CME Options History — April 2019 In April 2019, CME traded between $166.42 and $178.80. ATM implied volatility averaged 19.8%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 6.3% (HV 20d: 13.5%). Max pain ranged from $165.00 to $170.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.83.
Notable Days 2019-04-17 : Highest Volume — 5,874 contracts2019-04-29 : Largest IV spike — 9.0% change2019-04-29 : Highest IV Rank — 38.8%2019-04-29 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $173.24 $166.42 $178.80 $166.42 $178.56 Max Pain $168.33 $165.00 $170.00 $165.00 $170.00 ATM IV 19.8% 19.1% 20.8% 19.3% 19.3% Expected Move 5.7% 5.4% 6.5% 5.8% 6.1% HV 20d 13.5% 12.0% 15.7% 15.7% 12.3% HV 60d 15.6% 14.9% 16.5% 16.5% 15.0% IV Rank 32.7% 28.7% 38.8% 29.6% 30.1% IV Percentile 51.1% 39.3% 73.4% 41.3% 44.4% Term Structure -0.4% -1.1% 0.4% -0.2% -0.2% VWIV 20.5% 18.7% 22.9% 19.9% 22.0% Skew 25d 3.7% 3.3% 4.2% 3.6% 3.3% Skew 10d 7.8% 6.4% 10.9% 7.9% 6.4% Call IV 25d 18.3% 17.5% 19.1% 18.9% 17.5% Put IV 25d 22.0% 20.8% 22.8% 22.5% 20.8% Bid-Ask Spread % 53.70 46.74 64.01 49.78 60.60 Gamma HHI 0.13 0.09 0.30 0.11 0.11 Net GEX 6.1M 837.9K 14.5M 3.8M 4.3M Net DEX -59.7M -141.7M 14.0M 14.0M -67.5M Net VEX -836.5K -872.4K -792.0K -852.4K -792.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.83 0.31 2.23 0.31 1.28 Total Volume 2,540.238 1,077 5,874 1,690 1,879 Total OI 45,127.952 39,716 50,913 43,753 40,508
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 2019-04-01 $166.42 $165.00 19.3% 5.8% 15.7% 29.6% 19.9% 3.6% -0.2% 3.8M 14.0M -852.4K 0.31 49.78 N/A N/A 1,288 402 23,044 20,709 2019-04-02 $168.31 $165.00 19.6% 5.4% 14.1% 31.5% 19.6% 3.9% -0.4% 5.6M -11.8M -847.3K 0.73 49.81 N/A N/A 1,484 1,090 23,416 20,871 2019-04-03 $168.23 $165.00 20.2% 5.5% 13.9% 35.4% 20.3% 3.5% -0.3% 5.5M -11.7M -851.8K 0.42 53.46 N/A N/A 1,630 677 23,592 21,436 2019-04-04 $169.31 $165.00 19.6% 5.5% 13.4% 31.8% 20.5% 3.7% -0.5% 6.0M -23.1M -844.4K 0.90 54.00 N/A N/A 1,197 1,080 23,453 21,552 2019-04-05 $169.92 $165.00 19.5% 5.5% 13.5% 31.0% 20.8% 3.6% -0.4% 13.0M -34.3M -845.2K 0.77 51.47 N/A N/A 1,563 1,199 23,710 22,079 2019-04-08 $172.39 $165.00 19.4% 5.6% 14.4% 30.5% 18.7% 3.7% 0.4% 4.5M -58.5M -832.0K 0.60 46.74 N/A N/A 1,559 931 22,856 21,704 2019-04-09 $170.31 $165.00 20.7% 5.9% 15.1% 38.0% 20.3% 3.9% -0.2% 4.8M -25.3M -839.1K 1.51 54.56 N/A N/A 1,529 2,304 23,970 22,139 2019-04-10 $170.12 $170.00 20.2% 5.8% 15.0% 35.4% 19.7% 3.7% -0.1% 5.1M -15.6M -868.3K 0.73 47.60 N/A N/A 2,141 1,561 24,641 23,392 2019-04-11 $170.53 $170.00 20.4% 5.8% 14.2% 36.6% 20.5% 3.8% -0.3% 5.8M -22.0M -854.7K 0.66 52.03 N/A N/A 1,994 1,324 24,555 23,912 2019-04-12 $172.79 $170.00 19.3% 5.4% 14.3% 29.8% 19.5% 3.3% -0.8% 14.5M -76.2M -872.4K 0.63 55.62 N/A N/A 2,260 1,432 25,533 24,153 2019-04-15 $173.32 $170.00 19.8% 5.6% 14.3% 32.5% 20.3% 3.8% -0.1% 11.2M -75.4M -835.9K 0.67 52.38 N/A N/A 1,064 717 25,338 23,301 2019-04-16 $174.13 $170.00 19.2% 5.5% 13.8% 29.2% 19.6% 3.9% -0.3% 11.6M -86.4M -845.6K 0.71 64.01 N/A N/A 1,400 995 25,499 23,725 2019-04-17 $176.99 $170.00 19.8% 5.7% 12.2% 32.5% 20.1% 3.8% -0.8% 8.1M -141.7M -856.3K 2.23 56.34 N/A N/A 1,818 4,056 25,097 24,257 2019-04-18 $176.46 $170.00 19.7% 5.7% 12.3% 32.3% 20.2% 3.3% -1.1% 837.9K -138.6M -836.5K 1.19 61.03 N/A N/A 1,483 1,768 24,837 26,076 2019-04-22 $175.04 $170.00 20.4% 5.9% 12.4% 36.1% 20.9% 4.2% -0.5% 4.8M -69.6M -823.6K 0.31 50.34 N/A N/A 822 255 20,383 20,888 2019-04-23 $174.78 $170.00 19.5% 5.9% 12.5% 31.0% 20.9% 3.4% 0.2% 4.2M -66.7M -814.3K 0.66 53.45 N/A N/A 843 560 20,362 21,026 2019-04-24 $176.17 $170.00 20.2% 6.0% 12.5% 35.1% 21.1% 3.8% -0.8% 4.0M -81.5M -807.3K 0.77 51.95 N/A N/A 723 559 20,451 21,257 2019-04-25 $178.07 $170.00 19.3% 5.8% 12.2% 29.8% 20.8% 3.7% -0.3% 4.3M -100.8M -808.1K 1.00 48.79 N/A N/A 892 889 20,539 21,414 2019-04-26 $178.80 $170.00 19.1% 5.9% 12.0% 28.7% 21.4% 3.5% -0.5% 3.8M -108.7M -814.3K 0.67 55.00 N/A N/A 1,365 916 20,651 21,645 2019-04-29 $177.40 $170.00 20.8% 6.5% 12.5% 38.8% 22.9% 3.5% -0.7% 3.0M -53.2M -824.5K 0.75 58.64 N/A N/A 967 729 18,740 20,976 2019-04-30 $178.56 $170.00 19.3% 6.1% 12.3% 30.1% 22.0% 3.3% -0.2% 4.3M -67.5M -792.0K 1.28 60.60 N/A N/A 823 1,056 19,222 21,286
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