CME Options History — October 2018

In October 2018, CME traded between $174.08 and $183.78. ATM implied volatility averaged 21.0%, placing in the 42.0% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 3.4% (HV 20d: 17.6%). Max pain ranged from $170.00 to $175.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.83.

Notable Days

2018-10-04: Highest Volume — 11,772 contracts
2018-10-04: Largest IV spike — 23.6% change
2018-10-24: Highest IV Rank — 59.2%
2018-10-24: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$179.31	$174.08	$183.78	$174.08	$183.78
Max Pain	$174.35	$170.00	$175.00	$170.00	$175.00
ATM IV	21.0%	16.0%	23.8%	16.0%	19.9%
Expected Move	6.0%	4.2%	7.2%	4.2%	6.1%
HV 20d	17.6%	12.3%	21.0%	17.4%	21.0%
HV 60d	16.6%	15.6%	17.6%	16.0%	16.8%
IV Rank	42.0%	10.8%	59.2%	10.8%	35.2%
IV Percentile	61.7%	10.3%	84.1%	10.3%	47.2%
Term Structure	-0.2%	-2.1%	3.7%	1.5%	0.6%
VWIV	21.4%	14.8%	25.4%	15.0%	21.7%
Skew 25d	3.1%	1.0%	5.5%	2.6%	3.4%
Skew 10d	6.4%	2.3%	9.2%	5.0%	7.7%
Call IV 25d	19.7%	14.6%	23.8%	14.6%	18.7%
Put IV 25d	22.8%	17.2%	28.1%	17.2%	22.2%
Bid-Ask Spread %	52.50	23.46	85.64	28.61	55.26
Gamma HHI	0.18	0.14	0.35	0.22	0.14
Net GEX	11.8M	6.7M	22.1M	8.6M	10.5M
Net DEX	-216.1M	-314.2M	-143.5M	-158.7M	-241.2M
Net VEX	-803.5K	-859.1K	-722.8K	-722.8K	-831.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.41	1.24	0.96	0.64
Total Volume	5,574.826	4,459	11,772	5,519	5,351
Total OI	46,910.739	40,043	53,898	40,043	48,777

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
2018-10-01	$174.08	$170.00	16.0%	4.2%	17.4%	10.8%	15.0%	2.6%	1.5%	8.6M	-158.7M	-722.8K	0.96	28.61	N/A	N/A	2,812	2,707	22,213	17,830
2018-10-02	$174.61	$170.00	16.2%	4.2%	16.8%	12.3%	14.8%	1.9%	0.6%	11.6M	-170.3M	-747.4K	1.05	25.53	N/A	N/A	2,352	2,473	23,152	17,966
2018-10-03	$175.46	$170.00	17.7%	4.2%	12.3%	21.6%	14.8%	2.6%	-0.9%	13.2M	-189.1M	-743.9K	0.93	26.58	N/A	N/A	2,964	2,746	23,611	18,111
2018-10-04	$180.55	$175.00	21.9%	6.1%	15.1%	47.4%	19.7%	4.0%	-1.1%	11.6M	-258.9M	-750.3K	0.41	73.97	N/A	N/A	8,339	3,433	24,615	18,635
2018-10-05	$181.23	$175.00	21.8%	5.6%	15.0%	46.7%	19.7%	1.0%	0.4%	14.8M	-280.5M	-818.0K	0.80	85.64	N/A	N/A	3,349	2,682	28,575	19,165
2018-10-08	$181.12	$175.00	21.6%	5.8%	15.0%	45.4%	22.1%	2.5%	-2.1%	14.4M	-252.9M	-809.3K	0.80	66.68	N/A	N/A	2,782	2,223	27,569	18,531
2018-10-09	$181.14	$175.00	20.3%	5.6%	14.6%	37.9%	21.4%	2.1%	-0.8%	15.7M	-262.5M	-791.2K	0.94	36.10	N/A	N/A	2,433	2,279	28,375	18,744
2018-10-10	$179.90	$175.00	20.8%	6.1%	14.6%	40.5%	21.2%	2.0%	0.1%	14.1M	-239.3M	-814.0K	1.02	57.76	N/A	N/A	2,308	2,349	28,702	19,055
2018-10-11	$176.17	$175.00	23.0%	7.0%	16.8%	54.5%	23.8%	5.5%	3.7%	11.0M	-171.5M	-859.1K	1.24	61.58	N/A	N/A	2,116	2,625	28,696	19,367
2018-10-12	$176.31	$175.00	22.9%	6.4%	16.7%	54.0%	23.1%	4.3%	-0.6%	9.6M	-166.4M	-817.5K	1.20	65.23	N/A	N/A	2,783	3,339	28,845	19,740
2018-10-15	$174.69	$175.00	22.6%	6.5%	16.9%	52.1%	21.4%	3.2%	-1.5%	7.9M	-143.5M	-811.1K	1.12	50.71	N/A	N/A	2,238	2,497	28,770	20,061
2018-10-16	$177.95	$175.00	20.1%	5.7%	18.0%	36.2%	20.7%	2.7%	-0.3%	12.2M	-194.2M	-782.1K	0.63	56.24	N/A	N/A	3,811	2,404	29,230	20,557
2018-10-17	$181.17	$175.00	20.2%	5.8%	18.8%	37.0%	20.6%	2.3%	-0.9%	17.3M	-273.8M	-810.5K	0.70	55.11	N/A	N/A	3,368	2,361	30,989	20,777
2018-10-18	$182.03	$175.00	21.1%	6.1%	18.8%	42.4%	21.2%	3.0%	-1.8%	19.4M	-295.4M	-800.4K	0.77	59.72	N/A	N/A	3,328	2,558	31,922	20,978
2018-10-19	$182.86	$175.00	19.9%	5.7%	18.8%	35.3%	22.0%	3.0%	0.1%	22.1M	-314.2M	-808.3K	0.53	39.17	N/A	N/A	4,579	2,444	32,554	21,344
2018-10-22	$181.04	$175.00	20.5%	6.2%	19.3%	38.9%	21.5%	3.0%	-0.2%	9.0M	-213.6M	-772.8K	0.88	29.47	N/A	N/A	2,403	2,120	26,613	17,515
2018-10-23	$181.15	$175.00	22.8%	6.9%	18.9%	53.3%	24.6%	3.1%	-0.9%	8.7M	-216.1M	-820.2K	0.79	23.46	N/A	N/A	2,679	2,124	26,744	17,781
2018-10-24	$182.06	$175.00	23.8%	7.2%	18.9%	59.2%	25.0%	3.0%	0.3%	8.7M	-217.3M	-834.5K	0.86	48.71	N/A	N/A	2,836	2,435	27,141	18,229
2018-10-25	$178.15	$175.00	22.8%	6.5%	20.6%	52.8%	22.8%	4.4%	-0.7%	7.6M	-160.6M	-824.3K	0.67	70.04	N/A	N/A	3,378	2,263	27,431	18,904
2018-10-26	$179.00	$175.00	22.4%	6.7%	20.1%	50.8%	25.3%	3.8%	0.0%	8.4M	-180.4M	-858.5K	0.89	75.46	N/A	N/A	2,543	2,275	27,977	19,452
2018-10-29	$177.73	$175.00	23.5%	6.9%	19.2%	57.6%	25.4%	3.8%	0.2%	6.7M	-161.1M	-822.9K	0.77	72.02	N/A	N/A	2,514	1,945	27,478	18,820
2018-10-30	$181.90	$175.00	21.3%	6.7%	20.8%	43.6%	24.5%	4.0%	0.6%	8.7M	-208.5M	-830.2K	0.55	44.47	N/A	N/A	3,015	1,658	28,299	19,107
2018-10-31	$183.78	$175.00	19.9%	6.1%	21.0%	35.2%	21.7%	3.4%	0.6%	10.5M	-241.2M	-831.0K	0.64	55.26	N/A	N/A	3,266	2,085	29,580	19,197