CME Options History — June 2018

In June 2018, CME traded between $163.92 and $173.26. ATM implied volatility averaged 19.4%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 1.8% (HV 20d: 21.2%). Max pain ranged from $160.00 to $165.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.48.

Notable Days

2018-06-06: Highest Volume — 18,418 contracts
2018-06-25: Largest IV spike — 14.3% change
2018-06-27: Highest IV Rank — 56.6%
2018-06-25: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$168.52	$163.92	$173.26	$167.41	$164.37
Max Pain	$164.05	$160.00	$165.00	$160.00	$165.00
ATM IV	19.4%	17.0%	23.2%	18.7%	21.5%
Expected Move	5.4%	4.9%	6.0%	5.5%	5.5%
HV 20d	21.2%	12.7%	22.7%	21.8%	12.7%
HV 60d	21.3%	19.2%	23.1%	22.9%	19.2%
IV Rank	34.2%	19.2%	56.6%	29.9%	46.3%
IV Percentile	53.2%	28.6%	82.5%	48.0%	73.4%
Term Structure	0.3%	-1.1%	2.3%	-0.9%	0.3%
VWIV	19.4%	17.2%	22.3%	19.7%	19.0%
Skew 25d	2.9%	2.1%	4.2%	3.0%	3.0%
Skew 10d	6.2%	4.0%	9.3%	6.0%	6.3%
Call IV 25d	18.5%	16.4%	22.1%	18.0%	20.5%
Put IV 25d	21.4%	18.5%	25.7%	21.0%	23.5%
Bid-Ask Spread %	32.08	16.46	54.24	21.08	31.03
Gamma HHI	0.17	0.11	0.52	0.32	0.11
Net GEX	11.4M	3.5M	29.8M	29.8M	3.6M
Net DEX	-175.1M	-349.3M	-86.2M	-245.8M	-94.1M
Net VEX	-1.0M	-1.1M	-965.2K	-990.5K	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.25	1.04	0.39	0.41
Total Volume	7,472.81	5,456	18,418	7,777	6,998
Total OI	60,265.333	48,630	70,287	66,347	54,167

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
2018-06-01	$167.41	$160.00	18.7%	5.5%	21.8%	29.9%	19.7%	3.0%	-0.9%	29.8M	-245.8M	-990.5K	0.39	21.08	N/A	N/A	5,609	2,168	34,890	31,457
2018-06-04	$170.01	$160.00	18.4%	5.3%	21.9%	27.8%	20.4%	2.6%	0.2%	18.0M	-284.0M	-965.2K	1.04	34.55	N/A	N/A	3,582	3,719	34,275	30,600
2018-06-05	$170.46	$160.00	18.8%	5.6%	21.8%	30.1%	20.0%	3.0%	0.1%	18.0M	-295.9M	-1.0M	0.40	20.69	N/A	N/A	6,816	2,737	35,765	32,422
2018-06-06	$173.26	$160.00	18.3%	5.3%	22.2%	27.3%	19.7%	2.6%	-0.0%	18.0M	-349.3M	-1.0M	0.25	24.31	N/A	N/A	14,684	3,734	36,363	33,190
2018-06-07	$172.26	$165.00	18.5%	5.3%	22.0%	28.4%	18.5%	2.6%	-0.4%	13.1M	-229.1M	-1.0M	0.37	31.38	N/A	N/A	6,807	2,503	30,664	33,856
2018-06-08	$170.75	$165.00	18.9%	5.4%	22.1%	31.2%	19.4%	2.9%	0.1%	10.0M	-194.9M	-1.0M	0.34	16.46	N/A	N/A	5,839	1,974	32,583	34,303
2018-06-11	$171.06	$165.00	18.5%	5.3%	21.9%	28.3%	18.1%	3.3%	-0.0%	12.4M	-197.9M	-1.0M	0.33	24.22	N/A	N/A	5,401	1,772	32,289	33,330
2018-06-12	$170.04	$165.00	18.4%	5.2%	22.1%	27.6%	18.5%	3.4%	-0.4%	10.6M	-179.7M	-1.0M	0.48	31.54	N/A	N/A	4,187	2,028	33,413	33,541
2018-06-13	$170.42	$165.00	18.4%	5.2%	21.9%	27.7%	18.1%	2.5%	0.1%	13.4M	-191.2M	-1.0M	0.42	19.56	N/A	N/A	4,488	1,868	34,920	33,929
2018-06-14	$169.02	$165.00	17.5%	5.0%	22.3%	22.2%	18.1%	2.3%	0.1%	13.4M	-160.7M	-1.0M	0.65	48.33	N/A	N/A	3,711	2,428	35,212	33,994
2018-06-15	$169.57	$165.00	17.0%	4.9%	22.3%	19.2%	17.2%	2.1%	0.5%	26.6M	-171.6M	-1.0M	0.60	47.41	N/A	N/A	5,997	3,591	35,622	34,665
2018-06-18	$168.93	$165.00	17.6%	5.1%	22.1%	23.1%	18.7%	2.5%	2.1%	7.6M	-148.8M	-1.1M	0.75	43.92	N/A	N/A	3,204	2,412	29,424	19,206
2018-06-19	$166.70	$165.00	18.7%	5.4%	22.6%	30.0%	19.0%	2.3%	1.5%	5.5M	-118.0M	-1.1M	0.47	43.68	N/A	N/A	4,967	2,310	30,030	19,964
2018-06-20	$167.51	$165.00	18.3%	5.3%	22.6%	27.5%	18.3%	2.5%	1.1%	6.5M	-128.8M	-1.1M	0.42	28.85	N/A	N/A	4,291	1,795	32,122	20,715
2018-06-21	$168.24	$165.00	20.3%	5.7%	22.2%	39.3%	19.9%	2.5%	2.2%	7.3M	-139.6M	-1.1M	0.42	49.28	N/A	N/A	4,334	1,834	32,397	20,888
2018-06-22	$168.32	$165.00	19.9%	5.5%	22.2%	36.9%	19.9%	3.3%	2.3%	7.0M	-140.8M	-1.1M	0.38	19.02	N/A	N/A	4,345	1,660	32,659	20,960
2018-06-25	$166.51	$165.00	22.7%	6.0%	22.7%	54.0%	22.3%	4.2%	-0.7%	5.7M	-119.4M	-1.1M	0.54	29.58	N/A	N/A	4,133	2,223	31,598	20,422
2018-06-26	$165.93	$165.00	22.9%	5.9%	22.5%	54.7%	20.0%	3.8%	-1.1%	5.6M	-111.0M	-1.1M	0.41	26.89	N/A	N/A	4,072	1,654	31,966	20,609
2018-06-27	$164.17	$165.00	23.2%	5.9%	17.5%	56.6%	21.4%	3.4%	-0.3%	4.1M	-90.7M	-1.1M	0.52	27.56	N/A	N/A	3,580	1,876	32,503	20,870
2018-06-28	$163.92	$165.00	22.1%	5.8%	16.5%	50.3%	20.3%	3.1%	0.1%	3.5M	-86.2M	-1.1M	0.40	54.24	N/A	N/A	3,993	1,605	32,807	20,982
2018-06-29	$164.37	$165.00	21.5%	5.5%	12.7%	46.3%	19.0%	3.0%	0.3%	3.6M	-94.1M	-1.1M	0.41	31.03	N/A	N/A	4,967	2,031	33,000	21,167