CME Options History — April 2018

In April 2018, CME traded between $157.37 and $165.43. ATM implied volatility averaged 26.5%, placing in the 76.5% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 0.4% (HV 20d: 26.1%). Max pain ranged from $160.00 to $162.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.32.

Notable Days

  • 2018-04-26: Highest Volume — 8,986 contracts
  • 2018-04-26: Largest IV drop — 13.3% change
  • 2018-04-02: Highest IV Rank — 100.0%
  • 2018-04-02: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$161.87$157.37$165.43$157.54$158.50
Max Pain$160.71$160.00$162.50$162.50$160.00
ATM IV26.5%21.7%30.4%30.4%21.7%
Expected Move7.6%6.2%8.7%8.7%6.2%
HV 20d26.1%22.4%28.4%24.4%22.4%
HV 60d25.5%23.9%26.4%23.9%25.6%
IV Rank76.5%47.9%100.0%100.0%47.9%
IV Percentile93.6%76.2%100.0%100.0%76.2%
Term Structure-0.6%-1.6%0.6%-0.9%0.3%
VWIV27.5%21.4%31.9%31.9%21.4%
Skew 25d3.6%3.1%4.3%3.4%3.4%
Skew 10d7.5%6.0%8.6%8.0%7.4%
Call IV 25d25.4%20.0%29.0%29.0%20.0%
Put IV 25d29.0%23.4%32.4%32.4%23.4%
Bid-Ask Spread %26.6916.8437.4737.4725.03
Gamma HHI0.140.080.440.080.11
Net GEX2.9M-15.7M19.5M1.2M146.3K
Net DEX-104.4M-167.7M-7.6M-50.2M-63.1M
Net VEX-1.2M-1.4M-1.1M-1.3M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.691.711.291.42
Total Volume6,032.7144,5308,9866,3015,657
Total OI61,614.71455,46866,23460,41656,243

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$157.54$162.5030.4%8.7%24.4%100.0%31.9%3.4%-0.9%1.2M-50.2M-1.3M1.2937.47N/AN/A2,7463,55532,12828,288
2018-04-03$160.29$162.5028.2%7.6%24.7%86.8%26.4%3.6%-1.1%2.6M-86.7M-1.3M1.0227.57N/AN/A3,5333,60532,60929,507
2018-04-04$160.82$162.5027.9%7.6%24.7%85.0%28.6%3.9%-0.4%4.0M-100.1M-1.3M1.2021.98N/AN/A2,2782,73333,50530,518
2018-04-05$163.32$160.0026.9%7.5%25.5%79.1%29.0%3.6%-0.3%5.7M-135.9M-1.3M1.1716.84N/AN/A2,8443,32433,47630,815
2018-04-06$158.36$160.0029.6%8.2%27.5%95.1%31.6%3.9%-0.7%834.1K-50.8M-1.4M1.1330.68N/AN/A3,0733,47234,66931,565
2018-04-09$160.23$160.0027.7%7.8%26.9%83.5%30.7%3.9%-0.5%912.7K-75.5M-1.3M0.6926.36N/AN/A3,9772,72532,64627,992
2018-04-10$164.21$160.0026.7%7.6%28.4%77.6%27.4%3.5%0.2%4.6M-143.3M-1.3M1.1230.92N/AN/A2,6342,95033,20128,358
2018-04-11$161.71$160.0027.7%8.1%27.3%83.8%29.8%3.9%0.6%2.6M-101.2M-1.3M1.5626.93N/AN/A2,2543,52433,64328,593
2018-04-12$164.96$160.0027.3%7.8%27.9%81.3%27.5%3.5%-0.3%5.9M-158.8M-1.3M1.1723.72N/AN/A2,4342,85034,14529,723
2018-04-13$163.02$160.0027.3%7.6%27.6%81.2%28.2%4.3%-0.8%4.2M-121.5M-1.3M1.4728.27N/AN/A2,1753,20234,47029,769
2018-04-16$164.44$160.0026.7%7.6%27.8%77.7%27.4%4.3%-0.5%4.6M-143.3M-1.2M1.1635.08N/AN/A2,2322,58533,35629,178
2018-04-17$165.28$160.0024.9%7.1%27.5%67.0%25.7%3.2%-0.4%7.2M-165.9M-1.2M1.3022.16N/AN/A2,1982,84833,96829,362
2018-04-18$165.43$160.0024.6%7.1%27.5%65.4%25.3%3.4%-0.4%8.1M-167.7M-1.2M1.4227.96N/AN/A2,1963,12134,40629,613
2018-04-19$164.41$160.0025.9%7.5%27.6%73.0%27.1%3.1%-1.3%7.3M-148.2M-1.2M1.6329.93N/AN/A1,7762,89434,79830,062
2018-04-20$164.78$160.0025.9%7.5%25.9%73.0%26.5%3.5%-1.1%19.5M-154.3M-1.2M1.3728.39N/AN/A2,8533,90734,60630,219
2018-04-23$163.83$160.0025.3%7.8%25.5%69.6%27.6%3.4%-0.7%1.3M-123.9M-1.2M1.5129.23N/AN/A1,8022,72828,56026,908
2018-04-24$160.90$162.5027.6%8.3%25.2%83.0%29.4%3.4%-1.5%85.8K-82.3M-1.2M1.6628.71N/AN/A2,4644,07929,07527,242
2018-04-25$160.57$162.5027.8%8.5%24.4%84.5%29.2%3.9%-1.6%-815.8K-72.0M-1.2M1.4724.01N/AN/A2,2333,28129,56428,406
2018-04-26$159.39$162.5024.1%7.0%24.6%62.3%25.2%3.5%-0.9%-3.6M-39.0M-1.1M1.2318.49N/AN/A4,0234,96330,03729,012
2018-04-27$157.37$160.0022.1%6.3%24.1%50.4%22.5%3.1%-0.8%-15.7M-7.6M-1.1M1.7120.71N/AN/A3,3105,64930,53729,137
2018-04-30$158.50$160.0021.7%6.2%22.4%47.9%21.4%3.4%0.3%146.3K-63.1M-1.1M1.4225.03N/AN/A2,3353,32229,11727,126