CME Options History — September 2018

In September 2018, CME traded between $170.62 and $176.89. ATM implied volatility averaged 16.3%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 0.4% (HV 20d: 16.6%). Max pain ranged from $165.00 to $170.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.02.

Notable Days

2018-09-05: Highest Volume — 9,868 contracts
2018-09-05: Largest IV spike — 13.1% change
2018-09-28: Highest IV Rank — 22.9%
2018-09-12: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$173.36	$170.62	$176.89	$176.89	$170.62
Max Pain	$169.47	$165.00	$170.00	$165.00	$170.00
ATM IV	16.3%	15.2%	17.9%	15.3%	17.9%
Expected Move	4.6%	4.2%	5.2%	4.2%	4.3%
HV 20d	16.6%	11.5%	17.7%	11.5%	16.1%
HV 60d	15.8%	14.4%	16.1%	14.4%	15.5%
IV Rank	12.7%	6.4%	22.9%	6.6%	22.9%
IV Percentile	14.9%	5.6%	29.8%	7.5%	29.8%
Term Structure	0.6%	-2.2%	3.0%	0.3%	0.5%
VWIV	16.4%	14.4%	18.0%	16.2%	15.2%
Skew 25d	2.9%	1.1%	4.6%	2.5%	1.1%
Skew 10d	5.3%	0.6%	7.0%	6.1%	4.1%
Call IV 25d	15.2%	13.6%	16.5%	14.7%	16.1%
Put IV 25d	18.1%	16.2%	19.8%	17.2%	17.1%
Bid-Ask Spread %	21.33	11.11	32.78	27.70	30.10
Gamma HHI	0.22	0.15	0.71	0.18	0.17
Net GEX	12.9M	5.1M	49.0M	12.9M	5.1M
Net DEX	-187.3M	-284.3M	-114.0M	-284.3M	-114.0M
Net VEX	-786.2K	-910.7K	-701.2K	-812.5K	-744.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.44	1.55	0.72	1.55
Total Volume	5,530.842	4,505	9,868	5,752	5,335
Total OI	54,710.316	40,626	61,809	57,159	43,393

Daily Data (19 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
2018-09-04	$176.89	$165.00	15.3%	4.2%	11.5%	6.6%	16.2%	2.5%	0.3%	12.9M	-284.3M	-812.5K	0.72	27.70	N/A	N/A	3,352	2,400	31,310	25,849
2018-09-05	$171.45	$165.00	17.3%	4.8%	16.9%	18.9%	17.4%	2.9%	-0.7%	8.7M	-178.8M	-867.5K	0.69	24.76	N/A	N/A	5,847	4,021	31,555	26,516
2018-09-06	$173.95	$170.00	16.4%	4.9%	17.5%	13.8%	17.3%	2.9%	-1.8%	11.6M	-224.7M	-910.7K	0.44	21.21	N/A	N/A	5,262	2,309	33,317	28,492
2018-09-07	$173.76	$170.00	16.1%	4.9%	17.3%	11.4%	17.6%	2.9%	-0.9%	9.2M	-197.1M	-867.3K	0.59	15.40	N/A	N/A	3,589	2,115	31,101	28,557
2018-09-10	$174.55	$170.00	16.2%	4.8%	17.3%	12.3%	17.7%	2.6%	0.6%	12.3M	-219.0M	-825.5K	0.68	14.21	N/A	N/A	3,325	2,272	30,880	28,092
2018-09-11	$173.16	$170.00	17.1%	4.8%	17.7%	18.1%	17.2%	2.4%	-0.7%	10.3M	-186.9M	-841.0K	0.71	11.73	N/A	N/A	2,943	2,101	30,772	28,137
2018-09-12	$172.05	$170.00	15.7%	5.2%	17.4%	8.9%	18.0%	3.7%	3.0%	10.0M	-165.3M	-838.6K	0.65	30.23	N/A	N/A	3,033	1,974	31,410	28,414
2018-09-13	$172.15	$170.00	16.0%	4.9%	17.3%	10.8%	17.4%	3.2%	1.6%	12.7M	-175.2M	-798.6K	1.16	17.15	N/A	N/A	2,338	2,713	31,508	28,472
2018-09-14	$172.97	$170.00	15.2%	4.3%	17.3%	6.4%	15.6%	1.8%	-2.2%	12.9M	-193.2M	-802.6K	1.00	19.82	N/A	N/A	2,248	2,257	31,787	28,992
2018-09-17	$171.66	$170.00	16.7%	4.8%	17.4%	15.3%	16.7%	2.8%	0.9%	9.0M	-158.9M	-778.2K	1.43	11.11	N/A	N/A	1,952	2,785	30,624	27,829
2018-09-18	$172.37	$170.00	16.5%	4.8%	17.4%	14.2%	17.2%	2.9%	1.0%	11.5M	-174.9M	-763.5K	1.42	14.84	N/A	N/A	2,004	2,841	30,661	27,725
2018-09-19	$173.61	$170.00	15.8%	4.5%	16.6%	9.7%	16.1%	3.2%	1.9%	13.9M	-198.5M	-768.5K	1.10	27.52	N/A	N/A	2,296	2,531	30,748	28,176
2018-09-20	$174.69	$170.00	15.4%	4.3%	16.6%	7.6%	16.0%	2.5%	3.0%	20.2M	-225.4M	-719.0K	0.88	17.10	N/A	N/A	2,840	2,499	30,788	28,397
2018-09-21	$175.04	$170.00	15.3%	4.2%	16.6%	6.7%	14.9%	2.6%	3.0%	49.0M	-229.1M	-707.2K	0.96	25.91	N/A	N/A	2,968	2,845	30,575	28,502
2018-09-24	$175.29	$170.00	16.0%	4.3%	16.3%	11.0%	16.8%	4.6%	-1.2%	9.2M	-177.9M	-701.2K	1.44	32.78	N/A	N/A	1,920	2,767	21,614	19,012
2018-09-25	$173.91	$170.00	16.7%	4.3%	16.5%	15.1%	15.4%	2.9%	2.0%	8.7M	-162.0M	-718.9K	1.16	24.81	N/A	N/A	2,541	2,945	22,035	19,408
2018-09-26	$173.31	$170.00	17.4%	4.4%	16.5%	19.7%	15.0%	3.3%	0.4%	8.6M	-153.9M	-733.2K	1.39	22.33	N/A	N/A	2,003	2,777	22,278	19,897
2018-09-27	$172.32	$170.00	16.2%	4.3%	15.8%	12.2%	14.4%	3.7%	0.1%	9.0M	-140.2M	-739.4K	1.45	16.60	N/A	N/A	2,094	3,044	22,635	20,038
2018-09-28	$170.62	$170.00	17.9%	4.3%	16.1%	22.9%	15.2%	1.1%	0.5%	5.1M	-114.0M	-744.7K	1.55	30.10	N/A	N/A	2,091	3,244	22,799	20,594