CME Options History — August 2018

In August 2018, CME traded between $160.84 and $174.53. ATM implied volatility averaged 15.8%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 0.5% (HV 20d: 16.3%). Max pain ranged from $165.00 to $165.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.14.

Notable Days

2018-08-23: Highest Volume — 6,910 contracts
2018-08-02: Largest IV spike — 34.2% change
2018-08-02: Highest IV Rank — 42.6%
2018-08-01: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$166.89	$160.84	$174.53	$161.93	$174.53
Max Pain	$165.00	$165.00	$165.00	$165.00	$165.00
ATM IV	15.8%	14.2%	20.8%	15.5%	14.2%
Expected Move	4.6%	3.9%	5.6%	5.6%	4.1%
HV 20d	16.3%	10.9%	18.5%	18.4%	11.0%
HV 60d	17.0%	14.3%	18.1%	18.1%	14.3%
IV Rank	11.5%	0.2%	42.6%	10.7%	0.2%
IV Percentile	12.8%	0.4%	66.7%	12.3%	0.4%
Term Structure	0.2%	-2.0%	5.1%	5.1%	0.3%
VWIV	16.6%	13.9%	19.7%	19.7%	14.8%
Skew 25d	2.8%	-0.1%	6.7%	3.0%	2.2%
Skew 10d	5.8%	4.2%	8.8%	5.1%	5.3%
Call IV 25d	14.8%	12.9%	20.1%	17.9%	13.4%
Put IV 25d	17.5%	15.7%	20.9%	20.9%	15.7%
Bid-Ask Spread %	22.81	16.86	32.69	22.81	25.07
Gamma HHI	0.18	0.12	0.54	0.12	0.18
Net GEX	5.3M	-175.7K	23.0M	1.5M	13.2M
Net DEX	-117.8M	-251.9M	-32.5M	-51.5M	-251.9M
Net VEX	-858.1K	-939.0K	-790.5K	-939.0K	-867.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.14	0.57	3.02	0.79	0.71
Total Volume	4,753.478	3,752	6,910	5,567	4,497
Total OI	53,381.174	48,859	58,092	52,001	58,092

Daily Data (23 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
2018-08-01	$161.93	$165.00	15.5%	5.6%	18.4%	10.7%	19.7%	3.0%	5.1%	1.5M	-51.5M	-939.0K	0.79	22.81	N/A	N/A	3,103	2,464	30,105	21,896
2018-08-02	$160.84	$165.00	20.8%	5.5%	18.5%	42.6%	19.4%	-0.1%	-0.6%	-175.7K	-32.5M	-929.1K	0.71	27.79	N/A	N/A	2,964	2,114	30,413	22,683
2018-08-03	$161.38	$165.00	15.9%	4.7%	18.5%	12.9%	15.4%	3.2%	-2.0%	165.0K	-39.5M	-900.7K	0.83	26.16	N/A	N/A	2,352	1,947	30,715	22,919
2018-08-06	$161.99	$165.00	17.8%	5.4%	17.4%	24.1%	18.7%	6.7%	-0.8%	1.3M	-48.6M	-891.8K	1.11	17.74	N/A	N/A	2,256	2,505	30,119	22,419
2018-08-07	$163.51	$165.00	16.5%	4.9%	17.5%	16.5%	17.5%	3.8%	-0.2%	2.0M	-65.0M	-913.5K	0.62	18.04	N/A	N/A	3,072	1,890	30,263	23,058
2018-08-08	$163.93	$165.00	15.3%	4.5%	17.4%	9.2%	17.3%	1.6%	-0.4%	1.5M	-71.1M	-843.3K	1.07	27.10	N/A	N/A	1,817	1,937	29,882	23,120
2018-08-09	$163.05	$165.00	15.9%	4.5%	17.2%	12.7%	17.4%	1.3%	-0.1%	607.7K	-54.5M	-839.8K	1.02	17.89	N/A	N/A	1,860	1,892	29,996	23,306
2018-08-10	$163.82	$165.00	16.5%	4.8%	17.3%	16.3%	18.4%	2.6%	-0.5%	1.7M	-70.0M	-851.1K	1.18	28.51	N/A	N/A	1,799	2,129	30,140	23,413
2018-08-13	$164.13	$165.00	17.0%	4.9%	17.0%	19.4%	18.3%	3.3%	0.1%	1.2M	-74.4M	-867.4K	1.27	29.17	N/A	N/A	1,734	2,200	29,352	22,963
2018-08-14	$166.54	$165.00	15.5%	4.8%	17.8%	10.6%	17.7%	3.2%	1.1%	4.1M	-109.5M	-839.1K	1.41	30.30	N/A	N/A	1,897	2,667	29,625	23,065
2018-08-15	$167.80	$165.00	16.6%	4.9%	17.5%	16.9%	17.5%	3.9%	-0.6%	5.8M	-131.4M	-845.9K	0.76	32.69	N/A	N/A	2,564	1,954	29,666	23,274
2018-08-16	$168.63	$165.00	15.7%	4.4%	17.1%	11.8%	16.2%	2.7%	-0.7%	7.8M	-153.7M	-795.1K	0.78	16.86	N/A	N/A	2,539	1,975	30,013	23,318
2018-08-17	$169.81	$165.00	15.0%	4.3%	17.3%	7.8%	15.6%	2.8%	0.2%	23.0M	-175.0M	-822.1K	1.11	20.40	N/A	N/A	1,862	2,067	30,879	23,452
2018-08-20	$169.93	$165.00	15.1%	4.3%	17.3%	8.2%	16.9%	2.8%	0.2%	7.4M	-159.7M	-790.5K	1.95	18.11	N/A	N/A	1,682	3,275	27,046	21,813
2018-08-21	$167.44	$165.00	15.4%	4.4%	18.0%	9.9%	15.4%	2.8%	-0.1%	4.3M	-117.7M	-816.6K	1.74	21.54	N/A	N/A	1,666	2,892	27,154	22,758
2018-08-22	$167.01	$165.00	15.3%	4.4%	17.8%	9.3%	15.2%	2.8%	0.7%	3.5M	-105.6M	-826.8K	1.05	19.66	N/A	N/A	1,985	2,079	27,267	23,080
2018-08-23	$167.65	$165.00	15.3%	4.4%	16.7%	9.0%	15.8%	2.9%	0.2%	4.8M	-118.8M	-832.9K	3.02	20.40	N/A	N/A	1,717	5,193	27,697	23,214
2018-08-24	$169.32	$165.00	14.2%	4.0%	16.9%	2.7%	13.9%	2.7%	0.9%	2.8M	-137.5M	-866.0K	0.77	21.03	N/A	N/A	2,978	2,297	28,095	26,577
2018-08-27	$170.46	$165.00	15.0%	4.2%	12.8%	6.2%	15.3%	2.2%	0.4%	7.3M	-169.2M	-861.1K	1.50	20.66	N/A	N/A	2,706	4,053	28,979	26,577
2018-08-28	$169.63	$165.00	14.8%	4.1%	11.9%	4.0%	16.3%	2.4%	0.7%	6.4M	-147.6M	-890.1K	1.26	20.40	N/A	N/A	1,673	2,110	29,781	26,207
2018-08-29	$172.09	$165.00	14.4%	3.9%	11.5%	1.0%	14.2%	2.2%	0.7%	9.4M	-198.1M	-858.5K	0.91	18.55	N/A	N/A	2,482	2,250	29,988	26,342
2018-08-30	$173.16	$165.00	14.8%	4.0%	10.9%	3.5%	14.6%	2.3%	0.5%	12.1M	-227.6M	-848.0K	0.57	23.80	N/A	N/A	3,979	2,256	30,847	26,199
2018-08-31	$174.53	$165.00	14.2%	4.1%	11.0%	0.2%	14.8%	2.2%	0.3%	13.2M	-251.9M	-867.4K	0.71	25.07	N/A	N/A	2,633	1,864	31,823	26,269