CME Options History — March 2019 In March 2019, CME traded between $162.87 and $183.24. ATM implied volatility averaged 17.9%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 1.6% (HV 20d: 16.3%). Max pain ranged from $165.00 to $180.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.72.
Notable Days 2019-03-21 : Highest Volume — 5,810 contracts2019-03-15 : Largest IV drop — 10.3% change2019-03-22 : Highest IV Rank — 30.5%2019-03-22 : Largest Expected Move — 6.0%Monthly Statistics Metric Avg Min Max Open Close Price $169.46 $162.87 $183.24 $183.24 $164.61 Max Pain $172.63 $165.00 $180.00 $177.50 $165.00 ATM IV 17.9% 15.7% 19.4% 16.1% 18.3% Expected Move 5.6% 4.4% 6.0% 4.4% 5.9% HV 20d 16.3% 14.3% 17.4% 14.3% 14.8% HV 60d 18.3% 16.5% 19.3% 18.3% 16.5% IV Rank 21.9% 8.6% 30.5% 11.0% 23.9% IV Percentile 25.3% 7.5% 41.7% 10.7% 26.6% Term Structure 0.9% -0.7% 3.2% 0.6% 2.9% VWIV 20.1% 16.6% 23.1% 16.6% 22.0% Skew 25d 3.2% 2.7% 3.8% 3.0% 2.9% Skew 10d 7.2% 5.7% 13.7% 5.7% 6.4% Call IV 25d 16.6% 14.6% 18.1% 14.9% 16.5% Put IV 25d 19.9% 17.3% 21.8% 17.9% 19.5% Bid-Ask Spread % 28.76 9.60 57.10 10.39 48.27 Gamma HHI 0.20 0.08 0.86 0.12 0.12 Net GEX -10.4M -96.2M 3.7M 3.7M 2.2M Net DEX 65.8M -94.3M 131.6M -94.3M 40.7M Net VEX -840.1K -950.1K -760.6K -924.4K -836.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.27 1.55 0.82 0.69 Total Volume 3,611.143 1,691 5,810 2,830 2,917 Total OI 47,694.143 37,516 56,049 52,906 44,957
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 2019-03-01 $183.24 $177.50 16.1% 4.4% 14.3% 11.0% 16.6% 3.0% 0.6% 3.7M -94.3M -924.4K 0.82 10.39 N/A N/A 1,558 1,272 26,562 26,344 2019-03-04 $181.07 $177.50 17.1% 4.9% 14.8% 16.9% 17.6% 3.1% 0.1% 15.7K -50.5M -912.4K 0.84 19.12 N/A N/A 2,143 1,809 26,272 25,379 2019-03-05 $176.24 $177.50 18.1% 5.3% 17.3% 22.9% 18.6% 3.3% 0.3% -7.8M 42.2M -939.8K 0.69 18.65 N/A N/A 2,955 2,037 26,968 26,516 2019-03-06 $174.79 $177.50 18.2% 5.2% 16.7% 23.3% 18.9% 3.3% -0.2% -10.5M 71.6M -950.1K 0.47 13.05 N/A N/A 2,227 1,057 27,533 27,658 2019-03-07 $172.33 $177.50 19.1% 5.5% 17.4% 28.4% 19.1% 3.4% 0.2% -12.3M 99.2M -941.6K 0.66 16.33 N/A N/A 2,033 1,336 28,236 27,813 2019-03-08 $171.50 $175.00 19.4% 5.5% 17.3% 30.2% 20.3% 3.5% 0.7% -9.3M 103.4M -928.1K 1.45 57.10 N/A N/A 1,971 2,862 28,629 27,415 2019-03-11 $171.00 $180.00 18.3% 6.0% 17.2% 24.2% 20.0% 3.3% -0.1% -10.8M 92.5M -865.7K 0.47 9.60 N/A N/A 1,261 591 27,775 25,377 2019-03-12 $170.83 $180.00 17.3% 5.7% 17.2% 17.8% 18.2% 2.8% -0.0% -13.8M 94.2M -858.9K 0.30 11.06 N/A N/A 1,976 594 28,448 25,849 2019-03-13 $170.17 $180.00 17.1% 5.6% 16.8% 16.7% 18.5% 3.1% -0.3% -16.7M 105.0M -821.5K 0.54 16.13 N/A N/A 1,984 1,065 28,141 25,689 2019-03-14 $167.92 $175.00 17.5% 5.6% 16.7% 19.1% 19.9% 3.3% -0.7% -14.1M 131.6M -797.5K 0.53 11.22 N/A N/A 2,733 1,454 28,805 25,074 2019-03-15 $169.93 $175.00 15.7% 5.3% 17.1% 8.6% 18.2% 2.7% -0.1% -96.2M 91.5M -800.2K 0.52 16.99 N/A N/A 3,293 1,708 29,306 25,320 2019-03-18 $169.83 $0.00 16.3% 5.5% 15.9% 12.3% 19.5% 2.8% 1.7% -2.7M 42.6M -791.2K 0.70 22.27 N/A N/A 994 697 18,547 18,969 2019-03-19 $168.23 $170.00 17.3% 5.5% 16.1% 18.5% 19.9% 3.3% 1.5% -3.5M 55.7M -794.0K 1.52 24.62 N/A N/A 1,018 1,551 18,945 19,282 2019-03-20 $164.94 $170.00 18.8% 5.9% 17.2% 27.0% 23.1% 3.0% 1.3% -5.2M 84.7M -802.3K 0.54 27.93 N/A N/A 3,044 1,631 19,342 19,949 2019-03-21 $164.52 $170.00 18.4% 5.9% 16.9% 24.5% 21.2% 3.5% -0.2% -5.2M 80.2M -760.6K 1.55 45.46 N/A N/A 2,280 3,530 20,431 19,975 2019-03-22 $163.35 $165.00 19.4% 6.0% 16.2% 30.5% 22.8% 3.8% -0.5% -3.6M 89.1M -787.6K 0.70 45.97 N/A N/A 2,665 1,874 20,843 20,547 2019-03-25 $164.30 $165.00 18.5% 5.9% 16.5% 25.3% 21.2% 3.6% 2.8% -3.0M 71.3M -769.0K 1.09 47.18 N/A N/A 1,023 1,117 19,418 20,002 2019-03-26 $164.03 $165.00 18.5% 5.9% 16.4% 25.0% 20.5% 3.4% 2.8% -3.5M 75.0M -776.0K 0.41 49.69 N/A N/A 1,799 739 19,923 20,754 2019-03-27 $163.04 $165.00 18.8% 5.9% 15.5% 27.1% 23.1% 3.4% 2.7% -3.9M 84.0M -783.2K 0.34 45.31 N/A N/A 3,455 1,161 20,384 20,888 2019-03-28 $162.87 $165.00 18.9% 5.8% 14.3% 27.5% 22.4% 3.2% 3.2% -2.9M 70.9M -800.9K 0.27 47.63 N/A N/A 3,485 935 22,569 20,743 2019-03-29 $164.61 $165.00 18.3% 5.9% 14.8% 23.9% 22.0% 2.9% 2.9% 2.2M 40.7M -836.6K 0.69 48.27 N/A N/A 1,731 1,186 24,125 20,832
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