CME Options History — November 2018

In November 2018, CME traded between $183.60 and $195.36. ATM implied volatility averaged 19.8%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 1.9% (HV 20d: 17.9%). Max pain ranged from $165.00 to $175.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.85.

Notable Days

2018-11-16: Highest Volume — 12,553 contracts
2018-11-12: Largest IV spike — 20.1% change
2018-11-12: Highest IV Rank — 47.1%
2018-11-12: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$189.22	$183.60	$195.36	$183.60	$188.88
Max Pain	$170.48	$165.00	$175.00	$175.00	$175.00
ATM IV	19.8%	16.9%	21.8%	19.8%	19.9%
Expected Move	5.8%	5.2%	6.5%	6.3%	5.7%
HV 20d	17.9%	15.4%	21.2%	18.5%	21.2%
HV 60d	17.3%	16.7%	19.4%	16.9%	18.1%
IV Rank	34.4%	16.4%	47.1%	34.5%	35.0%
IV Percentile	44.2%	16.7%	71.0%	44.4%	43.3%
Term Structure	0.0%	-1.1%	1.5%	0.6%	-0.3%
VWIV	21.1%	17.7%	23.6%	21.5%	22.6%
Skew 25d	3.4%	-1.2%	7.1%	3.7%	3.8%
Skew 10d	6.9%	3.9%	10.2%	7.8%	4.5%
Call IV 25d	18.6%	14.1%	22.2%	18.1%	18.6%
Put IV 25d	22.0%	18.8%	25.6%	21.8%	22.3%
Bid-Ask Spread %	48.60	30.32	86.79	57.58	62.70
Gamma HHI	0.19	0.14	0.49	0.14	0.17
Net GEX	13.0M	2.8M	28.3M	10.9M	13.2M
Net DEX	-286.4M	-444.3M	-191.4M	-239.1M	-246.0M
Net VEX	-912.3K	-1.0M	-841.9K	-841.9K	-891.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.23	1.48	0.80	1.14
Total Volume	6,156.81	4,085	12,553	4,909	6,418
Total OI	56,705.952	50,608	61,645	50,608	59,510

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
2018-11-01	$183.60	$175.00	19.8%	6.3%	18.5%	34.5%	21.5%	3.7%	0.6%	10.9M	-239.1M	-841.9K	0.80	57.58	N/A	N/A	2,721	2,188	30,790	19,818
2018-11-02	$183.98	$175.00	20.0%	6.0%	18.5%	35.9%	22.1%	3.4%	1.5%	10.4M	-239.6M	-857.7K	0.69	58.54	N/A	N/A	2,982	2,063	31,184	20,122
2018-11-05	$185.47	$165.00	20.3%	6.0%	18.7%	37.6%	22.7%	3.5%	-0.3%	11.1M	-253.6M	-846.8K	0.75	37.52	N/A	N/A	3,451	2,582	31,007	19,953
2018-11-06	$186.41	$165.00	19.7%	5.9%	18.7%	34.0%	20.8%	3.2%	0.5%	11.5M	-262.7M	-863.6K	0.43	39.26	N/A	N/A	6,607	2,865	32,075	20,945
2018-11-07	$188.46	$170.00	16.9%	5.2%	18.8%	16.4%	17.8%	4.6%	0.1%	16.6M	-323.7M	-924.1K	0.74	35.64	N/A	N/A	3,445	2,566	36,133	22,192
2018-11-08	$188.59	$170.00	18.4%	5.8%	16.6%	25.9%	17.7%	2.2%	-0.5%	16.7M	-327.3M	-962.9K	0.97	39.61	N/A	N/A	2,546	2,461	37,171	23,045
2018-11-09	$189.67	$170.00	18.2%	5.3%	16.6%	24.5%	19.8%	3.9%	1.2%	20.3M	-342.3M	-978.1K	0.74	50.97	N/A	N/A	2,767	2,044	37,818	23,483
2018-11-12	$186.96	$170.00	21.8%	6.5%	17.3%	47.1%	22.8%	4.7%	1.2%	13.8M	-291.3M	-1.0M	0.67	45.11	N/A	N/A	3,956	2,638	37,485	22,202
2018-11-13	$187.10	$170.00	20.6%	6.2%	16.3%	39.2%	23.2%	7.1%	-0.0%	12.7M	-282.7M	-975.9K	1.02	43.14	N/A	N/A	2,196	2,237	37,716	22,792
2018-11-14	$188.46	$170.00	20.8%	6.1%	15.4%	40.6%	22.6%	3.8%	-0.0%	13.7M	-304.4M	-1.0M	1.44	44.37	N/A	N/A	2,118	3,041	37,926	23,114
2018-11-15	$191.41	$170.00	19.3%	5.6%	16.1%	31.3%	20.1%	3.0%	0.2%	18.3M	-370.7M	-959.4K	1.06	48.37	N/A	N/A	2,472	2,620	38,191	23,170
2018-11-16	$195.36	$170.00	18.4%	5.5%	17.3%	26.0%	19.1%	2.9%	0.3%	28.3M	-444.3M	-924.0K	0.23	36.07	N/A	N/A	10,203	2,350	38,263	23,382
2018-11-19	$195.31	$170.00	19.7%	5.7%	16.7%	33.9%	20.1%	3.0%	-0.3%	11.8M	-333.2M	-871.3K	0.69	30.32	N/A	N/A	4,555	3,152	31,375	20,248
2018-11-20	$192.22	$170.00	21.6%	6.2%	18.1%	45.5%	22.4%	4.0%	-0.1%	9.3M	-278.6M	-927.2K	1.40	39.65	N/A	N/A	2,168	3,039	32,379	21,236
2018-11-21	$190.58	$170.00	20.4%	5.9%	18.5%	38.5%	20.1%	1.6%	-0.6%	6.2M	-244.2M	-908.1K	1.48	43.65	N/A	N/A	1,966	2,904	32,546	22,219
2018-11-23	$189.31	$170.00	19.9%	5.6%	16.6%	34.9%	21.4%	-1.2%	-0.9%	2.8M	-217.5M	-897.4K	0.72	86.79	N/A	N/A	3,013	2,172	33,244	22,912
2018-11-26	$191.57	$170.00	19.6%	5.8%	16.9%	33.0%	21.1%	3.9%	-0.2%	11.0M	-266.8M	-859.1K	1.01	30.81	N/A	N/A	2,133	2,163	33,215	21,438
2018-11-27	$194.14	$170.00	19.1%	5.4%	16.7%	30.1%	20.4%	3.8%	-0.2%	13.2M	-315.4M	-857.7K	0.86	68.01	N/A	N/A	2,193	1,892	33,971	21,756
2018-11-28	$186.93	$170.00	20.7%	5.8%	21.1%	40.0%	21.5%	3.0%	-0.3%	8.3M	-191.4M	-851.9K	0.46	52.26	N/A	N/A	6,459	2,968	34,649	21,839
2018-11-29	$189.13	$175.00	20.3%	6.0%	21.2%	37.3%	23.6%	3.6%	-1.1%	12.5M	-240.3M	-927.4K	0.59	70.33	N/A	N/A	4,389	2,590	36,111	22,200
2018-11-30	$188.88	$175.00	19.9%	5.7%	21.2%	35.0%	22.6%	3.8%	-0.3%	13.2M	-246.0M	-891.6K	1.14	62.70	N/A	N/A	2,994	3,424	36,942	22,568