CME Options History — September 2017

In September 2017, CME traded between $125.34 and $135.82. ATM implied volatility averaged 15.6%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 0.0% (HV 20d: 15.6%). Max pain ranged from $120.00 to $130.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.40.

Notable Days

  • 2017-09-06: Highest Volume — 13,310 contracts
  • 2017-09-05: Largest IV spike — 10.5% change
  • 2017-09-07: Highest IV Rank — 33.0%
  • 2017-09-07: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$131.25$125.34$135.82$126.37$135.67
Max Pain$126.75$120.00$130.00$120.00$130.00
ATM IV15.6%14.3%17.3%14.4%16.5%
Expected Move4.4%4.1%4.9%4.4%4.1%
HV 20d15.6%11.7%16.5%11.7%16.4%
HV 60d14.3%13.0%14.9%13.2%13.7%
IV Rank17.5%4.9%33.0%6.5%25.5%
IV Percentile22.0%2.4%51.6%3.2%38.5%
Term Structure0.5%-0.9%2.3%1.6%-0.4%
VWIV15.6%14.1%17.5%14.1%15.3%
Skew 25d2.4%1.1%3.4%2.7%1.6%
Skew 10d5.2%2.7%9.2%6.0%3.0%
Call IV 25d14.9%13.1%16.9%14.1%16.8%
Put IV 25d17.4%15.9%19.1%16.8%18.4%
Bid-Ask Spread %27.8616.6342.4038.8928.01
Gamma HHI0.140.110.270.150.12
Net GEX14.3M3.9M27.7M7.3M19.2M
Net DEX-190.3M-252.5M-82.1M-122.5M-252.5M
Net VEX-655.3K-747.8K-610.3K-747.8K-635.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.131.250.441.25
Total Volume8,927.55,50013,3105,5009,728
Total OI64,396.359,46971,51562,75771,515

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$126.37$120.0014.4%4.4%11.7%6.5%14.1%2.7%1.6%7.3M-122.5M-747.8K0.4438.89N/AN/A3,8271,67330,42532,332
2017-09-05$125.34$125.0016.0%4.8%12.0%20.6%17.1%2.5%-0.2%7.0M-97.7M-714.1K0.4536.95N/AN/A4,3661,94630,99832,290
2017-09-06$128.39$125.0016.0%4.4%14.6%21.1%16.1%2.8%-0.9%12.8M-179.2M-691.3K0.1330.93N/AN/A11,7751,53531,66332,798
2017-09-07$125.70$125.0017.3%4.9%16.1%33.0%17.5%3.2%1.0%3.9M-82.1M-721.4K0.2329.51N/AN/A7,4281,70828,32433,041
2017-09-08$128.04$125.0016.3%4.5%16.4%23.8%16.9%3.4%-0.4%27.7M-139.0M-712.8K0.2232.33N/AN/A8,6691,87629,91033,375
2017-09-11$128.70$125.0015.5%4.6%16.1%16.7%16.3%2.9%0.4%13.4M-155.5M-685.9K0.2128.42N/AN/A7,8291,63331,55133,409
2017-09-12$130.06$125.0015.5%4.3%16.1%16.3%15.0%2.5%-0.3%15.8M-189.4M-651.0K0.2024.78N/AN/A8,2871,69431,82133,675
2017-09-13$130.78$125.0015.1%4.3%15.8%12.8%15.2%2.6%-0.1%18.6M-214.8M-628.0K0.1916.63N/AN/A9,1341,72832,58533,750
2017-09-14$132.01$125.0015.0%4.2%16.0%11.5%14.3%2.8%-0.8%17.2M-245.4M-636.3K0.1921.93N/AN/A10,4601,99534,47633,958
2017-09-15$131.24$125.0014.7%4.5%16.0%8.9%15.9%2.8%1.7%15.9M-226.0M-634.3K0.2123.33N/AN/A8,0601,66035,63834,372
2017-09-18$131.28$125.0015.1%4.3%16.0%12.6%15.1%1.1%1.5%10.9M-181.9M-636.1K0.4130.46N/AN/A4,3171,75930,39529,074
2017-09-19$131.81$125.0014.3%4.1%15.9%4.9%14.4%2.4%1.4%12.0M-189.5M-618.5K0.5020.98N/AN/A4,2312,12631,26929,235
2017-09-20$133.83$130.0015.0%4.3%16.4%11.3%15.7%2.1%1.8%14.0M-230.2M-627.6K0.3533.22N/AN/A6,6302,32132,17029,529
2017-09-21$133.74$130.0015.0%4.2%16.1%11.4%15.1%2.2%2.3%15.1M-211.9M-610.3K0.3424.54N/AN/A7,0432,39331,40529,845
2017-09-22$134.30$130.0014.9%4.1%16.1%10.8%15.3%1.8%1.8%16.0M-227.2M-628.8K0.3024.94N/AN/A6,5261,98233,02329,988
2017-09-25$134.27$130.0016.4%4.5%15.9%25.0%15.6%2.3%0.6%15.9M-211.7M-634.7K0.4022.99N/AN/A5,6012,25232,54729,580
2017-09-26$133.04$130.0016.8%4.3%16.3%28.2%15.9%2.3%0.4%13.7M-185.5M-636.1K0.6142.40N/AN/A4,7622,92533,47929,926
2017-09-27$134.54$130.0016.4%4.3%16.4%24.7%15.3%2.8%-0.6%13.8M-212.3M-633.1K0.8127.09N/AN/A5,6434,57434,13430,813
2017-09-28$135.82$130.0016.4%4.1%16.5%24.9%15.1%2.1%-0.4%16.5M-252.3M-621.3K0.6318.81N/AN/A3,9692,48536,36333,245
2017-09-29$135.67$130.0016.5%4.1%16.4%25.5%15.3%1.6%-0.4%19.2M-252.5M-635.9K1.2528.01N/AN/A4,3185,41037,82433,691