CME Options History — February 2018

In February 2018, CME traded between $153.76 and $167.17. ATM implied volatility averaged 22.7%, placing in the 64.7% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 2.4% (HV 20d: 25.1%). Max pain ranged from $145.00 to $152.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.73.

Notable Days

  • 2018-02-02: Highest Volume — 12,086 contracts
  • 2018-02-27: Largest IV spike — 16.5% change
  • 2018-02-09: Highest IV Rank — 100.0%
  • 2018-02-09: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$161.15$153.76$167.17$158.77$166.64
Max Pain$146.58$145.00$152.50$145.00$152.50
ATM IV22.7%19.4%27.9%19.4%23.1%
Expected Move6.5%5.4%7.9%5.4%6.3%
HV 20d25.1%14.7%29.5%15.0%29.1%
HV 60d18.7%14.8%20.5%15.1%20.0%
IV Rank64.7%43.1%100.0%43.3%65.9%
IV Percentile91.6%79.8%100.0%82.9%93.7%
Term Structure-0.3%-3.3%2.4%0.1%-1.1%
VWIV24.2%21.6%30.1%22.0%26.0%
Skew 25d3.1%-0.7%7.0%2.5%1.9%
Skew 10d6.0%-0.6%17.3%7.0%2.7%
Call IV 25d22.5%18.3%27.2%18.3%23.6%
Put IV 25d25.6%20.7%33.3%20.7%25.5%
Bid-Ask Spread %42.7426.0765.1741.0460.39
Gamma HHI0.160.120.500.180.14
Net GEX16.9M10.2M40.9M17.8M14.2M
Net DEX-252.3M-350.4M-158.9M-262.0M-286.1M
Net VEX-1.2M-1.3M-1.1M-1.2M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.351.050.800.77
Total Volume6,345.4213,95412,0867,7974,308
Total OI55,715.26348,51958,72057,19656,360

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$158.77$145.0019.4%5.4%15.0%43.3%22.0%2.5%0.1%17.8M-262.0M-1.2M0.8041.04N/AN/A4,3433,45437,18920,007
2018-02-02$159.17$145.0021.8%5.8%14.7%61.8%21.7%-0.7%-3.3%15.7M-259.0M-1.2M0.3544.54N/AN/A8,9243,16236,67820,642
2018-02-05$154.94$145.0024.1%7.1%18.2%79.7%25.1%0.3%2.4%12.3M-176.6M-1.2M0.5865.17N/AN/A4,0232,33336,93818,292
2018-02-06$157.10$145.0024.2%6.9%18.2%80.2%25.1%3.2%0.1%14.7M-211.3M-1.2M0.6160.51N/AN/A4,0852,47237,60118,793
2018-02-07$160.60$145.0025.4%6.7%19.5%89.7%24.1%7.0%-3.0%17.8M-273.0M-1.2M0.6049.40N/AN/A3,8412,28737,63118,826
2018-02-08$153.76$145.0025.4%7.8%25.5%89.3%28.1%5.9%2.3%11.8M-158.9M-1.2M1.0344.79N/AN/A2,6762,76337,97918,911
2018-02-09$156.92$145.0027.9%7.9%26.4%100.0%30.1%6.1%0.8%13.9M-199.3M-1.3M1.0045.68N/AN/A2,7512,76238,25219,606
2018-02-12$160.31$145.0023.8%6.6%27.4%71.2%25.6%3.7%0.4%19.0M-262.0M-1.2M0.8556.00N/AN/A2,6262,23937,78019,260
2018-02-13$160.18$145.0024.0%6.8%27.3%72.2%25.9%3.9%0.2%19.1M-250.6M-1.2M1.0438.53N/AN/A1,9362,01837,77919,507
2018-02-14$162.00$145.0022.8%6.5%27.3%63.8%23.3%3.2%-2.8%23.4M-294.6M-1.1M0.8433.44N/AN/A2,6382,22638,18119,758
2018-02-15$164.91$145.0020.5%5.9%27.8%47.6%22.6%2.4%-0.3%24.5M-350.4M-1.1M0.5837.93N/AN/A4,2612,47138,25219,885
2018-02-16$162.77$145.0020.3%5.9%28.2%46.4%21.8%3.1%-0.7%40.9M-307.2M-1.1M0.6627.19N/AN/A4,3312,86738,46820,252
2018-02-20$163.59$145.0021.8%6.3%28.1%56.8%22.2%2.3%-0.2%11.9M-244.4M-1.1M1.0526.59N/AN/A2,8262,97930,70817,811
2018-02-21$161.94$145.0021.1%6.1%28.3%52.0%23.5%1.0%1.2%11.4M-217.4M-1.1M0.6726.07N/AN/A4,6103,10531,09918,693
2018-02-22$160.58$150.0021.8%6.3%28.5%56.7%22.5%2.7%-0.4%10.2M-193.9M-1.1M0.5330.99N/AN/A4,3712,29733,07819,924
2018-02-23$163.87$150.0020.0%5.6%29.1%44.3%22.6%3.2%-0.3%13.4M-254.1M-1.1M0.6943.36N/AN/A3,3782,32334,47520,552
2018-02-26$166.67$150.0019.9%5.7%29.5%43.1%21.6%3.1%-0.2%15.1M-290.6M-1.1M0.7531.26N/AN/A3,4852,61533,80020,109
2018-02-27$167.17$152.5023.2%7.7%29.0%66.3%26.5%3.1%-0.9%14.2M-301.5M-1.2M0.3949.26N/AN/A4,8671,91034,71520,799
2018-02-28$166.64$152.5023.1%6.3%29.1%65.9%26.0%1.9%-1.1%14.2M-286.1M-1.2M0.7760.39N/AN/A2,4341,87435,15821,202