CME Options History — June 2019

In June 2019, CME traded between $192.31 and $203.24. ATM implied volatility averaged 18.6%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 3.4% (HV 20d: 15.2%). Max pain ranged from $180.00 to $195.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.56.

Notable Days

  • 2019-06-06: Highest Volume — 27,606 contracts
  • 2019-06-24: Largest IV spike — 6.2% change
  • 2019-06-03: Highest IV Rank — 31.6%
  • 2019-06-03: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$197.39$192.31$203.24$192.36$193.53
Max Pain$191.00$180.00$195.00$180.00$195.00
ATM IV18.6%17.1%19.6%19.6%18.5%
Expected Move5.3%4.9%5.7%5.7%5.1%
HV 20d15.2%9.5%20.3%12.5%20.3%
HV 60d15.0%14.1%16.4%14.1%16.4%
IV Rank25.6%16.8%31.6%31.6%25.2%
IV Percentile39.0%23.0%55.6%55.6%38.1%
Term Structure0.9%-0.3%2.5%-0.1%2.5%
VWIV19.3%17.6%22.4%21.3%17.8%
Skew 25d2.2%1.6%2.9%2.9%2.1%
Skew 10d4.6%3.8%6.9%6.9%4.4%
Call IV 25d18.0%16.8%19.2%18.6%16.9%
Put IV 25d20.2%18.8%21.5%21.5%19.0%
Bid-Ask Spread %22.558.1636.4120.8210.72
Gamma HHI0.180.120.610.160.12
Net GEX19.7M597.8K50.0M23.1M2.9M
Net DEX-196.3M-404.6M-66.8M-242.7M-76.5M
Net VEX-951.7K-982.5K-905.3K-923.4K-969.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.091.230.570.72
Total Volume6,079.12,38827,6062,7733,368
Total OI58,251.4546,55567,73556,29350,718

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-06-03$192.36$180.0019.6%5.7%12.5%31.6%21.3%2.9%-0.1%23.1M-242.7M-923.4K0.5720.82N/AN/A1,7711,00232,40523,888
2019-06-04$194.44$180.0018.7%5.6%9.5%26.4%20.5%2.7%0.0%28.7M-280.4M-958.4K0.6318.17N/AN/A2,8641,79933,85424,619
2019-06-05$199.38$180.0018.6%5.7%11.8%25.8%22.4%2.7%-0.0%35.4M-390.0M-925.0K0.2022.84N/AN/A11,2882,28534,29525,004
2019-06-06$201.18$190.0018.5%5.2%11.8%25.0%18.5%1.7%0.1%29.4M-404.6M-961.3K0.0933.84N/AN/A25,2542,35235,09626,150
2019-06-07$202.19$190.0018.4%5.4%11.7%24.5%18.6%1.8%0.2%36.4M-302.3M-962.9K0.2630.16N/AN/A8,7832,24233,14926,750
2019-06-10$203.24$190.0018.8%5.5%11.5%26.8%18.6%2.2%0.2%33.2M-288.5M-953.4K0.1824.83N/AN/A3,93170233,26726,296
2019-06-11$198.96$190.0019.2%5.5%14.7%29.1%20.1%2.0%0.1%20.7M-198.4M-953.0K0.5013.42N/AN/A3,6721,83532,97326,852
2019-06-12$198.76$190.0019.1%5.4%14.8%28.5%20.1%1.6%-0.3%19.6M-192.6M-982.5K0.4031.82N/AN/A3,1521,27334,69527,465
2019-06-13$196.14$190.0019.6%5.6%15.4%31.5%19.5%2.0%0.1%12.9M-138.1M-957.0K0.5625.69N/AN/A3,8292,13935,27427,609
2019-06-14$197.11$190.0019.0%5.5%15.4%28.3%19.5%2.2%0.4%12.1M-149.9M-964.6K0.6526.53N/AN/A3,2122,08636,33228,146
2019-06-17$194.56$195.0019.0%5.5%16.4%28.3%19.8%2.2%2.3%12.2M-125.2M-914.6K0.298.16N/AN/A2,21665132,73127,461
2019-06-18$196.02$195.0018.8%5.4%16.4%27.0%19.0%2.3%1.9%13.9M-144.0M-905.3K0.5416.76N/AN/A2,0611,12233,81727,943
2019-06-19$197.71$195.0017.8%5.1%16.5%20.8%18.7%1.8%2.4%16.9M-169.4M-933.8K0.4725.16N/AN/A2,1261,00534,88128,473
2019-06-20$198.69$195.0018.1%5.2%16.2%22.9%18.4%1.9%0.5%20.5M-185.2M-924.6K0.6026.88N/AN/A3,9252,36035,37128,619
2019-06-21$199.69$195.0017.1%4.9%16.2%16.8%17.6%1.9%0.4%50.0M-194.0M-959.3K0.7235.68N/AN/A2,6041,88337,85029,885
2019-06-24$198.56$195.0018.1%5.1%16.4%23.0%19.2%2.7%2.0%11.1M-147.1M-973.7K0.8012.03N/AN/A1,3251,06330,03516,520
2019-06-25$198.77$195.0017.7%4.9%16.4%20.6%20.2%2.3%2.1%10.6M-146.0M-977.9K0.8318.30N/AN/A1,9871,65130,82717,366
2019-06-26$192.31$195.0018.7%5.3%20.3%26.2%18.9%2.3%2.2%3.3M-66.8M-958.0K1.2312.85N/AN/A1,7432,13630,98117,412
2019-06-27$194.10$195.0018.2%5.1%20.2%23.6%18.1%2.3%2.1%597.8K-83.3M-974.4K0.9936.41N/AN/A1,4471,43831,51018,510
2019-06-28$193.53$195.0018.5%5.1%20.3%25.2%17.8%2.1%2.5%2.9M-76.5M-969.7K0.7210.72N/AN/A1,9571,41131,80318,915