CME Options History — July 2018

In July 2018, CME traded between $159.16 and $170.97. ATM implied volatility averaged 20.4%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 7.2% (HV 20d: 13.2%). Max pain ranged from $165.00 to $165.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.69.

Notable Days

2018-07-05: Highest Volume — 8,452 contracts
2018-07-30: Largest IV spike — 10.1% change
2018-07-03: Highest IV Rank — 60.6%
2018-07-05: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$165.60	$159.16	$170.97	$163.66	$159.16
Max Pain	$165.00	$165.00	$165.00	$165.00	$165.00
ATM IV	20.4%	17.8%	23.8%	22.6%	19.2%
Expected Move	5.7%	5.0%	6.4%	5.7%	5.6%
HV 20d	13.2%	9.7%	18.1%	11.2%	18.1%
HV 60d	17.2%	16.6%	18.2%	18.1%	17.7%
IV Rank	39.7%	24.1%	60.6%	52.9%	32.6%
IV Percentile	58.0%	31.0%	84.5%	79.0%	42.9%
Term Structure	0.0%	-2.3%	1.5%	-0.2%	1.5%
VWIV	20.2%	17.0%	22.5%	19.3%	19.9%
Skew 25d	3.5%	1.9%	6.9%	3.6%	5.3%
Skew 10d	7.0%	2.6%	10.9%	8.3%	8.1%
Call IV 25d	18.9%	14.3%	22.1%	21.0%	18.2%
Put IV 25d	22.4%	18.5%	25.4%	24.6%	23.5%
Bid-Ask Spread %	26.90	15.49	48.79	16.58	26.71
Gamma HHI	0.14	0.10	0.18	0.11	0.13
Net GEX	4.7M	-1.1M	10.2M	3.2M	-1.1M
Net DEX	-109.3M	-193.5M	-11.1M	-83.3M	-11.1M
Net VEX	-989.8K	-1.1M	-906.0K	-1.1M	-906.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.32	1.20	0.32	0.45
Total Volume	5,695.19	4,489	8,452	5,821	7,297
Total OI	53,667.81	48,853	57,424	53,567	50,514

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
2018-07-02	$163.66	$165.00	22.6%	5.7%	11.2%	52.9%	19.3%	3.6%	-0.2%	3.2M	-83.3M	-1.1M	0.32	16.58	N/A	N/A	4,398	1,423	32,722	20,845
2018-07-03	$161.12	$165.00	23.8%	6.0%	12.0%	60.6%	22.5%	3.2%	0.1%	2.2M	-51.0M	-1.0M	0.41	48.79	N/A	N/A	4,060	1,662	32,949	20,910
2018-07-05	$160.25	$165.00	23.0%	6.4%	9.7%	55.3%	21.2%	4.2%	-1.1%	991.9K	-40.5M	-1.0M	0.40	19.67	N/A	N/A	6,039	2,413	33,100	20,842
2018-07-06	$160.32	$165.00	22.0%	6.2%	9.8%	49.5%	21.2%	3.4%	-0.2%	403.4K	-45.4M	-995.7K	0.32	29.54	N/A	N/A	5,793	1,866	33,643	20,975
2018-07-09	$163.25	$165.00	21.4%	6.0%	12.2%	46.3%	20.9%	3.1%	-0.5%	3.1M	-76.7M	-1.0M	0.38	17.69	N/A	N/A	3,971	1,507	31,851	20,788
2018-07-10	$164.35	$165.00	20.8%	5.9%	12.6%	42.1%	21.0%	3.0%	0.2%	4.2M	-98.4M	-998.5K	0.63	26.99	N/A	N/A	3,276	2,071	32,479	21,012
2018-07-11	$165.41	$165.00	21.3%	6.1%	12.8%	45.3%	21.0%	3.3%	0.0%	5.9M	-116.6M	-1.0M	0.60	40.75	N/A	N/A	3,468	2,077	33,111	21,849
2018-07-12	$166.65	$165.00	20.8%	6.1%	13.1%	42.1%	21.1%	3.4%	0.4%	7.0M	-134.6M	-1.1M	0.74	38.39	N/A	N/A	2,679	1,982	33,817	22,073
2018-07-13	$166.75	$165.00	19.2%	5.7%	12.9%	32.5%	21.7%	3.4%	1.0%	7.1M	-141.0M	-984.7K	0.89	46.57	N/A	N/A	3,865	3,453	34,038	22,242
2018-07-16	$168.26	$165.00	19.5%	5.6%	13.3%	34.7%	19.6%	3.2%	-0.0%	7.7M	-146.6M	-995.5K	0.93	32.71	N/A	N/A	3,038	2,820	33,186	22,066
2018-07-17	$169.11	$165.00	19.3%	5.5%	13.3%	33.6%	20.0%	2.8%	0.1%	8.8M	-171.0M	-997.6K	1.03	30.22	N/A	N/A	2,367	2,432	33,910	22,893
2018-07-18	$170.97	$165.00	19.3%	5.5%	12.9%	33.3%	19.6%	2.9%	0.3%	10.2M	-193.5M	-997.1K	0.72	15.49	N/A	N/A	3,212	2,307	33,891	23,075
2018-07-19	$168.98	$165.00	19.7%	5.6%	13.6%	35.6%	20.0%	2.4%	-0.2%	7.9M	-166.6M	-1.0M	0.82	19.13	N/A	N/A	2,464	2,025	33,977	23,302
2018-07-20	$168.91	$165.00	19.3%	5.5%	13.5%	33.6%	19.6%	2.9%	1.2%	7.6M	-163.3M	-970.4K	1.07	22.71	N/A	N/A	2,307	2,458	33,979	23,445
2018-07-23	$169.20	$165.00	19.7%	5.7%	13.5%	35.8%	20.0%	2.3%	0.7%	7.1M	-150.6M	-963.0K	0.83	21.53	N/A	N/A	2,768	2,299	28,310	20,543
2018-07-24	$168.26	$165.00	20.7%	5.8%	13.1%	41.9%	20.5%	3.4%	-0.7%	6.1M	-134.2M	-985.3K	0.80	17.88	N/A	N/A	2,640	2,099	29,191	20,883
2018-07-25	$169.46	$165.00	19.8%	5.7%	13.2%	36.2%	21.3%	4.7%	-0.5%	6.9M	-142.6M	-970.5K	0.68	21.64	N/A	N/A	3,307	2,235	29,355	21,276
2018-07-26	$166.47	$165.00	18.8%	5.1%	14.2%	30.4%	17.6%	4.3%	-0.2%	2.1M	-96.6M	-935.7K	0.52	21.03	N/A	N/A	3,419	1,770	29,859	22,035
2018-07-27	$165.85	$165.00	17.8%	5.0%	14.3%	24.1%	17.0%	1.9%	0.9%	1.1M	-92.0M	-949.0K	0.69	32.87	N/A	N/A	2,789	1,927	30,248	22,352
2018-07-30	$161.11	$165.00	19.6%	5.7%	17.7%	34.9%	19.4%	6.9%	-2.3%	285.6K	-38.9M	-928.5K	1.20	18.03	N/A	N/A	2,557	3,059	28,458	21,030
2018-07-31	$159.16	$165.00	19.2%	5.6%	18.1%	32.6%	19.9%	5.3%	1.5%	-1.1M	-11.1M	-906.0K	0.45	26.71	N/A	N/A	5,038	2,259	28,853	21,661