CME Options History — May 2019 In May 2019, CME traded between $172.81 and $192.17. ATM implied volatility averaged 17.4%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 1.3% (HV 20d: 16.1%). Max pain ranged from $170.00 to $180.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.76.
Notable Days 2019-05-07 : Highest Volume — 9,359 contracts2019-05-07 : Largest IV spike — 19.1% change2019-05-07 : Highest IV Rank — 33.6%2019-05-13 : Largest Expected Move — 5.6%Monthly Statistics Metric Avg Min Max Open Close Price $183.10 $172.81 $192.17 $175.38 $192.01 Max Pain $174.89 $170.00 $180.00 $170.00 $180.00 ATM IV 17.4% 16.0% 19.9% 16.2% 19.0% Expected Move 5.0% 4.6% 5.6% 4.8% 5.5% HV 20d 16.1% 12.4% 17.9% 14.1% 12.4% HV 60d 15.7% 14.5% 16.4% 15.3% 14.5% IV Rank 18.6% 10.3% 33.6% 11.8% 28.0% IV Percentile 25.1% 10.3% 60.3% 12.7% 44.0% Term Structure 0.0% -1.0% 1.1% 0.2% -0.4% VWIV 18.4% 16.5% 21.8% 17.4% 21.0% Skew 25d 3.3% 2.6% 4.5% 3.1% 3.1% Skew 10d 6.6% 5.0% 9.1% 5.8% 6.7% Call IV 25d 16.2% 14.7% 19.1% 15.0% 18.2% Put IV 25d 19.5% 17.5% 23.6% 18.1% 21.4% Bid-Ask Spread % 18.53 11.98 26.18 18.06 16.57 Gamma HHI 0.13 0.10 0.19 0.10 0.15 Net GEX 13.6M -1.7M 25.4M 842.8K 23.4M Net DEX -135.7M -256.1M 12.4M -20.8M -244.3M Net VEX -883.6K -953.7K -763.1K -763.1K -953.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.76 0.18 2.39 1.54 0.52 Total Volume 4,269.409 2,261 9,359 5,484 5,286 Total OI 51,273.273 42,133 55,808 42,133 55,016
Daily Data (22 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 2019-05-01 $175.38 $170.00 16.2% 4.8% 14.1% 11.8% 17.4% 3.1% 0.2% 842.8K -20.8M -763.1K 1.54 18.06 N/A N/A 2,156 3,328 19,589 22,544 2019-05-02 $172.81 $170.00 16.6% 4.8% 15.3% 14.3% 17.6% 3.1% 0.8% -1.7M 12.4M -765.5K 1.07 17.80 N/A N/A 1,812 1,934 20,452 23,740 2019-05-03 $173.46 $170.00 16.3% 4.6% 15.2% 12.1% 16.5% 2.8% 0.5% 297.4K -295.4K -763.9K 1.01 23.82 N/A N/A 2,282 2,307 21,131 23,523 2019-05-06 $178.35 $175.00 16.7% 4.6% 17.9% 14.8% 17.3% 3.4% -0.4% 5.7M -67.3M -788.9K 0.75 15.57 N/A N/A 2,734 2,037 20,834 23,069 2019-05-07 $178.22 $175.00 19.9% 5.4% 17.4% 33.6% 19.5% 4.5% -0.9% 6.4M -74.3M -878.0K 0.25 21.67 N/A N/A 7,476 1,883 22,632 24,286 2019-05-08 $178.74 $175.00 19.5% 5.4% 16.6% 31.1% 21.8% 3.9% -1.0% 9.2M -88.9M -915.7K 1.04 25.22 N/A N/A 1,478 1,536 27,332 24,585 2019-05-09 $180.39 $175.00 18.6% 5.3% 16.7% 25.6% 20.3% 3.5% -0.3% 10.9M -111.4M -928.9K 0.89 21.06 N/A N/A 2,055 1,831 27,806 24,324 2019-05-10 $182.58 $175.00 17.5% 4.9% 17.0% 19.1% 18.0% 3.2% 0.2% 18.2M -151.0M -920.0K 0.26 22.05 N/A N/A 2,240 576 28,538 24,666 2019-05-13 $182.22 $175.00 18.7% 5.6% 16.7% 26.1% 19.4% 3.6% 0.8% 12.5M -121.9M -940.3K 0.50 26.18 N/A N/A 1,503 758 27,817 24,279 2019-05-14 $183.67 $175.00 17.7% 4.9% 16.8% 20.7% 17.3% 3.0% -0.6% 15.5M -152.4M -932.5K 0.39 23.91 N/A N/A 4,910 1,917 29,405 24,754 2019-05-15 $182.09 $175.00 16.7% 5.1% 17.3% 14.6% 18.1% 3.3% 1.1% 13.0M -123.2M -939.1K 0.18 15.00 N/A N/A 3,649 670 29,436 24,994 2019-05-16 $182.36 $175.00 16.6% 5.0% 16.5% 14.1% 16.6% 3.2% 1.0% 14.1M -135.0M -885.9K 0.25 12.72 N/A N/A 2,099 524 30,180 25,292 2019-05-17 $183.95 $175.00 16.0% 4.7% 16.6% 10.7% 17.4% 3.4% 0.3% 13.5M -150.1M -909.3K 0.69 11.98 N/A N/A 1,871 1,291 30,551 25,257 2019-05-20 $185.33 $175.00 17.0% 4.9% 16.2% 16.4% 17.4% 3.0% -0.2% 15.9M -157.6M -894.4K 0.28 17.55 N/A N/A 2,354 653 28,812 22,888 2019-05-21 $186.51 $175.00 16.0% 4.6% 16.2% 10.3% 18.6% 3.1% 0.3% 19.0M -185.7M -901.7K 1.81 18.53 N/A N/A 1,525 2,761 29,622 23,326 2019-05-22 $185.55 $175.00 16.5% 4.7% 16.3% 13.7% 18.9% 3.3% -0.0% 17.2M -168.3M -879.0K 2.39 12.86 N/A N/A 1,308 3,127 29,761 23,032 2019-05-23 $186.74 $175.00 16.8% 4.8% 16.1% 15.2% 16.6% 3.3% 0.1% 18.6M -185.8M -894.9K 0.89 18.97 N/A N/A 2,398 2,132 29,906 23,399 2019-05-24 $187.80 $175.00 16.3% 4.6% 16.1% 12.3% 17.6% 3.2% 0.3% 25.4M -207.3M -881.9K 1.18 18.63 N/A N/A 1,621 1,906 29,957 23,559 2019-05-28 $187.73 $175.00 17.6% 5.1% 15.7% 19.9% 18.3% 3.5% -0.3% 17.0M -178.7M -865.2K 0.20 17.02 N/A N/A 2,757 539 28,508 22,875 2019-05-29 $190.16 $177.50 17.9% 5.2% 16.1% 21.4% 19.3% 3.3% -0.5% 20.0M -216.5M -904.6K 0.35 15.67 N/A N/A 2,589 897 29,139 23,076 2019-05-30 $192.17 $180.00 18.2% 5.2% 14.2% 23.5% 18.9% 2.6% -0.4% 24.2M -256.1M -932.4K 0.31 16.72 N/A N/A 3,984 1,233 30,683 23,437 2019-05-31 $192.01 $180.00 19.0% 5.5% 12.4% 28.0% 21.0% 3.1% -0.4% 23.4M -244.3M -953.7K 0.52 16.57 N/A N/A 3,471 1,815 31,134 23,882
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