CME Options History — May 2018

In May 2018, CME traded between $155.80 and $165.15. ATM implied volatility averaged 20.0%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.6% (HV 20d: 16.4%). Max pain ranged from $160.00 to $160.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.00.

Notable Days

2018-05-30: Highest Volume — 9,741 contracts
2018-05-29: Largest IV spike — 10.9% change
2018-05-01: Highest IV Rank — 50.6%
2018-05-01: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$159.80	$155.80	$165.15	$155.80	$162.62
Max Pain	$160.00	$160.00	$160.00	$160.00	$160.00
ATM IV	20.0%	18.8%	22.2%	22.2%	19.9%
Expected Move	5.9%	5.4%	6.8%	6.8%	6.1%
HV 20d	16.4%	13.0%	22.3%	22.3%	19.6%
HV 60d	22.6%	20.4%	25.8%	25.8%	22.1%
IV Rank	37.8%	30.1%	50.6%	50.6%	37.1%
IV Percentile	62.9%	50.4%	79.8%	79.8%	61.5%
Term Structure	-0.1%	-1.2%	0.8%	0.3%	-0.4%
VWIV	21.1%	19.8%	23.2%	22.8%	21.7%
Skew 25d	3.2%	2.6%	3.8%	2.9%	3.0%
Skew 10d	6.3%	5.2%	8.2%	6.6%	6.1%
Call IV 25d	19.0%	17.7%	20.9%	20.9%	19.5%
Put IV 25d	22.1%	20.8%	23.8%	23.8%	22.5%
Bid-Ask Spread %	20.57	15.13	26.66	23.24	21.77
Gamma HHI	0.13	0.11	0.15	0.12	0.13
Net GEX	1.2M	-2.6M	9.3M	-2.3M	6.8M
Net DEX	-82.0M	-187.8M	-13.0M	-13.0M	-138.8M
Net VEX	-1.1M	-1.1M	-986.8K	-1.1M	-1.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.42	1.76	1.20	0.59
Total Volume	5,113.455	3,521	9,741	5,195	6,282
Total OI	59,523.091	54,289	64,252	57,463	64,252

Daily Data (22 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
2018-05-01	$155.80	$160.00	22.2%	6.8%	22.3%	50.6%	22.8%	2.9%	0.3%	-2.3M	-13.0M	-1.1M	1.20	23.24	N/A	N/A	2,363	2,832	29,585	27,878
2018-05-02	$156.46	$160.00	20.6%	6.1%	22.3%	41.2%	21.3%	2.7%	-0.0%	-2.0M	-30.3M	-1.1M	1.17	19.13	N/A	N/A	2,295	2,676	29,850	28,352
2018-05-03	$156.89	$160.00	20.7%	6.4%	21.5%	41.7%	21.9%	2.6%	0.6%	-1.7M	-31.5M	-1.1M	1.05	15.13	N/A	N/A	2,670	2,793	30,059	28,539
2018-05-04	$159.14	$160.00	20.2%	5.9%	19.3%	38.7%	21.4%	2.9%	0.8%	1.1M	-75.4M	-1.1M	1.31	18.97	N/A	N/A	2,574	3,378	30,339	28,824
2018-05-07	$159.03	$160.00	21.0%	6.0%	18.8%	43.7%	22.1%	3.0%	-0.4%	-176.0K	-69.3M	-1.1M	1.10	19.66	N/A	N/A	2,329	2,569	29,572	28,914
2018-05-08	$158.61	$160.00	21.4%	6.0%	16.4%	45.9%	23.2%	3.2%	-1.2%	-139.6K	-60.3M	-1.1M	1.76	26.66	N/A	N/A	1,837	3,229	30,229	29,322
2018-05-09	$161.22	$160.00	20.7%	5.8%	16.7%	41.7%	20.8%	3.0%	-0.2%	1.8M	-102.0M	-1.1M	0.99	19.62	N/A	N/A	2,398	2,381	30,036	30,146
2018-05-10	$160.03	$160.00	20.5%	5.8%	15.1%	40.6%	21.1%	3.0%	-0.2%	1.2M	-77.7M	-1.1M	1.23	17.34	N/A	N/A	1,889	2,317	30,321	30,340
2018-05-11	$159.39	$160.00	19.6%	5.7%	14.7%	34.9%	20.2%	3.0%	0.4%	2.5M	-67.0M	-1.1M	0.98	19.68	N/A	N/A	2,224	2,181	30,599	30,400
2018-05-14	$160.85	$160.00	19.6%	5.6%	14.7%	35.0%	20.2%	3.2%	0.1%	1.5M	-97.1M	-1.0M	0.76	19.98	N/A	N/A	2,140	1,616	30,441	29,386
2018-05-15	$160.12	$160.00	20.3%	5.8%	14.6%	39.4%	20.9%	3.5%	-0.4%	931.1K	-87.2M	-1.0M	0.74	21.49	N/A	N/A	2,311	1,700	30,784	29,615
2018-05-16	$160.42	$160.00	19.8%	5.7%	14.6%	36.4%	20.0%	3.6%	0.1%	1.5M	-92.1M	-1.0M	1.06	21.61	N/A	N/A	2,623	2,793	31,137	29,743
2018-05-17	$160.70	$160.00	19.1%	5.5%	14.5%	32.0%	19.8%	3.4%	0.1%	2.7M	-101.5M	-1.0M	0.86	21.32	N/A	N/A	1,893	1,628	31,433	30,943
2018-05-18	$159.46	$160.00	18.8%	5.4%	14.6%	30.2%	21.1%	3.5%	-0.1%	619.2K	-66.4M	-1.0M	1.33	18.59	N/A	N/A	2,055	2,741	31,645	31,058
2018-05-21	$161.18	$160.00	19.2%	5.5%	15.2%	32.7%	19.9%	3.1%	0.0%	1.2M	-107.3M	-995.3K	0.42	21.46	N/A	N/A	4,579	1,931	26,597	27,692
2018-05-22	$161.00	$160.00	19.4%	5.7%	13.8%	34.2%	20.8%	3.1%	0.2%	2.2M	-108.6M	-1.0M	0.68	20.12	N/A	N/A	3,179	2,151	28,026	27,973
2018-05-23	$159.60	$160.00	19.3%	5.6%	14.1%	33.2%	20.5%	3.3%	0.1%	292.8K	-83.4M	-1.1M	1.39	24.17	N/A	N/A	1,721	2,398	28,792	28,919
2018-05-24	$159.68	$160.00	18.8%	5.4%	13.8%	30.1%	19.9%	3.1%	0.4%	-372.1K	-79.4M	-1.0M	0.92	18.83	N/A	N/A	2,028	1,869	29,016	29,948
2018-05-25	$159.79	$160.00	19.1%	5.6%	13.0%	32.4%	20.5%	3.5%	-0.1%	1.8M	-77.7M	-1.1M	1.22	23.38	N/A	N/A	1,805	2,204	29,085	30,248
2018-05-29	$158.42	$160.00	21.2%	6.6%	13.2%	44.9%	22.9%	3.8%	-1.1%	-2.6M	-49.1M	-1.0M	0.61	19.61	N/A	N/A	3,825	2,348	28,632	29,894
2018-05-30	$165.15	$160.00	19.4%	5.9%	18.5%	34.0%	20.8%	3.0%	-0.8%	9.3M	-187.8M	-986.8K	0.73	20.78	N/A	N/A	5,622	4,119	30,778	30,166
2018-05-31	$162.62	$160.00	19.9%	6.1%	19.6%	37.1%	21.7%	3.0%	-0.4%	6.8M	-138.8M	-1.0M	0.59	21.77	N/A	N/A	3,956	2,326	33,057	31,195