CME Options History — February 2019

In February 2019, CME traded between $174.62 and $182.88. ATM implied volatility averaged 19.9%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.6% (HV 20d: 16.3%). Max pain ranged from $175.00 to $180.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.00.

Notable Days

  • 2019-02-14: Highest Volume — 8,552 contracts
  • 2019-02-12: Largest IV drop — 10.7% change
  • 2019-02-11: Highest IV Rank — 58.7%
  • 2019-02-11: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$178.19$174.62$182.88$182.88$182.04
Max Pain$175.53$175.00$180.00$180.00$175.00
ATM IV19.9%16.4%24.2%20.3%16.4%
Expected Move5.6%4.6%7.0%5.5%4.6%
HV 20d16.3%14.0%19.3%18.7%14.6%
HV 60d19.8%18.1%20.5%20.4%18.3%
IV Rank33.3%12.8%58.7%36.0%12.8%
IV Percentile43.5%11.9%86.5%48.0%11.9%
Term Structure-0.1%-1.6%1.5%-0.2%0.5%
VWIV20.1%16.4%23.6%20.5%17.5%
Skew 25d3.8%2.9%5.8%3.3%3.1%
Skew 10d7.6%5.4%11.4%6.6%6.2%
Call IV 25d18.5%15.5%22.0%18.6%15.5%
Put IV 25d22.3%18.6%26.9%21.9%18.6%
Bid-Ask Spread %30.799.7353.9544.589.73
Gamma HHI0.130.080.290.110.11
Net GEX-2.0M-11.7M6.0M6.0M4.0M
Net DEX-1.6M-78.4M72.2M-56.3M-78.4M
Net VEX-925.2K-983.2K-858.2K-858.2K-921.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.371.831.030.91
Total Volume4,095.6841,4468,5521,7963,892
Total OI47,955.89539,84651,97440,79651,304

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-02-01$182.88$180.0020.3%5.5%18.7%36.0%20.5%3.3%-0.2%6.0M-56.3M-858.2K1.0344.58N/AN/A88691023,35417,442
2019-02-04$181.08$180.0021.5%6.1%18.6%42.8%21.2%4.0%-0.4%2.0M-37.4M-869.4K0.5345.92N/AN/A4,7452,49222,58917,257
2019-02-05$178.33$175.0022.6%6.2%19.3%49.3%22.5%4.1%-1.2%-445.1K-10.5M-938.4K0.8148.68N/AN/A4,6653,75924,64819,210
2019-02-06$177.74$175.0022.5%6.1%19.2%48.7%22.4%3.8%-1.6%-617.6K3.9M-980.5K1.6549.36N/AN/A1,1921,97126,80921,427
2019-02-07$176.76$175.0022.9%6.5%17.0%51.3%21.9%4.1%-0.2%-3.1M19.4M-975.5K0.9950.44N/AN/A2,4082,38327,04622,313
2019-02-08$177.55$175.0023.2%6.4%16.6%52.8%23.6%4.4%-1.0%-1.9M1.6M-973.1K1.4145.29N/AN/A1,3431,89026,92322,107
2019-02-11$177.45$175.0024.2%7.0%16.5%58.7%23.3%5.3%-1.5%-832.4K8.9M-983.2K0.6448.04N/AN/A88456224,77921,490
2019-02-12$178.92$175.0021.6%6.2%16.3%43.6%22.3%3.9%0.0%258.1K-14.6M-971.8K1.0147.57N/AN/A1,1381,15325,07121,816
2019-02-13$180.48$175.0021.3%6.1%15.0%41.3%21.7%5.8%0.5%1.4M-28.4M-961.0K1.1753.95N/AN/A2,7373,20625,03622,250
2019-02-14$177.99$175.0019.5%5.5%15.6%30.8%19.8%4.0%1.5%-6.1M27.1M-937.0K1.3519.99N/AN/A3,6354,91726,04924,525
2019-02-15$174.62$175.0019.0%5.4%16.7%28.0%20.1%4.0%0.4%-11.7M72.2M-907.4K1.8316.80N/AN/A2,6674,89026,91025,064
2019-02-19$174.88$175.0018.5%5.2%16.1%25.4%18.6%3.6%0.2%-6.6M44.0M-885.3K0.7711.74N/AN/A1,3591,04223,74523,431
2019-02-20$175.12$175.0017.6%5.0%15.1%20.2%18.7%3.6%1.1%-6.2M41.7M-912.1K1.2719.96N/AN/A1,8772,37524,43824,018
2019-02-21$176.08$175.0018.2%5.0%14.5%23.4%17.4%3.1%0.4%-5.0M27.3M-902.0K0.7115.70N/AN/A1,4931,06724,92525,036
2019-02-22$177.89$175.0017.0%4.7%15.1%16.4%16.4%3.2%0.4%-2.7M-4.8M-897.9K0.9813.98N/AN/A1,7821,74525,46625,225
2019-02-25$177.76$175.0017.5%5.1%15.1%19.6%18.1%2.9%-0.1%-3.3M-464.4K-887.3K0.7611.37N/AN/A1,07781424,13424,758
2019-02-26$178.11$175.0017.2%4.9%15.1%17.5%17.2%3.0%0.0%-3.5M-3.3M-885.7K0.3717.05N/AN/A2,16080124,33225,222
2019-02-27$179.94$175.0016.7%4.6%14.0%14.6%17.6%3.0%-0.5%-338.0K-43.2M-931.2K0.8914.81N/AN/A1,00789425,75725,256
2019-02-28$182.04$175.0016.4%4.6%14.6%12.8%17.5%3.1%0.5%4.0M-78.4M-921.3K0.919.73N/AN/A2,0401,85225,95125,353