CME Options History — November 2017

In November 2017, CME traded between $136.10 and $149.38. ATM implied volatility averaged 18.3%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.5% (HV 20d: 16.8%). Max pain ranged from $125.00 to $135.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.56.

Notable Days

2017-11-29: Highest Volume — 17,379 contracts
2017-11-24: Largest IV spike — 20.6% change
2017-11-30: Highest IV Rank — 100.0%
2017-11-30: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$140.84	$136.10	$149.38	$136.10	$149.38
Max Pain	$129.05	$125.00	$135.00	$135.00	$135.00
ATM IV	18.3%	15.7%	26.0%	16.6%	26.0%
Expected Move	5.2%	4.5%	9.0%	5.0%	9.0%
HV 20d	16.8%	12.4%	17.8%	12.4%	17.4%
HV 60d	14.7%	13.7%	15.5%	13.7%	14.9%
IV Rank	41.6%	17.9%	100.0%	26.9%	100.0%
IV Percentile	59.9%	23.8%	100.0%	44.8%	100.0%
Term Structure	0.2%	-2.3%	3.1%	0.6%	-1.4%
VWIV	18.6%	16.1%	26.6%	16.2%	26.6%
Skew 25d	0.7%	-1.7%	2.1%	2.1%	2.1%
Skew 10d	-0.3%	-7.5%	6.7%	4.0%	-2.0%
Call IV 25d	18.2%	15.7%	24.3%	16.6%	24.3%
Put IV 25d	18.9%	16.5%	26.5%	18.6%	26.5%
Bid-Ask Spread %	53.38	22.38	79.11	54.93	61.22
Gamma HHI	0.18	0.12	0.27	0.14	0.18
Net GEX	15.1M	6.0M	24.2M	6.0M	16.6M
Net DEX	-274.7M	-435.2M	-185.8M	-185.8M	-426.3M
Net VEX	-267383530973.69B	-5615054150447.40B	-607.6K	-669.2K	-889.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.25	0.90	0.31	0.49
Total Volume	8,578	5,297	17,379	7,181	15,558
Total OI	69,883.524	62,395	77,778	68,604	77,687

Daily Data (21 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
2017-11-01	$136.10	$135.00	16.6%	5.0%	12.4%	26.9%	16.2%	2.1%	0.6%	6.0M	-185.8M	-669.2K	0.31	54.93	N/A	N/A	5,466	1,715	39,830	28,774
2017-11-02	$140.37	$125.00	15.8%	4.7%	16.4%	19.1%	17.0%	0.2%	1.3%	14.8M	-266.8M	-644.1K	0.50	27.13	N/A	N/A	4,890	2,438	39,118	28,938
2017-11-03	$139.86	$125.00	16.1%	4.5%	16.3%	21.4%	16.7%	-0.5%	1.0%	17.9M	-256.7M	-640.5K	0.64	33.28	N/A	N/A	3,807	2,444	39,278	28,959
2017-11-06	$138.24	$125.00	17.4%	4.6%	16.9%	34.4%	16.1%	1.7%	-2.3%	10.9M	-220.3M	-625.3K	0.54	30.33	N/A	N/A	4,258	2,318	38,450	28,042
2017-11-07	$137.52	$125.00	17.0%	4.8%	16.8%	29.8%	20.5%	-1.7%	-0.5%	9.1M	-205.8M	-637.8K	0.49	78.99	N/A	N/A	4,470	2,169	38,608	28,302
2017-11-08	$137.55	$125.00	17.4%	5.0%	16.8%	33.7%	17.3%	1.8%	-0.7%	10.5M	-207.5M	-624.2K	0.56	22.38	N/A	N/A	3,395	1,902	39,548	28,522
2017-11-09	$138.11	$125.00	17.6%	4.9%	16.8%	35.9%	17.7%	0.9%	-1.1%	12.5M	-217.6M	-651.3K	0.72	48.55	N/A	N/A	3,268	2,364	39,725	28,577
2017-11-10	$137.83	$130.00	17.3%	4.8%	16.8%	32.8%	17.4%	1.3%	-1.7%	12.4M	-205.2M	-5615054150447.40B	0.75	56.07	N/A	N/A	3,333	2,485	39,845	29,056
2017-11-13	$140.14	$130.00	16.4%	4.7%	17.8%	24.5%	16.7%	1.0%	0.7%	17.0M	-254.9M	-607.6K	0.56	36.69	N/A	N/A	4,412	2,493	39,470	26,336
2017-11-14	$140.26	$130.00	17.0%	4.9%	17.3%	29.8%	17.4%	0.9%	0.3%	16.8M	-254.5M	-645.6K	0.61	47.84	N/A	N/A	4,743	2,895	40,231	26,432
2017-11-15	$139.68	$130.00	17.6%	5.1%	17.4%	36.2%	18.4%	0.5%	-1.0%	16.2M	-241.8M	-660.3K	0.90	72.57	N/A	N/A	3,065	2,772	40,543	26,818
2017-11-16	$140.08	$130.00	17.6%	5.0%	16.8%	35.8%	18.6%	-0.4%	-0.5%	19.4M	-248.0M	-684.1K	0.69	78.24	N/A	N/A	3,981	2,760	41,331	26,991
2017-11-17	$139.45	$130.00	17.4%	5.1%	16.9%	33.8%	18.4%	-1.1%	-0.9%	9.7M	-240.5M	-619.3K	0.82	72.53	N/A	N/A	3,623	2,970	40,870	27,037
2017-11-20	$141.82	$130.00	17.0%	5.0%	17.6%	30.2%	17.7%	1.2%	1.7%	11.2M	-259.3M	-643.9K	0.39	59.68	N/A	N/A	7,608	2,959	36,304	26,091
2017-11-21	$142.52	$130.00	18.3%	4.6%	17.4%	42.0%	16.9%	1.6%	1.9%	13.2M	-283.6M	-708.0K	0.25	64.42	N/A	N/A	12,624	3,100	39,172	26,768
2017-11-22	$141.88	$130.00	15.7%	4.9%	17.6%	17.9%	17.8%	0.9%	3.1%	18.7M	-320.0M	-845.8K	0.52	47.56	N/A	N/A	5,329	2,794	46,530	27,350
2017-11-24	$141.86	$130.00	18.9%	5.2%	16.3%	48.0%	18.5%	-0.2%	1.8%	24.2M	-325.4M	-909.9K	0.73	79.11	N/A	N/A	3,763	2,754	48,804	27,712
2017-11-27	$142.12	$130.00	20.9%	5.6%	16.2%	66.6%	21.2%	0.7%	0.8%	19.5M	-326.3M	-879.4K	0.58	50.61	N/A	N/A	4,804	2,783	48,645	27,558
2017-11-28	$144.98	$130.00	22.7%	5.7%	16.8%	83.4%	20.5%	0.8%	0.3%	20.5M	-387.8M	-889.2K	0.33	61.55	N/A	N/A	10,748	3,499	49,498	28,026
2017-11-29	$147.93	$130.00	23.6%	6.4%	17.8%	92.3%	22.6%	1.2%	1.1%	20.2M	-435.2M	-886.0K	0.40	37.38	N/A	N/A	12,415	4,964	48,783	28,995
2017-11-30	$149.38	$135.00	26.0%	9.0%	17.4%	100.0%	26.6%	2.1%	-1.4%	16.6M	-426.3M	-889.9K	0.49	61.22	N/A	N/A	10,418	5,140	46,853	30,834