CME Options History — July 2019 In July 2019, CME traded between $195.25 and $206.62. ATM implied volatility averaged 19.0%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.3% (HV 20d: 17.7%). Max pain ranged from $195.00 to $200.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.12.
Notable Days 2019-07-30 : Highest Volume — 6,192 contracts2019-07-31 : Largest IV drop — 15.0% change2019-07-30 : Highest IV Rank — 39.5%2019-07-30 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $202.38 $195.25 $206.62 $196.40 $195.25 Max Pain $199.32 $195.00 $200.00 $195.00 $200.00 ATM IV 19.0% 17.4% 20.9% 17.4% 17.8% Expected Move 5.4% 4.1% 6.5% 4.2% 5.0% HV 20d 17.7% 13.9% 21.3% 20.9% 13.9% HV 60d 16.5% 15.8% 17.0% 16.6% 15.8% IV Rank 28.1% 18.9% 39.5% 18.9% 21.1% IV Percentile 49.0% 26.2% 80.6% 26.2% 31.0% Term Structure -0.3% -1.4% 0.6% -0.2% -0.5% VWIV 19.3% 15.1% 24.8% 15.2% 18.6% Skew 25d 2.5% 1.6% 3.3% 2.6% 2.5% Skew 10d 5.3% 3.7% 7.1% 5.7% 5.3% Call IV 25d 18.2% 16.8% 19.8% 17.5% 16.8% Put IV 25d 20.7% 19.3% 23.1% 20.2% 19.3% Bid-Ask Spread % 18.76 8.01 42.50 11.42 19.50 Gamma HHI 0.14 0.10 0.20 0.15 0.13 Net GEX 10.7M -5.8M 28.3M 7.1M -5.8M Net DEX -171.8M -263.4M -32.4M -116.2M -32.4M Net VEX -1.0M -1.1M -914.2K -914.2K -1.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.12 0.29 3.07 0.87 1.30 Total Volume 3,331.045 1,210 6,192 1,623 5,696 Total OI 50,399.455 45,031 55,067 47,742 51,231
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 2019-07-01 $196.40 $195.00 17.4% 4.2% 20.9% 18.9% 15.2% 2.6% -0.2% 7.1M -116.2M -914.2K 0.87 11.42 N/A N/A 870 753 30,231 17,511 2019-07-02 $199.52 $195.00 17.7% 4.1% 21.3% 20.4% 15.1% 2.7% -0.1% 11.9M -157.7M -943.2K 0.55 25.81 N/A N/A 2,031 1,115 30,703 17,602 2019-07-03 $201.24 $195.00 18.9% 4.3% 19.6% 27.5% 15.1% 2.1% 0.1% 15.5M -188.5M -976.5K 0.29 28.06 N/A N/A 2,249 662 32,201 18,080 2019-07-05 $203.03 $200.00 19.1% 5.4% 19.6% 28.7% 19.8% 1.6% -0.3% 18.5M -222.5M -952.7K 0.96 33.71 N/A N/A 2,637 2,519 33,467 18,243 2019-07-08 $202.19 $200.00 18.6% 5.4% 19.6% 25.9% 19.5% 2.1% 0.1% 15.7M -190.7M -1.0M 0.67 13.84 N/A N/A 1,306 870 31,009 19,120 2019-07-09 $201.98 $200.00 18.5% 5.4% 19.5% 25.2% 19.4% 2.4% 0.4% 14.1M -181.7M -1.0M 0.65 8.01 N/A N/A 1,570 1,020 31,475 19,723 2019-07-10 $202.90 $200.00 18.7% 5.3% 17.9% 26.1% 18.1% 1.6% -0.2% 16.4M -195.5M -1.0M 0.91 9.34 N/A N/A 2,035 1,859 31,754 20,416 2019-07-11 $206.03 $200.00 18.3% 5.0% 18.6% 24.3% 18.1% 2.0% -1.1% 28.3M -255.3M -1.1M 0.29 15.94 N/A N/A 3,723 1,094 32,773 20,780 2019-07-12 $206.62 $200.00 18.7% 5.2% 17.7% 26.6% 19.4% 1.9% -1.1% 22.7M -263.4M -1.1M 0.36 41.39 N/A N/A 3,695 1,314 34,040 21,027 2019-07-15 $206.06 $200.00 18.7% 5.3% 17.8% 26.5% 19.0% 2.5% 0.4% 17.8M -233.8M -1.1M 0.73 22.50 N/A N/A 1,218 887 30,620 20,916 2019-07-16 $203.60 $200.00 20.2% 5.8% 17.6% 35.0% 20.1% 2.5% -0.8% 12.6M -194.0M -1.1M 0.93 18.79 N/A N/A 1,130 1,054 31,293 21,503 2019-07-17 $204.40 $200.00 20.1% 5.7% 17.5% 34.3% 20.1% 2.7% -1.4% 12.6M -203.8M -1.1M 0.78 10.00 N/A N/A 1,090 850 31,417 21,904 2019-07-18 $206.10 $200.00 18.3% 5.2% 17.5% 24.1% 19.0% 2.5% 0.6% 15.4M -228.4M -1.0M 0.48 42.50 N/A N/A 1,934 922 31,495 21,934 2019-07-19 $205.35 $200.00 18.2% 5.2% 17.6% 23.4% 19.3% 2.6% 0.6% 8.5M -220.0M -1.0M 0.97 9.41 N/A N/A 1,438 1,393 31,552 21,990 2019-07-22 $205.77 $200.00 19.0% 5.5% 17.6% 28.0% 19.0% 2.4% -0.4% 8.8M -182.6M -1.0M 2.67 9.93 N/A N/A 589 1,575 24,641 20,390 2019-07-23 $205.25 $200.00 18.9% 5.5% 17.4% 27.6% 19.1% 2.8% -0.3% 7.7M -175.3M -1.0M 1.75 12.11 N/A N/A 972 1,700 25,003 21,692 2019-07-24 $200.93 $200.00 19.9% 5.9% 19.2% 33.3% 20.9% 3.2% -0.1% 1.9M -117.7M -1.1M 1.53 14.02 N/A N/A 1,963 2,994 25,280 21,953 2019-07-25 $201.75 $200.00 19.7% 5.9% 14.6% 32.0% 21.4% 2.9% -0.2% 2.0M -128.2M -1.1M 1.26 12.97 N/A N/A 1,529 1,933 25,774 23,103 2019-07-26 $200.99 $200.00 20.0% 6.1% 14.5% 33.9% 21.2% 3.1% -0.5% 2.4M -118.2M -1.1M 2.18 12.80 N/A N/A 1,160 2,532 25,875 23,408 2019-07-29 $199.70 $200.00 20.2% 6.3% 14.7% 35.1% 22.4% 3.2% -0.9% 1.1M -101.5M -1.1M 1.42 13.33 N/A N/A 499 711 24,201 23,110 2019-07-30 $197.24 $200.00 20.9% 6.5% 14.7% 39.5% 24.8% 3.3% -0.4% -212.8K -71.8M -1.1M 3.07 27.32 N/A N/A 1,520 4,672 24,815 23,533 2019-07-31 $195.25 $200.00 17.8% 5.0% 13.9% 21.1% 18.6% 2.5% -0.5% -5.8M -32.4M -1.0M 1.30 19.50 N/A N/A 2,477 3,219 25,080 26,151
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