CME Options History — January 2018

In January 2018, CME traded between $144.73 and $155.45. ATM implied volatility averaged 20.9%, placing in the 54.7% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 6.7% (HV 20d: 14.1%). Max pain ranged from $145.00 to $150.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2018-01-02: Highest Volume — 9,239 contracts
  • 2018-01-24: Largest IV spike — 12.5% change
  • 2018-01-30: Highest IV Rank — 76.4%
  • 2018-01-30: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$152.29$144.73$155.45$144.73$153.81
Max Pain$149.52$145.00$150.00$145.00$150.00
ATM IV20.9%19.4%23.7%19.9%21.9%
Expected Move6.1%5.0%7.5%5.0%7.0%
HV 20d14.1%11.8%15.2%13.7%11.8%
HV 60d15.3%13.8%15.7%15.1%13.8%
IV Rank54.7%43.6%76.4%47.0%62.9%
IV Percentile92.0%86.5%97.6%89.3%95.2%
Term Structure-0.5%-1.9%0.8%-0.7%0.1%
VWIV21.7%17.2%27.3%17.2%27.3%
Skew 25d1.9%0.6%3.0%3.0%2.3%
Skew 10d3.6%0.4%5.7%4.7%1.4%
Call IV 25d20.4%18.2%23.5%18.2%21.2%
Put IV 25d22.3%20.6%24.8%21.2%23.4%
Bid-Ask Spread %43.9616.6264.2934.4764.29
Gamma HHI0.160.090.240.090.15
Net GEX12.7M1.9M22.1M1.9M9.0M
Net DEX-188.2M-275.3M-53.8M-53.8M-163.0M
Net VEX-1.1M-1.1M-996.1K-1.0M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.360.880.590.42
Total Volume6,673.194,1999,2399,2399,025
Total OI65,927.09542,76278,93174,09153,369

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$144.73$145.0019.9%5.0%13.7%47.0%17.2%3.0%-0.7%1.9M-53.8M-1.0M0.5934.47N/AN/A5,8023,43735,39138,700
2018-01-03$147.11$145.0020.1%5.0%13.5%48.7%17.6%1.9%0.2%6.2M-106.0M-1.1M0.5429.01N/AN/A4,9292,63735,87039,694
2018-01-04$148.67$150.0020.6%5.7%14.0%52.7%20.0%2.0%-1.1%9.6M-142.9M-1.1M0.7952.14N/AN/A4,6053,64436,35040,065
2018-01-05$149.68$150.0019.4%5.6%14.1%43.6%19.4%2.0%0.1%11.8M-168.9M-1.1M0.7649.82N/AN/A3,7302,82037,40840,747
2018-01-08$151.75$150.0020.3%5.9%15.0%50.6%20.1%1.8%0.3%14.9M-212.1M-1.1M0.3651.35N/AN/A6,4472,31535,76638,393
2018-01-09$152.67$150.0020.6%5.7%15.1%52.4%19.8%1.4%-0.5%18.8M-247.8M-1.1M0.4558.59N/AN/A4,6012,08836,89438,348
2018-01-10$152.93$150.0020.5%5.7%15.1%52.0%20.6%1.9%-0.9%19.6M-253.6M-1.1M0.6757.66N/AN/A3,7492,50637,64638,759
2018-01-11$152.81$150.0020.8%5.7%15.1%53.8%20.5%0.6%-0.6%18.9M-241.3M-1.1M0.7861.44N/AN/A2,9262,28237,88039,339
2018-01-12$152.64$150.0020.6%5.8%14.6%52.8%20.6%2.1%-0.7%19.9M-245.2M-1.1M0.8040.29N/AN/A3,4092,74338,20439,495
2018-01-16$152.27$150.0021.7%6.2%14.4%61.1%21.4%2.6%-0.3%19.7M-232.6M-1.0M0.5359.10N/AN/A4,1392,20137,74938,737
2018-01-17$151.35$150.0021.4%6.1%14.6%59.1%21.3%0.8%-1.3%19.0M-208.3M-1.0M0.5044.56N/AN/A4,0212,03037,95839,234
2018-01-18$152.18$150.0020.6%6.0%14.7%52.6%21.3%1.6%-1.1%22.1M-227.6M-1.0M0.6538.54N/AN/A3,2702,11338,58839,395
2018-01-19$154.24$150.0020.0%5.8%15.2%48.3%21.1%1.9%-1.4%9.3M-275.3M-996.1K0.5727.44N/AN/A5,7863,32639,07539,856
2018-01-22$155.45$150.0019.7%6.0%15.1%45.6%21.8%1.4%0.1%9.1M-178.4M-1.0M0.5816.62N/AN/A3,1761,85826,65716,105
2018-01-23$154.31$150.0019.7%6.0%15.1%45.7%21.3%2.0%-0.3%9.2M-168.6M-1.0M0.6725.09N/AN/A3,1582,11627,75216,769
2018-01-24$155.03$150.0022.2%6.5%14.0%64.6%23.6%2.2%-1.9%9.7M-178.2M-1.1M0.8851.96N/AN/A3,4213,02128,95917,432
2018-01-25$154.11$150.0021.3%6.5%14.3%58.4%22.6%2.5%-0.8%9.4M-166.1M-1.1M0.4135.33N/AN/A5,0482,08330,38118,654
2018-01-26$155.18$150.0021.3%6.6%11.8%58.4%24.2%2.6%-0.4%12.9M-187.2M-1.1M0.5639.44N/AN/A3,5031,95232,15818,897
2018-01-29$153.59$150.0021.8%7.2%12.7%61.6%27.1%1.1%0.8%8.1M-151.1M-1.1M0.8538.44N/AN/A2,2741,92532,23118,284
2018-01-30$153.55$150.0023.7%7.5%12.7%76.4%26.9%1.6%-0.3%7.6M-144.9M-1.1M0.6747.49N/AN/A3,6122,40932,52518,755
2018-01-31$153.81$150.0021.9%7.0%11.8%62.9%27.3%2.3%0.1%9.0M-163.0M-1.1M0.4264.29N/AN/A6,3472,67833,96519,404