CME Options History — March 2018

In March 2018, CME traded between $158.39 and $171.24. ATM implied volatility averaged 23.1%, placing in the 65.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 2.2% (HV 20d: 25.3%). Max pain ranged from $152.50 to $165.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.73.

Notable Days

2018-03-07: Highest Volume — 13,785 contracts
2018-03-09: Largest IV drop — 12.9% change
2018-03-28: Highest IV Rank — 100.0%
2018-03-28: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$164.55	$158.39	$171.24	$162.40	$161.74
Max Pain	$161.19	$152.50	$165.00	$152.50	$162.50
ATM IV	23.1%	19.9%	28.5%	24.9%	26.5%
Expected Move	6.6%	5.9%	7.9%	7.1%	7.2%
HV 20d	25.3%	21.9%	31.0%	31.0%	24.3%
HV 60d	22.1%	20.7%	23.4%	20.7%	23.4%
IV Rank	65.6%	43.0%	100.0%	78.5%	85.9%
IV Percentile	89.6%	75.4%	100.0%	96.8%	98.8%
Term Structure	0.6%	-1.1%	4.8%	3.8%	-0.5%
VWIV	23.8%	20.7%	28.2%	28.2%	26.0%
Skew 25d	1.9%	-1.2%	3.5%	3.5%	2.9%
Skew 10d	4.0%	1.1%	7.2%	3.4%	6.4%
Call IV 25d	23.3%	19.9%	27.8%	25.2%	26.2%
Put IV 25d	25.2%	20.2%	30.5%	28.7%	29.1%
Bid-Ask Spread %	37.49	22.01	59.64	36.76	38.24
Gamma HHI	0.13	0.09	0.20	0.12	0.09
Net GEX	10.9M	1.6M	22.9M	10.6M	3.5M
Net DEX	-190.4M	-327.3M	-63.9M	-209.7M	-105.1M
Net VEX	-1.2M	-1.3M	-1.1M	-1.2M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.18	2.95	0.58	0.86
Total Volume	7,180.048	4,381	13,785	5,340	6,958
Total OI	56,271.048	47,477	63,323	57,074	60,938

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
2018-03-01	$162.40	$152.50	24.9%	7.1%	31.0%	78.5%	28.2%	3.5%	3.8%	10.6M	-209.7M	-1.2M	0.58	36.76	N/A	N/A	3,379	1,961	35,549	21,525
2018-03-02	$166.11	$152.50	25.4%	7.5%	30.0%	82.3%	27.1%	2.7%	0.2%	14.1M	-271.8M	-1.2M	0.97	34.43	N/A	N/A	2,939	2,851	36,583	21,988
2018-03-05	$168.61	$160.00	22.4%	6.3%	30.3%	61.3%	23.1%	1.0%	1.1%	16.3M	-307.2M	-1.1M	0.61	50.10	N/A	N/A	4,314	2,625	35,899	21,296
2018-03-06	$169.26	$160.00	23.5%	6.6%	28.2%	68.5%	24.4%	2.3%	-0.1%	15.7M	-308.7M	-1.1M	0.27	46.55	N/A	N/A	7,867	2,123	35,389	21,985
2018-03-07	$168.63	$160.00	23.5%	6.7%	28.1%	68.7%	24.7%	0.3%	0.1%	17.7M	-310.3M	-1.2M	0.18	42.78	N/A	N/A	11,638	2,147	37,761	22,459
2018-03-08	$168.09	$160.00	22.8%	6.3%	27.3%	63.8%	22.7%	1.3%	-0.6%	18.7M	-264.8M	-1.1M	0.40	24.80	N/A	N/A	5,114	2,044	35,183	22,982
2018-03-09	$171.24	$160.00	19.9%	5.9%	21.9%	43.0%	21.3%	-1.2%	-1.1%	22.9M	-327.3M	-1.1M	0.40	39.61	N/A	N/A	6,995	2,803	35,803	23,115
2018-03-12	$169.32	$160.00	20.3%	6.0%	21.9%	46.3%	21.7%	2.8%	0.5%	22.1M	-280.7M	-1.1M	0.74	41.47	N/A	N/A	3,438	2,550	35,126	22,332
2018-03-13	$164.75	$160.00	20.7%	6.0%	23.5%	48.8%	21.3%	1.4%	0.4%	13.6M	-180.6M	-1.1M	0.46	38.86	N/A	N/A	4,455	2,062	35,867	23,052
2018-03-14	$162.85	$160.00	20.5%	6.0%	23.9%	47.4%	21.2%	1.2%	0.4%	9.8M	-149.0M	-1.1M	0.50	30.77	N/A	N/A	4,591	2,309	36,647	23,587
2018-03-15	$165.51	$165.00	20.5%	5.9%	24.3%	47.7%	20.7%	1.4%	0.1%	15.8M	-193.1M	-1.1M	0.45	34.69	N/A	N/A	5,166	2,312	37,270	23,982
2018-03-16	$165.56	$165.00	20.0%	5.9%	23.4%	43.9%	20.8%	0.5%	0.2%	8.7M	-199.1M	-1.2M	1.04	59.64	N/A	N/A	3,899	4,043	38,874	24,449
2018-03-19	$163.55	$165.00	21.9%	6.2%	23.4%	57.8%	23.4%	2.3%	4.8%	6.6M	-145.0M	-1.2M	0.97	49.87	N/A	N/A	2,643	2,569	27,992	19,485
2018-03-20	$164.15	$165.00	21.2%	6.1%	23.3%	52.6%	21.6%	1.2%	1.0%	7.0M	-149.8M	-1.2M	0.77	31.25	N/A	N/A	2,471	1,910	28,411	20,603
2018-03-21	$164.66	$165.00	21.8%	6.2%	23.0%	56.7%	22.1%	1.6%	1.3%	7.6M	-155.4M	-1.2M	0.57	30.55	N/A	N/A	3,111	1,785	29,022	20,941
2018-03-22	$160.52	$162.50	23.6%	6.7%	24.7%	69.3%	23.9%	2.8%	0.5%	4.6M	-97.6M	-1.2M	0.82	47.02	N/A	N/A	2,836	2,312	29,851	21,022
2018-03-23	$158.39	$162.50	26.0%	7.4%	23.9%	86.1%	26.6%	3.0%	0.4%	3.3M	-75.1M	-1.2M	0.68	22.01	N/A	N/A	4,394	2,983	30,704	21,521
2018-03-26	$161.94	$162.50	25.4%	7.0%	24.5%	81.9%	24.9%	3.4%	-0.0%	5.0M	-120.4M	-1.2M	0.55	25.49	N/A	N/A	3,490	1,903	30,311	21,135
2018-03-27	$159.21	$162.50	26.0%	7.4%	25.0%	86.5%	26.4%	3.5%	-0.2%	3.4M	-84.3M	-1.2M	2.95	24.48	N/A	N/A	2,785	8,205	30,578	21,405
2018-03-28	$159.01	$162.50	28.5%	7.9%	25.0%	100.0%	27.9%	2.7%	-0.6%	1.6M	-63.9M	-1.3M	0.65	38.00	N/A	N/A	4,133	2,668	30,801	28,269
2018-03-29	$161.74	$162.50	26.5%	7.2%	24.3%	85.9%	26.0%	2.9%	-0.5%	3.5M	-105.1M	-1.3M	0.86	38.24	N/A	N/A	3,738	3,220	32,295	28,643