CME Options History — August 2017

In August 2017, CME traded between $123.44 and $127.32. ATM implied volatility averaged 14.8%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 2.7% (HV 20d: 12.1%). Max pain ranged from $115.00 to $122.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.79.

Notable Days

2017-08-24: Highest Volume — 12,825 contracts
2017-08-14: Largest IV drop — 11.5% change
2017-08-11: Highest IV Rank — 28.1%
2017-08-10: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$125.52	$123.44	$127.32	$123.68	$125.88
Max Pain	$118.43	$115.00	$122.00	$122.00	$120.00
ATM IV	14.8%	13.8%	16.3%	15.1%	14.7%
Expected Move	4.2%	3.9%	4.6%	4.3%	4.0%
HV 20d	12.1%	10.8%	13.8%	13.8%	11.8%
HV 60d	14.6%	13.9%	14.9%	14.7%	13.9%
IV Rank	13.7%	0.7%	28.1%	17.1%	9.0%
IV Percentile	10.5%	0.4%	32.9%	11.5%	6.7%
Term Structure	0.0%	-1.0%	0.9%	0.4%	-0.2%
VWIV	14.8%	12.9%	16.7%	15.3%	13.4%
Skew 25d	3.1%	2.4%	4.1%	2.5%	3.7%
Skew 10d	6.3%	4.0%	9.6%	5.8%	5.6%
Call IV 25d	13.6%	12.7%	14.5%	14.1%	13.7%
Put IV 25d	16.7%	15.1%	18.6%	16.6%	17.4%
Bid-Ask Spread %	24.05	13.05	76.23	25.70	40.27
Gamma HHI	0.16	0.15	0.18	0.16	0.16
Net GEX	10.0M	7.2M	12.6M	8.4M	8.5M
Net DEX	-135.1M	-158.0M	-102.2M	-115.4M	-110.6M
Net VEX	-618.6K	-740.1K	-563.4K	-596.1K	-740.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.51	3.11	0.65	0.58
Total Volume	4,841.087	3,720	12,825	4,489	4,652
Total OI	51,104	46,023	61,930	46,415	61,930

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
2017-08-01	$123.68	$122.00	15.1%	4.3%	13.8%	17.1%	15.3%	2.5%	0.4%	8.4M	-115.4M	-596.1K	0.65	25.70	N/A	N/A	2,727	1,762	25,161	21,254
2017-08-02	$123.95	$122.00	14.9%	4.4%	13.8%	15.6%	14.4%	2.5%	0.6%	9.2M	-118.1M	-612.7K	0.80	28.40	N/A	N/A	2,542	2,041	25,440	21,471
2017-08-03	$124.87	$115.00	14.9%	4.2%	12.4%	16.1%	15.1%	2.6%	-0.1%	10.6M	-137.3M	-573.9K	0.89	21.14	N/A	N/A	2,229	1,980	25,688	21,563
2017-08-04	$125.65	$115.00	13.9%	4.2%	12.2%	7.3%	14.4%	2.4%	0.7%	10.0M	-148.7M	-575.0K	0.79	15.36	N/A	N/A	2,510	1,984	25,875	21,684
2017-08-07	$125.06	$115.00	14.6%	4.3%	12.2%	13.4%	15.0%	2.6%	0.1%	8.9M	-133.1M	-577.3K	0.59	16.77	N/A	N/A	2,641	1,569	25,096	20,927
2017-08-08	$124.73	$115.00	14.7%	4.3%	11.7%	14.2%	15.4%	2.6%	0.1%	8.7M	-128.7M	-581.6K	0.70	14.02	N/A	N/A	2,191	1,532	25,460	21,339
2017-08-09	$126.26	$115.00	15.0%	4.3%	12.4%	16.8%	15.7%	2.7%	0.2%	9.6M	-147.6M	-573.6K	0.58	14.97	N/A	N/A	2,939	1,719	25,470	21,527
2017-08-10	$124.43	$115.00	16.1%	4.6%	13.6%	26.2%	16.3%	3.4%	-0.6%	8.4M	-122.0M	-612.8K	0.61	16.97	N/A	N/A	2,585	1,581	26,119	21,754
2017-08-11	$123.44	$115.00	16.3%	4.5%	10.8%	28.1%	16.2%	4.1%	-1.0%	7.2M	-102.2M	-612.4K	0.51	13.05	N/A	N/A	2,459	1,261	26,290	22,033
2017-08-14	$124.69	$115.00	14.4%	4.2%	11.3%	11.7%	14.6%	3.2%	-0.3%	9.7M	-126.7M	-581.4K	0.62	16.98	N/A	N/A	2,437	1,519	26,118	21,717
2017-08-15	$126.16	$120.00	14.8%	4.3%	11.8%	15.3%	14.6%	2.9%	-0.5%	11.2M	-150.7M	-568.8K	0.54	15.91	N/A	N/A	2,666	1,444	26,490	22,096
2017-08-16	$126.32	$120.00	14.7%	4.2%	11.6%	13.8%	14.9%	2.8%	-0.1%	12.5M	-158.0M	-563.4K	0.57	13.84	N/A	N/A	2,412	1,372	27,105	22,345
2017-08-17	$125.58	$120.00	15.9%	4.5%	11.9%	24.2%	16.1%	3.9%	0.1%	11.7M	-143.9M	-574.5K	0.55	14.96	N/A	N/A	3,794	2,100	27,391	22,403
2017-08-18	$125.56	$120.00	15.4%	4.4%	11.9%	20.4%	16.7%	3.4%	0.2%	12.6M	-146.2M	-606.4K	0.90	14.82	N/A	N/A	2,430	2,191	28,874	23,054
2017-08-21	$125.36	$120.00	15.2%	4.2%	11.8%	17.9%	15.6%	3.2%	0.0%	10.5M	-133.2M	-596.3K	0.92	25.87	N/A	N/A	2,079	1,910	26,715	22,257
2017-08-22	$126.64	$120.00	14.2%	4.1%	11.8%	9.6%	14.7%	3.1%	0.9%	12.3M	-157.3M	-584.1K	0.69	23.04	N/A	N/A	3,213	2,218	26,802	22,350
2017-08-23	$125.99	$120.00	15.1%	4.1%	12.0%	12.9%	13.9%	3.5%	-0.1%	11.7M	-149.2M	-597.7K	0.64	22.87	N/A	N/A	3,082	1,965	27,524	22,995
2017-08-24	$125.93	$120.00	13.8%	4.3%	11.9%	0.7%	13.7%	2.9%	-0.4%	12.3M	-149.6M	-585.9K	3.11	76.23	N/A	N/A	3,121	9,704	28,228	23,051
2017-08-25	$127.32	$120.00	14.0%	4.1%	12.4%	2.6%	13.5%	3.8%	0.6%	9.7M	-148.3M	-725.7K	0.69	31.76	N/A	N/A	3,953	2,719	28,828	30,750
2017-08-28	$126.86	$120.00	14.5%	3.9%	12.1%	7.1%	15.0%	3.0%	-0.2%	9.2M	-135.3M	-726.4K	0.62	28.50	N/A	N/A	2,633	1,621	29,148	30,857
2017-08-29	$126.38	$120.00	14.4%	4.0%	12.0%	5.6%	13.5%	2.8%	0.3%	8.7M	-122.7M	-739.9K	0.86	33.38	N/A	N/A	2,129	1,831	29,644	31,191
2017-08-30	$126.27	$120.00	14.7%	3.9%	12.0%	8.6%	12.9%	3.6%	0.1%	9.0M	-122.8M	-721.9K	0.69	28.23	N/A	N/A	2,305	1,593	29,714	31,664
2017-08-31	$125.88	$120.00	14.7%	4.0%	11.8%	9.0%	13.4%	3.7%	-0.2%	8.5M	-110.6M	-740.1K	0.58	40.27	N/A	N/A	2,943	1,709	29,898	32,032