18.0%
HV 60d	15.8%	14.8%	16.9%	14.8%	16.1%
IV Rank	20.8%	11.1%	31.6%	16.9%	29.5%
IV Percentile	23.1%	6.3%	42.5%	14.3%	36.5%
Term Structure	0.4%	-0.9%	1.6%	-0.4%	1.6%
VWIV	16.1%	15.0%	16.8%	16.4%	16.8%
Skew 25d	2.2%	1.5%	3.1%	2.0%	2.0%
Skew 10d	5.4%	3.2%	10.7%	4.7%	5.2%
Call IV 25d	15.2%	14.0%	16.4%	15.2%	15.5%
Put IV 25d	17.4%	15.8%	18.4%	17.2%	17.5%
Bid-Ask Spread %	26.09	16.08	44.39	19.89	31.46
Gamma HHI	0.14	0.10	0.23	0.14	0.12
Net GEX	10.1M	4.6M	16.1M	5.7M	7.8M
Net DEX	-147.5M	-246.0M	-50.0M	-58.6M	-142.2M
Net VEX	-743.3K	-777.8K	-686.4K	-775.1K	-746.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.47	0.24	1.06	0.75	0.31
Total Volume	7,412.727	5,010	11,047	8,984	5,721
Total OI	55,128.273	47,815	65,319	56,159	51,040

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
2017-06-01	$117.51	$115.00	15.3%	4.4%	11.0%	16.9%	16.4%	2.0%	-0.4%	5.7M	-58.6M	-775.1K	0.75	19.89	N/A	N/A	5,120	3,864	32,707	23,452
2017-06-02	$116.87	$116.00	15.4%	4.3%	11.0%	17.6%	16.2%	2.0%	-0.0%	4.9M	-50.0M	-767.5K	1.06	21.43	N/A	N/A	4,352	4,597	33,753	25,150
2017-06-05	$118.46	$115.00	14.9%	4.4%	12.1%	13.9%	16.8%	2.2%	0.3%	6.9M	-72.6M	-753.5K	0.99	22.43	N/A	N/A	4,337	4,290	32,332	24,754
2017-06-06	$117.21	$115.00	14.9%	4.6%	11.7%	14.2%	15.7%	1.5%	0.4%	4.6M	-53.9M	-748.2K	0.92	16.99	N/A	N/A	5,040	4,624	32,711	24,883
2017-06-07	$119.80	$115.00	14.5%	4.4%	13.8%	11.1%	15.7%	1.9%	0.2%	11.2M	-102.0M	-766.7K	0.50	22.09	N/A	N/A	5,186	2,590	32,469	25,087
2017-06-08	$122.30	$115.00	15.7%	4.8%	15.2%	20.5%	16.8%	2.1%	0.3%	15.2M	-158.1M	-777.8K	0.32	21.77	N/A	N/A	7,291	2,300	33,516	25,261
2017-06-09	$124.17	$115.00	15.5%	4.5%	15.9%	18.8%	15.7%	2.7%	0.2%	14.5M	-197.2M	-774.6K	0.34	23.36	N/A	N/A	6,968	2,344	33,940	25,766
2017-06-12	$125.31	$115.00	16.3%	4.6%	15.7%	24.6%	16.0%	3.1%	-0.1%	15.1M	-210.4M	-739.1K	0.28	20.55	N/A	N/A	8,613	2,434	33,729	25,538
2017-06-13	$126.02	$115.00	15.3%	4.4%	15.4%	17.4%	15.0%	2.5%	-0.0%	15.2M	-221.4M	-725.1K	0.29	18.27	N/A	N/A	7,458	2,199	35,006	25,896
2017-06-14	$127.12	$120.00	16.5%	4.6%	15.1%	26.2%	16.1%	1.9%	-0.9%	16.1M	-246.0M	-710.3K	0.44	27.68	N/A	N/A	5,438	2,412	36,793	26,251
2017-06-15	$126.63	$120.00	16.1%	4.6%	13.9%	23.1%	15.9%	2.4%	0.1%	15.6M	-233.8M	-741.0K	0.55	16.08	N/A	N/A	4,739	2,619	37,569	26,728
2017-06-16	$126.16	$125.00	15.8%	4.5%	14.1%	20.9%	15.7%	2.1%	-0.1%	15.6M	-228.9M	-739.5K	0.44	16.95	N/A	N/A	5,650	2,513	38,179	27,140
2017-06-19	$127.50	$125.00	15.2%	4.3%	14.3%	16.4%	15.2%	1.9%	1.5%	12.1M	-184.3M	-711.5K	0.36	21.02	N/A	N/A	4,449	1,591	28,765	20,170
2017-06-20	$126.29	$125.00	15.3%	4.3%	15.1%	16.9%	15.3%	2.8%	0.8%	10.1M	-166.3M	-768.3K	0.27	25.82	N/A	N/A	4,463	1,204	29,503	20,586
2017-06-21	$124.60	$125.00	16.4%	4.7%	16.2%	25.6%	16.3%	1.9%	0.2%	8.0M	-140.8M	-758.0K	0.34	28.78	N/A	N/A	3,925	1,344	29,605	20,729
2017-06-22	$124.00	$125.00	16.7%	4.8%	16.3%	27.6%	16.5%	1.6%	-0.7%	7.2M	-122.3M	-753.9K	0.39	34.35	N/A	N/A	3,869	1,527	28,765	20,895
2017-06-23	$124.01	$125.00	16.2%	4.6%	16.3%	24.2%	16.1%	2.2%	0.6%	6.3M	-119.8M	-736.4K	0.41	37.64	N/A	N/A	3,834	1,586	28,767	21,195
2017-06-26	$123.61	$125.00	15.7%	4.5%	16.4%	20.0%	16.6%	2.0%	1.1%	6.5M	-113.5M	-713.9K	0.43	33.01	N/A	N/A	3,512	1,498	26,838	20,977
2017-06-27	$124.91	$125.00	15.7%	4.5%	16.4%	20.1%	15.9%	2.5%	1.6%	6.9M	-127.2M	-725.8K	0.38	38.71	N/A	N/A	4,016	1,507	27,060	21,005
2017-06-28	$126.97	$125.00	15.6%	4.2%	16.9%	21.5%	15.7%	2.5%	1.4%	9.3M	-161.6M	-686.4K	0.37	31.37	N/A	N/A	3,734	1,370	27,621	21,127
2017-06-29	$125.06	$125.00	16.7%	4.6%	18.2%	31.6%	16.8%	2.5%	1.4%	7.6M	-134.1M	-732.7K	0.24	44.39	N/A	N/A	5,623	1,329	28,363	21,201
2017-06-30	$125.41	$125.00	16.5%	4.6%	18.0%	29.5%	16.8%	2.0%	1.6%	7.8M	-142.2M	-746.5K	0.31	31.46	N/A	N/A	4,360	1,361	29,668	21,372