CME Options History — January 2019

In January 2019, CME traded between $177.97 and $187.73. ATM implied volatility averaged 21.7%, placing in the 43.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 0.3% (HV 20d: 22.0%). Max pain ranged from $180.00 to $185.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2019-01-02: Highest Volume — 5,732 contracts
  • 2019-01-04: Largest IV drop — 13.8% change
  • 2019-01-03: Highest IV Rank — 77.0%
  • 2019-01-03: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$182.76$177.97$187.73$185.08$182.18
Max Pain$181.19$180.00$185.00$185.00$180.00
ATM IV21.7%18.6%27.3%26.0%20.0%
Expected Move6.4%5.3%7.7%7.4%5.8%
HV 20d22.0%19.3%24.0%21.3%19.4%
HV 60d20.4%19.9%20.8%20.1%20.4%
IV Rank43.8%26.0%77.0%69.1%33.8%
IV Percentile58.4%23.8%95.2%91.7%42.5%
Term Structure0.1%-3.6%3.0%1.3%0.1%
VWIV23.0%19.3%31.4%26.9%20.6%
Skew 25d3.8%1.4%7.7%1.4%3.4%
Skew 10d8.9%2.8%15.6%12.4%6.6%
Call IV 25d20.8%17.9%26.7%26.7%18.8%
Put IV 25d24.6%20.7%32.3%28.1%22.2%
Bid-Ask Spread %56.0842.7675.7448.3543.67
Gamma HHI0.100.090.150.110.09
Net GEX3.0M-2.5M11.8M7.3M2.5M
Net DEX-49.8M-105.8M10.7M-96.2M-42.5M
Net VEX-872.0K-964.7K-822.1K-895.0K-850.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.341.941.191.16
Total Volume2,964.7147235,7325,7322,265
Total OI49,257.85737,18758,25450,34239,868

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-01-02$185.08$185.0026.0%7.4%21.3%69.1%26.9%1.4%1.3%7.3M-96.2M-895.0K1.1948.35N/AN/A2,6143,11828,87921,463
2019-01-03$182.37$180.0027.3%7.7%21.9%77.0%27.2%7.7%1.1%3.7M-51.9M-949.3K1.1163.59N/AN/A1,8182,01730,67023,548
2019-01-04$184.33$185.0023.5%7.2%22.3%54.8%31.4%3.8%-0.3%4.4M-76.7M-964.7K1.9475.74N/AN/A1,2992,51831,05324,429
2019-01-07$184.13$185.0024.8%7.2%22.2%62.4%26.9%4.3%-0.1%3.6M-69.1M-932.4K0.9952.98N/AN/A44243928,04424,980
2019-01-08$182.56$185.0023.1%6.9%22.0%51.9%24.9%2.7%0.7%2.2M-47.7M-919.8K0.6459.80N/AN/A2,5461,64128,56225,564
2019-01-09$177.97$185.0023.9%7.2%22.0%57.2%25.3%4.8%1.2%-1.3M10.7M-907.9K0.8862.76N/AN/A2,0511,81329,32526,363
2019-01-10$179.93$180.0021.0%6.8%22.5%39.9%24.2%1.5%3.0%-505.1K-10.1M-900.8K0.9462.41N/AN/A2,0071,87929,59726,563
2019-01-11$180.55$180.0022.2%6.5%22.6%46.7%23.0%3.7%1.2%-280.7K-14.0M-923.2K0.5358.34N/AN/A1,8981,01330,21627,305
2019-01-14$178.48$180.0022.1%6.4%22.7%46.1%22.3%3.4%0.2%-2.5M10.3M-853.0K0.3459.53N/AN/A1,50651529,61427,097
2019-01-15$182.05$180.0020.7%6.0%24.0%38.1%21.0%3.8%-1.2%509.4K-36.3M-844.5K1.0959.67N/AN/A1,4531,58429,83827,282
2019-01-16$182.62$180.0019.8%5.7%23.9%32.7%21.9%3.0%0.5%2.3M-54.5M-841.2K1.0262.01N/AN/A1,2391,26030,33427,016
2019-01-17$181.20$180.0020.5%5.9%23.8%36.7%22.3%6.9%-0.7%-383.1K-25.4M-844.5K0.9959.95N/AN/A90189530,58427,670
2019-01-18$183.11$180.0018.6%5.3%23.5%26.0%19.3%3.6%-0.4%1.4M-66.4M-822.5K1.0152.17N/AN/A1,2351,24430,67726,881
2019-01-22$185.61$180.0020.2%5.8%24.0%35.4%20.2%4.7%0.6%5.9M-76.5M-822.1K0.5458.14N/AN/A2,7251,47220,41116,776
2019-01-23$187.73$180.0019.1%5.7%23.9%28.4%20.3%1.8%-0.2%11.8M-105.8M-828.0K0.6750.31N/AN/A1,8281,21922,03116,980
2019-01-24$186.13$180.0021.5%5.9%20.9%43.0%21.2%4.0%-3.6%9.6M-90.4M-847.0K1.6842.76N/AN/A9281,55923,03617,188
2019-01-25$185.79$180.0019.1%5.6%19.5%28.9%19.5%4.2%-0.2%5.8M-79.4M-839.4K1.1050.29N/AN/A1,6141,78023,01017,609
2019-01-28$184.83$180.0019.8%5.8%19.3%32.7%21.0%3.2%0.1%4.8M-68.6M-858.7K1.4054.59N/AN/A30142221,49515,734
2019-01-29$181.12$180.0020.5%6.3%20.1%37.2%22.0%3.5%0.0%1.2M-30.5M-827.6K0.7052.75N/AN/A1,8631,31121,68215,920
2019-01-30$180.28$180.0021.3%6.5%19.5%41.3%22.3%4.2%-1.0%724.0K-25.5M-840.7K1.1447.81N/AN/A9481,07922,47116,650
2019-01-31$182.18$180.0020.0%5.8%19.4%33.8%20.6%3.4%0.1%2.5M-42.5M-850.2K1.1643.67N/AN/A1,0481,21722,77317,095