CME Options History — October 2017

In October 2017, CME traded between $133.88 and $137.96. ATM implied volatility averaged 18.3%, placing in the 42.2% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 7.0% (HV 20d: 11.3%). Max pain ranged from $130.00 to $135.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.50.

Notable Days

2017-10-06: Highest Volume — 14,223 contracts
2017-10-26: Largest IV drop — 13.1% change
2017-10-10: Highest IV Rank — 56.0%
2017-10-13: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$136.47	$133.88	$137.96	$136.33	$137.22
Max Pain	$134.32	$130.00	$135.00	$130.00	$135.00
ATM IV	18.3%	15.2%	19.8%	17.5%	16.2%
Expected Move	5.1%	4.0%	5.7%	4.3%	4.8%
HV 20d	11.3%	9.3%	16.4%	16.4%	12.1%
HV 60d	13.1%	12.6%	13.6%	13.6%	13.6%
IV Rank	42.2%	13.3%	56.0%	34.7%	23.1%
IV Percentile	65.3%	15.1%	84.1%	56.0%	32.5%
Term Structure	-0.3%	-1.4%	1.2%	-1.3%	0.5%
VWIV	19.2%	14.8%	22.7%	15.1%	16.8%
Skew 25d	0.9%	-0.4%	2.2%	2.2%	1.0%
Skew 10d	1.1%	-2.6%	5.5%	5.2%	0.9%
Call IV 25d	18.5%	15.8%	20.2%	17.2%	16.4%
Put IV 25d	19.4%	15.8%	21.5%	19.4%	17.4%
Bid-Ask Spread %	46.83	21.57	63.93	27.67	38.23
Gamma HHI	0.13	0.08	0.46	0.11	0.13
Net GEX	14.2M	4.4M	29.4M	18.0M	7.0M
Net DEX	-221.6M	-290.1M	-142.8M	-240.6M	-194.0M
Net VEX	-742.4K	-851.3K	-651.8K	-651.8K	-693.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.31	0.85	0.57	0.33
Total Volume	8,262.182	4,713	14,223	7,405	7,045
Total OI	76,988.727	63,840	88,301	69,882	66,091

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
2017-10-02	$136.33	$130.00	17.5%	4.3%	16.4%	34.7%	15.1%	2.2%	-1.3%	18.0M	-240.6M	-651.8K	0.57	27.67	N/A	N/A	4,731	2,674	36,940	32,942
2017-10-03	$137.32	$130.00	17.0%	4.0%	15.8%	30.0%	14.8%	2.1%	0.7%	19.6M	-269.9M	-708.1K	0.55	21.57	N/A	N/A	5,678	3,140	37,775	33,606
2017-10-04	$136.80	$130.00	17.9%	4.3%	14.3%	38.9%	17.8%	1.4%	-1.0%	18.1M	-252.5M	-714.7K	0.31	42.07	N/A	N/A	9,396	2,908	39,086	34,228
2017-10-05	$137.96	$135.00	19.0%	5.1%	11.1%	48.7%	18.1%	2.1%	-0.8%	22.1M	-290.1M	-839.8K	0.36	47.41	N/A	N/A	7,896	2,847	43,823	35,084
2017-10-06	$137.19	$135.00	19.0%	5.5%	10.4%	49.0%	18.6%	-0.4%	-1.4%	20.0M	-267.8M	-830.9K	0.31	45.34	N/A	N/A	10,860	3,363	44,075	35,719
2017-10-09	$137.86	$135.00	18.6%	5.2%	10.4%	45.3%	20.7%	1.9%	-0.0%	20.4M	-266.6M	-851.3K	0.37	63.93	N/A	N/A	8,164	3,033	46,723	36,357
2017-10-10	$137.10	$135.00	19.8%	5.5%	10.5%	56.0%	20.3%	1.9%	-0.5%	19.7M	-254.1M	-842.5K	0.31	46.70	N/A	N/A	7,481	2,325	49,751	36,482
2017-10-11	$137.04	$135.00	18.7%	5.4%	10.5%	46.2%	19.5%	1.3%	0.6%	19.8M	-251.2M	-838.5K	0.46	34.91	N/A	N/A	7,312	3,334	50,176	36,544
2017-10-12	$137.59	$135.00	19.4%	5.4%	10.2%	52.2%	21.2%	0.4%	-0.7%	20.3M	-264.2M	-824.2K	0.55	52.83	N/A	N/A	6,034	3,347	50,322	37,367
2017-10-13	$137.20	$135.00	19.6%	5.7%	9.9%	54.6%	21.2%	0.4%	0.1%	14.4M	-244.6M	-786.6K	0.44	55.03	N/A	N/A	6,534	2,854	50,940	37,361
2017-10-16	$137.54	$135.00	19.4%	5.5%	9.9%	52.3%	20.7%	0.1%	-0.1%	16.7M	-247.3M	-750.4K	0.59	55.42	N/A	N/A	4,221	2,495	48,065	36,416
2017-10-17	$136.18	$135.00	19.7%	5.6%	10.8%	55.4%	20.4%	0.4%	-0.8%	8.9M	-208.0M	-752.3K	0.59	50.83	N/A	N/A	3,778	2,239	48,564	36,723
2017-10-18	$136.41	$135.00	19.3%	5.5%	9.5%	51.4%	22.7%	-0.4%	-0.7%	10.3M	-218.4M	-719.6K	0.65	51.43	N/A	N/A	3,980	2,604	48,820	36,810
2017-10-19	$134.82	$135.00	18.8%	5.4%	10.5%	46.7%	20.6%	-0.4%	-0.4%	10.3M	-175.1M	-719.6K	0.56	48.21	N/A	N/A	4,010	2,249	49,531	36,990
2017-10-20	$135.15	$135.00	18.7%	5.4%	10.4%	46.1%	20.0%	0.0%	-0.4%	29.4M	-184.1M	-725.6K	0.85	50.12	N/A	N/A	4,092	3,488	49,839	37,123
2017-10-23	$134.51	$135.00	19.0%	5.5%	10.6%	49.2%	20.4%	0.7%	-0.8%	6.2M	-160.9M	-677.9K	0.44	35.75	N/A	N/A	3,869	1,711	37,202	26,638
2017-10-24	$134.00	$135.00	18.8%	5.7%	10.1%	47.0%	20.2%	0.5%	-0.6%	5.5M	-151.4M	-683.8K	0.55	38.10	N/A	N/A	3,741	2,041	37,404	26,868
2017-10-25	$133.88	$135.00	18.5%	5.4%	9.3%	44.3%	20.8%	1.3%	1.2%	4.4M	-142.8M	-680.4K	0.45	61.95	N/A	N/A	4,773	2,152	37,583	27,693
2017-10-26	$136.67	$135.00	16.1%	4.9%	11.4%	21.6%	18.1%	1.8%	0.4%	7.6M	-195.7M	-722.5K	0.51	61.79	N/A	N/A	4,433	2,262	38,722	28,127
2017-10-27	$137.47	$135.00	15.2%	4.3%	11.6%	13.3%	17.3%	-0.1%	-0.3%	8.6M	-217.4M	-664.2K	0.67	48.78	N/A	N/A	4,780	3,181	39,235	28,197
2017-10-30	$136.10	$135.00	16.2%	4.9%	12.1%	23.1%	17.0%	1.3%	0.3%	5.3M	-178.6M	-654.5K	0.52	52.13	N/A	N/A	3,092	1,621	37,387	28,423
2017-10-31	$137.22	$135.00	16.2%	4.8%	12.1%	23.1%	16.8%	1.0%	0.5%	7.0M	-194.0M	-693.4K	0.33	38.23	N/A	N/A	5,301	1,744	37,517	28,574