CME Options History — December 2017

In December 2017, CME traded between $145.98 and $153.52. ATM implied volatility averaged 20.2%, placing in the 50.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 5.5% (HV 20d: 14.7%). Max pain ranged from $115.00 to $145.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.57.

Notable Days

  • 2017-12-26: Highest Volume — 66,581 contracts
  • 2017-12-08: Largest IV drop — 10.1% change
  • 2017-12-06: Highest IV Rank — 100.0%
  • 2017-12-01: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$150.56$145.98$153.52$150.84$146.19
Max Pain$139.25$115.00$145.00$135.00$145.00
ATM IV20.2%16.3%26.8%25.9%16.7%
Expected Move5.5%4.4%7.3%7.3%4.4%
HV 20d14.7%13.8%16.2%14.5%14.0%
HV 60d14.4%14.1%15.1%14.2%15.0%
IV Rank50.1%19.4%100.0%99.3%22.4%
IV Percentile74.5%34.5%100.0%99.6%47.6%
Term Structure0.2%-3.8%3.0%-3.8%3.0%
VWIV21.8%15.9%32.2%26.3%15.9%
Skew 25d2.4%0.8%3.5%1.9%0.8%
Skew 10d2.9%0.2%5.4%1.4%2.6%
Call IV 25d18.9%15.1%25.5%25.5%15.8%
Put IV 25d21.2%16.6%27.4%27.4%16.6%
Bid-Ask Spread %30.3816.2466.8766.8737.79
Gamma HHI0.160.090.420.160.12
Net GEX9.0M-2.1M37.4M17.4M462.8K
Net DEX-207.0M-494.0M13.6M-459.3M-78.6M
Net VEX-1.0M-1.1M-904.2K-904.2K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.081.390.820.89
Total Volume22,230.38,34166,58110,99219,915
Total OI83,217.2571,41595,03481,26383,707

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$150.84$135.0025.9%7.3%14.5%99.3%26.3%1.9%-3.8%17.4M-459.3M-904.2K0.8266.87N/AN/A6,0434,94949,35731,906
2017-12-04$153.52$115.0025.1%6.4%15.0%92.4%23.6%2.7%-0.3%18.0M-493.1M-917.0K0.9631.73N/AN/A8,2497,88549,83032,362
2017-12-05$152.17$120.0024.8%6.4%14.7%90.2%23.8%2.2%-0.6%14.5M-444.4M-1.0M0.3028.28N/AN/A13,2703,98650,93336,677
2017-12-06$152.76$120.0026.8%6.5%14.2%100.0%23.6%0.8%-1.1%21.6M-494.0M-995.0K0.0830.17N/AN/A57,9324,48357,36737,667
2017-12-07$152.06$140.0025.2%6.2%14.5%88.0%26.6%2.0%-0.9%20.6M-245.8M-1.0M0.1831.34N/AN/A25,4154,49944,82539,402
2017-12-08$152.77$140.0022.6%6.0%14.5%68.4%28.6%1.8%-0.0%37.4M-256.1M-1.0M0.2816.24N/AN/A26,4117,36444,14940,505
2017-12-11$152.75$140.0021.1%5.7%14.4%56.7%21.8%1.7%-1.7%9.8M-218.9M-993.0K0.1817.19N/AN/A23,7194,30440,24643,376
2017-12-12$153.02$140.0020.6%5.7%13.8%52.4%32.2%2.9%-1.6%10.6M-226.8M-1.0M0.1816.33N/AN/A22,5473,95942,12044,799
2017-12-13$151.47$140.0019.8%5.5%14.7%46.5%20.0%2.9%1.1%4.2M-178.3M-1.0M0.3625.87N/AN/A10,7683,89442,29545,325
2017-12-14$150.50$145.0019.3%5.3%14.9%42.9%19.5%3.5%-0.7%-2.1M-141.6M-996.7K0.5619.86N/AN/A6,5873,68041,97245,842
2017-12-15$150.88$145.0018.6%5.1%14.9%36.9%18.7%2.6%-0.2%5.7M-168.4M-977.8K0.5418.14N/AN/A7,2243,92042,57546,275
2017-12-18$151.29$145.0018.0%5.1%14.6%32.7%18.5%2.5%0.1%6.6M-154.1M-973.4K0.6628.40N/AN/A5,0363,30535,78135,634
2017-12-19$150.31$145.0017.4%5.0%14.2%27.8%18.0%2.8%0.3%4.3M-128.0M-977.3K1.3925.69N/AN/A4,4816,22136,60136,288
2017-12-20$149.51$145.0017.4%5.0%14.5%28.2%17.7%3.1%0.0%976.0K-89.4M-1.1M0.6328.29N/AN/A6,0313,77436,81240,047
2017-12-21$151.03$145.0017.3%5.0%14.5%27.6%18.3%3.1%0.3%4.9M-127.9M-1.1M0.8936.12N/AN/A5,8875,23238,10440,801
2017-12-22$148.88$145.0016.3%4.6%15.7%19.4%17.9%3.4%2.1%-431.7K-80.3M-1.1M0.9432.82N/AN/A5,5645,23739,43341,253
2017-12-26$148.97$145.0016.3%4.5%15.7%19.6%31.2%3.5%2.6%4.3M-89.9M-1.1M0.1544.22N/AN/A57,7148,86737,84040,372
2017-12-27$145.98$145.0017.1%5.0%16.2%25.4%17.8%1.3%2.5%412.8K13.6M-1.1M0.6031.47N/AN/A15,8359,55141,97346,671
2017-12-28$146.40$145.0017.2%4.7%14.5%26.2%16.8%1.8%2.8%1.2M-78.4M-1.1M0.8940.76N/AN/A11,0159,85342,14641,077
2017-12-29$146.19$145.0016.7%4.4%14.0%22.4%15.9%0.8%3.0%462.8K-78.6M-1.1M0.8937.79N/AN/A10,5569,35942,12741,580