CME Options History — July 2017

In July 2017, CME traded between $120.05 and $126.30. ATM implied volatility averaged 17.7%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 2.2% (HV 20d: 15.6%). Max pain ranged from $120.00 to $125.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.50.

Notable Days

  • 2017-07-14: Highest Volume — 5,977 contracts
  • 2017-07-14: Largest IV spike — 10.2% change
  • 2017-07-14: Highest IV Rank — 52.3%
  • 2017-07-06: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$122.43$120.05$126.30$126.30$122.69
Max Pain$124.05$120.00$125.00$125.00$122.00
ATM IV17.7%16.5%19.1%18.5%16.5%
Expected Move5.0%4.7%5.3%5.1%4.9%
HV 20d15.6%13.1%17.6%17.6%13.7%
HV 60d16.1%14.5%17.3%16.2%14.7%
IV Rank40.8%30.1%52.3%47.8%30.1%
IV Percentile55.5%37.7%74.2%63.1%37.7%
Term Structure-0.7%-2.4%0.0%-2.4%-0.5%
VWIV18.1%16.6%20.6%17.1%17.2%
Skew 25d3.0%2.1%3.9%3.8%2.5%
Skew 10d6.4%5.3%7.5%6.9%6.5%
Call IV 25d16.7%15.3%18.0%16.9%15.3%
Put IV 25d19.6%17.8%21.1%20.7%17.8%
Bid-Ask Spread %17.977.6042.9942.9922.96
Gamma HHI0.120.100.140.120.14
Net GEX6.0M4.3M8.9M8.7M6.4M
Net DEX-95.8M-148.9M-61.4M-148.4M-99.8M
Net VEX-673.9K-747.1K-591.6K-747.1K-591.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.290.910.350.91
Total Volume4,797.13,7235,9774,7444,697
Total OI48,499.3544,82550,72748,84344,982

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$126.30$125.0018.5%5.1%17.6%47.8%17.1%3.8%-2.4%8.7M-148.4M-747.1K0.3542.99N/AN/A3,5271,21727,80821,035
2017-07-05$126.23$125.0018.1%4.7%16.9%43.5%16.6%2.7%-0.1%8.9M-148.9M-708.5K0.3727.51N/AN/A3,6681,35127,86521,076
2017-07-06$123.88$125.0018.3%5.3%17.3%45.6%20.6%2.7%-1.0%6.2M-114.5M-736.3K0.4125.93N/AN/A3,6071,48028,09921,222
2017-07-07$124.95$125.0017.9%5.0%16.0%41.9%18.2%3.9%-0.5%6.8M-127.0M-725.5K0.3919.27N/AN/A3,8631,50428,37621,382
2017-07-10$124.35$125.0018.6%5.1%15.2%48.7%18.5%2.8%-0.9%6.8M-120.1M-714.0K0.3715.33N/AN/A3,4001,26327,97721,092
2017-07-11$123.20$125.0018.7%5.1%15.2%49.0%17.7%2.9%-1.0%5.9M-103.1M-714.0K0.3210.85N/AN/A3,7681,21628,06621,203
2017-07-12$123.60$125.0018.1%5.0%15.1%44.2%17.8%3.7%-0.8%6.0M-106.7M-715.9K0.3014.21N/AN/A4,0441,21028,29021,287
2017-07-13$123.46$125.0017.3%4.9%14.6%36.9%18.6%2.7%-0.2%6.2M-107.6M-688.2K0.2913.14N/AN/A4,2351,23828,67521,273
2017-07-14$120.60$125.0019.1%5.3%16.6%52.3%18.6%2.5%-1.2%5.1M-68.7M-687.2K0.6013.93N/AN/A3,7352,24228,96621,315
2017-07-17$120.57$125.0018.3%5.2%16.6%45.5%19.0%3.3%-1.0%4.5M-65.5M-678.8K0.5311.16N/AN/A3,2861,72628,72921,618
2017-07-18$120.55$125.0017.9%5.1%15.9%41.8%18.2%3.1%-0.4%4.7M-66.0M-653.1K0.659.91N/AN/A2,9801,94328,92521,702
2017-07-19$120.05$125.0017.7%5.1%15.7%40.6%18.3%2.8%-0.4%4.3M-61.4M-655.4K0.689.85N/AN/A2,9862,04228,99221,620
2017-07-20$120.61$125.0017.3%5.0%15.4%36.7%19.4%3.5%-0.4%4.9M-72.7M-644.6K0.667.60N/AN/A3,0762,03829,13021,505
2017-07-21$121.10$125.0017.3%5.0%15.5%36.5%17.3%3.5%-0.8%5.2M-82.9M-648.0K0.4012.49N/AN/A3,4631,39829,30721,420
2017-07-24$120.62$120.0016.9%4.9%15.5%32.9%18.5%2.6%-0.2%4.6M-75.9M-635.1K0.5014.85N/AN/A2,4761,24724,39220,433
2017-07-25$121.78$123.0017.5%4.9%15.9%38.3%17.3%2.8%-1.5%5.9M-89.3M-641.3K0.5419.73N/AN/A2,6001,39424,47020,507
2017-07-26$121.51$122.0016.7%5.2%15.4%31.6%17.4%2.1%-0.1%6.2M-89.4M-633.4K0.5723.52N/AN/A2,4311,39124,81320,601
2017-07-27$121.22$122.0017.5%5.2%13.9%38.4%17.8%2.3%-0.8%5.9M-82.2M-623.6K0.5522.65N/AN/A2,6971,48224,98420,687
2017-07-28$121.35$122.0016.9%4.9%13.1%33.1%17.4%3.0%0.0%6.8M-85.0M-637.4K0.6121.59N/AN/A2,4981,52325,35220,811
2017-07-31$122.69$122.0016.5%4.9%13.7%30.1%17.2%2.5%-0.5%6.4M-99.8M-591.6K0.9122.96N/AN/A2,4582,23924,51520,467