CME Options History — December 2018

In December 2018, CME traded between $177.17 and $190.77. ATM implied volatility averaged 23.3%, placing in the 55.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 2.1% (HV 20d: 21.2%). Max pain ranged from $160.00 to $185.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.58.

Notable Days

  • 2018-12-06: Highest Volume — 16,917 contracts
  • 2018-12-24: Largest IV spike — 34.1% change
  • 2018-12-24: Highest IV Rank — 100.0%
  • 2018-12-24: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$186.04$177.17$190.77$187.69$187.75
Max Pain$179.00$160.00$185.00$175.00$185.00
ATM IV23.3%18.4%31.3%18.4%25.3%
Expected Move6.9%5.2%8.9%5.2%7.1%
HV 20d21.2%19.9%23.6%21.4%20.8%
HV 60d19.1%18.0%20.6%18.2%19.9%
IV Rank55.2%26.1%100.0%26.1%65.3%
IV Percentile75.4%26.2%100.0%26.2%88.9%
Term Structure0.0%-1.6%2.0%0.4%1.7%
VWIV25.4%18.2%35.5%18.2%26.1%
Skew 25d3.8%0.1%6.5%3.3%4.5%
Skew 10d5.7%0.3%11.5%3.6%9.8%
Call IV 25d21.9%16.7%29.2%16.7%25.2%
Put IV 25d25.7%19.4%31.2%20.0%29.7%
Bid-Ask Spread %60.1745.0594.5385.2045.42
Gamma HHI0.150.090.210.190.11
Net GEX8.9M1.3M14.1M9.6M9.5M
Net DEX-136.7M-229.7M-15.9M-203.2M-133.3M
Net VEX-885.4K-929.9K-839.0K-866.7K-929.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.051.821.820.65
Total Volume5,563.71,41316,9174,9802,764
Total OI55,068.347,47259,39858,47948,480

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$187.69$175.0018.4%5.2%21.4%26.1%18.2%3.3%0.4%9.6M-203.2M-866.7K1.8285.20N/AN/A1,7633,21735,60722,872
2018-12-04$188.02$175.0020.6%8.1%21.2%39.3%26.0%4.3%0.0%10.4M-215.9M-872.5K0.6185.44N/AN/A1,55594336,16122,194
2018-12-05$188.00$175.0020.5%7.4%21.1%39.2%25.1%3.8%0.2%11.5M-222.6M-882.2K0.6094.53N/AN/A1,58795836,16122,194
2018-12-06$188.81$160.0021.4%5.8%20.8%44.7%23.2%0.1%-1.6%12.0M-229.7M-884.8K0.0565.08N/AN/A16,16974836,50722,251
2018-12-07$186.48$180.0022.2%6.5%21.3%49.7%29.7%3.7%1.1%9.7M-127.3M-913.2K0.0859.66N/AN/A10,00379733,19822,421
2018-12-10$190.38$180.0022.6%6.2%22.5%51.8%23.1%4.0%-1.3%12.4M-191.3M-902.5K0.2845.05N/AN/A1,10830532,06521,535
2018-12-11$190.77$180.0021.3%6.1%21.9%44.0%22.7%3.9%-0.5%13.3M-196.4M-905.4K0.2249.25N/AN/A2,58156632,52621,545
2018-12-12$189.26$180.0020.5%6.0%22.1%38.6%22.2%3.3%0.7%14.1M-180.9M-895.1K0.2745.78N/AN/A2,66972934,69421,705
2018-12-13$187.85$180.0020.8%5.9%22.1%40.5%22.0%3.6%-0.2%12.7M-160.0M-901.1K0.5645.86N/AN/A1,76298335,63821,975
2018-12-14$186.81$180.0021.1%6.0%21.4%42.7%21.1%3.3%-0.5%11.3M-142.6M-917.3K0.5551.53N/AN/A1,74195435,72122,243
2018-12-17$185.18$180.0023.0%6.6%19.9%54.1%23.9%3.0%-0.6%10.6M-121.6M-886.7K1.2350.13N/AN/A69284834,58021,767
2018-12-18$183.18$180.0023.3%6.7%20.1%56.4%24.0%3.8%0.7%6.1M-78.1M-855.3K1.0355.80N/AN/A1,3351,38034,72821,998
2018-12-19$185.81$180.0023.7%6.8%20.4%58.5%23.9%4.5%-0.9%9.5M-114.8M-871.4K1.0051.02N/AN/A1,3861,38835,00722,449
2018-12-20$184.97$180.0024.1%6.9%20.3%61.3%24.6%4.5%-1.3%6.4M-100.0M-839.0K0.8556.96N/AN/A2,3652,00035,16022,934
2018-12-21$182.83$180.0023.3%6.5%20.5%56.3%24.9%4.1%-0.2%1.4M-72.6M-845.3K0.5163.97N/AN/A3,3651,70436,42722,971
2018-12-24$177.17$180.0031.3%8.9%22.4%100.0%30.6%2.0%-0.8%1.3M-15.9M-846.0K0.6372.95N/AN/A2,9151,83027,63919,833
2018-12-26$181.24$180.0027.2%8.4%23.6%76.3%35.5%4.0%1.5%2.9M-47.8M-860.7K0.1561.25N/AN/A12,7981,90028,19320,208
2018-12-27$183.23$185.0028.4%8.3%20.3%83.4%29.9%6.5%2.0%6.0M-80.9M-915.4K0.3565.12N/AN/A7,5692,67328,35321,004
2018-12-28$185.47$185.0027.3%7.9%20.3%76.5%31.4%5.3%0.2%7.5M-98.2M-918.4K0.2753.36N/AN/A8,8632,36128,83021,592
2018-12-31$187.75$185.0025.3%7.1%20.8%65.3%26.1%4.5%1.7%9.5M-133.3M-929.9K0.6545.42N/AN/A1,6761,08827,71120,769