CME Options History — August 2019 In August 2019, CME traded between $201.09 and $217.17. ATM implied volatility averaged 21.6%, placing in the 43.4% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 1.2% (HV 20d: 22.8%). Max pain ranged from $190.00 to $200.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.68.
Notable Days 2019-08-01 : Highest Volume — 8,157 contracts2019-08-05 : Largest IV spike — 24.2% change2019-08-05 : Highest IV Rank — 62.6%2019-08-05 : Largest Expected Move — 7.1%Monthly Statistics Metric Avg Min Max Open Close Price $212.00 $201.09 $217.17 $201.09 $216.86 Max Pain $191.82 $190.00 $200.00 $200.00 $195.00 ATM IV 21.6% 19.6% 24.9% 19.6% 20.3% Expected Move 6.2% 5.7% 7.1% 5.9% 5.7% HV 20d 22.8% 17.3% 25.6% 17.3% 21.9% HV 60d 19.0% 16.8% 20.4% 16.8% 19.7% IV Rank 43.4% 31.6% 62.6% 31.6% 35.5% IV Percentile 80.5% 60.3% 97.2% 60.3% 65.1% Term Structure 0.2% -0.7% 1.4% -0.4% 0.4% VWIV 23.1% 21.3% 25.9% 21.6% 22.2% Skew 25d 4.0% 2.4% 5.1% 2.4% 3.3% Skew 10d 8.0% 4.9% 11.8% 4.9% 7.0% Call IV 25d 20.3% 18.6% 22.9% 18.6% 19.3% Put IV 25d 24.3% 21.1% 27.7% 21.1% 22.6% Bid-Ask Spread % 36.87 24.80 58.23 41.96 33.39 Gamma HHI 0.13 0.10 0.29 0.11 0.10 Net GEX 18.6M 3.3M 34.0M 3.3M 20.0M Net DEX -282.1M -371.7M -136.2M -136.2M -335.6M Net VEX -1.2M -1.3M -1.1M -1.1M -1.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.68 0.12 1.84 0.54 1.20 Total Volume 3,707.045 1,511 8,157 8,157 1,609 Total OI 61,287.409 51,776 73,395 51,776 73,395
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 2019-08-01 $201.09 $200.00 19.6% 5.9% 17.3% 31.6% 21.6% 2.4% -0.4% 3.3M -136.2M -1.1M 0.54 41.96 N/A N/A 5,304 2,853 25,886 25,890 2019-08-02 $204.97 $200.00 20.0% 6.0% 18.4% 34.2% 21.5% 3.4% -0.1% 20.3M -208.2M -1.2M 0.82 50.53 N/A N/A 3,345 2,747 28,698 26,295 2019-08-05 $202.68 $190.00 24.9% 7.1% 18.8% 62.6% 25.0% 4.3% -0.7% 6.8M -161.5M -1.2M 0.58 27.31 N/A N/A 1,790 1,032 27,621 24,610 2019-08-06 $208.10 $190.00 21.9% 6.1% 21.0% 45.4% 22.8% 3.9% 0.3% 13.6M -239.5M -1.2M 0.24 24.94 N/A N/A 3,715 906 28,758 24,974 2019-08-07 $209.81 $190.00 22.1% 6.4% 21.1% 46.1% 22.7% 4.5% 0.6% 14.8M -266.4M -1.2M 0.51 24.80 N/A N/A 2,621 1,335 29,808 25,362 2019-08-08 $211.04 $190.00 20.7% 6.0% 20.5% 38.1% 21.5% 3.6% 1.0% 18.4M -294.8M -1.1M 0.58 53.40 N/A N/A 1,968 1,150 30,879 26,274 2019-08-09 $216.51 $190.00 20.1% 5.7% 22.3% 34.3% 21.8% 4.0% 0.1% 17.4M -368.8M -1.1M 0.25 42.28 N/A N/A 4,377 1,107 31,155 26,775 2019-08-12 $212.66 $190.00 21.6% 6.5% 23.4% 43.2% 25.9% 4.7% 1.4% 15.1M -277.9M -1.2M 1.84 58.23 N/A N/A 1,084 1,992 30,232 26,514 2019-08-13 $213.26 $190.00 21.7% 6.3% 22.8% 44.2% 21.9% 4.1% -0.0% 16.0M -285.9M -1.2M 0.12 49.40 N/A N/A 5,555 688 30,634 28,145 2019-08-14 $209.16 $190.00 24.0% 6.8% 24.1% 57.7% 24.5% 5.1% -0.2% 17.5M -247.9M -1.3M 1.19 56.41 N/A N/A 1,496 1,775 34,049 28,504 2019-08-15 $212.89 $190.00 23.3% 6.8% 24.7% 53.3% 25.9% 4.3% 0.3% 23.5M -302.2M -1.3M 1.63 45.74 N/A N/A 1,316 2,148 34,746 29,569 2019-08-16 $213.61 $190.00 21.9% 6.4% 24.6% 45.4% 23.3% 3.8% 0.3% 23.5M -322.3M -1.2M 0.81 41.54 N/A N/A 1,328 1,075 35,553 31,178 2019-08-19 $217.15 $190.00 20.3% 5.8% 25.1% 35.8% 22.5% 3.9% 0.0% 27.3M -371.7M -1.1M 0.31 25.06 N/A N/A 1,978 610 33,351 26,556 2019-08-20 $214.45 $190.00 20.9% 6.0% 25.6% 39.5% 24.7% 4.1% 0.1% 27.4M -320.4M -1.2M 0.81 27.92 N/A N/A 1,702 1,376 33,977 26,766 2019-08-21 $213.22 $190.00 20.9% 6.0% 24.3% 39.2% 25.0% 3.7% -0.0% 27.5M -293.5M -1.2M 0.85 28.84 N/A N/A 1,636 1,392 34,817 27,600 2019-08-22 $213.79 $190.00 20.7% 5.9% 24.3% 38.1% 21.3% 4.1% 0.1% 34.0M -307.2M -1.2M 0.34 30.55 N/A N/A 1,127 384 35,559 28,559 2019-08-23 $211.33 $190.00 22.5% 6.5% 24.7% 48.4% 22.8% 4.5% -0.1% 12.8M -232.7M -1.2M 0.14 36.13 N/A N/A 5,631 806 35,712 28,774 2019-08-26 $213.82 $190.00 22.6% 6.5% 24.7% 49.2% 23.8% 4.3% -0.1% 14.8M -280.7M -1.2M 0.93 33.01 N/A N/A 1,291 1,196 33,426 27,914 2019-08-27 $217.17 $195.00 22.1% 6.3% 24.3% 46.1% 22.7% 3.9% 0.1% 19.1M -336.2M -1.3M 0.17 27.97 N/A N/A 2,983 493 36,479 30,961 2019-08-28 $214.75 $195.00 22.2% 6.4% 24.4% 46.8% 23.8% 3.6% 0.2% 17.5M -298.1M -1.3M 0.51 25.48 N/A N/A 1,766 906 38,792 31,313 2019-08-29 $215.75 $195.00 21.2% 6.0% 22.6% 41.1% 21.6% 3.7% 0.0% 19.6M -318.0M -1.3M 0.57 26.32 N/A N/A 1,249 713 40,250 32,013 2019-08-30 $216.86 $195.00 20.3% 5.7% 21.9% 35.5% 22.2% 3.3% 0.4% 20.0M -335.6M -1.3M 1.20 33.39 N/A N/A 730 879 41,019 32,376
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