CME Options History — September 2019 In September 2019, CME traded between $202.28 and $223.38. ATM implied volatility averaged 21.2%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 5.4% (HV 20d: 26.6%). Max pain ranged from $195.00 to $220.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.87.
Notable Days 2019-09-06 : Highest Volume — 23,675 contracts2019-09-09 : Largest IV spike — 13.1% change2019-09-30 : Highest IV Rank — 53.7%2019-09-10 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $212.84 $202.28 $223.38 $217.78 $210.96 Max Pain $210.75 $195.00 $220.00 $195.00 $210.00 ATM IV 21.2% 18.7% 24.0% 21.5% 24.0% Expected Move 6.0% 5.6% 6.3% 6.2% 6.3% HV 20d 26.6% 19.9% 29.6% 21.2% 29.0% HV 60d 22.5% 19.4% 24.4% 19.7% 23.3% IV Rank 36.8% 21.4% 53.7% 42.8% 53.7% IV Percentile 72.5% 34.9% 95.6% 79.4% 95.6% Term Structure 0.4% -1.1% 2.0% -0.2% -0.5% VWIV 21.9% 20.1% 24.3% 24.3% 22.5% Skew 25d 3.2% 2.5% 3.9% 3.1% 3.9% Skew 10d 6.3% 5.2% 8.0% 6.8% 8.0% Call IV 25d 20.1% 17.9% 23.0% 20.2% 23.0% Put IV 25d 23.3% 20.4% 27.0% 23.3% 27.0% Bid-Ask Spread % 52.76 34.01 67.50 41.22 47.14 Gamma HHI 0.10 0.08 0.14 0.11 0.09 Net GEX 5.0M -8.3M 26.2M 19.7M -285.4K Net DEX -157.3M -441.2M 43.9M -338.5M -91.4M Net VEX -1.2M -1.3M -1.2M -1.2M -1.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.87 0.28 4.55 0.66 1.29 Total Volume 4,402.75 1,102 23,675 4,230 1,264 Total OI 71,473.65 60,725 78,962 71,169 62,046
Daily Data (20 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 2019-09-03 $217.78 $195.00 21.5% 6.2% 21.2% 42.8% 24.3% 3.1% -0.2% 19.7M -338.5M -1.2M 0.66 41.22 N/A N/A 2,554 1,676 39,989 31,180 2019-09-04 $221.13 $200.00 20.3% 5.7% 20.0% 31.3% 20.4% 3.1% 0.2% 25.6M -399.1M -1.2M 0.33 40.96 N/A N/A 2,977 970 41,194 32,509 2019-09-05 $221.53 $220.00 19.3% 5.7% 19.9% 25.4% 21.3% 2.9% 0.1% 25.9M -405.3M -1.2M 0.61 66.10 N/A N/A 1,600 984 42,015 33,117 2019-09-06 $223.38 $220.00 18.7% 5.6% 19.9% 21.4% 23.0% 2.5% 0.8% 26.2M -441.2M -1.3M 0.33 59.18 N/A N/A 17,846 5,829 42,242 33,350 2019-09-09 $215.34 $220.00 21.1% 5.9% 22.6% 36.7% 22.4% 3.1% -0.7% 5.1M -147.1M -1.3M 0.58 63.18 N/A N/A 3,200 1,867 33,700 35,793 2019-09-10 $205.34 $220.00 23.2% 6.3% 27.6% 49.9% 22.5% 3.4% -1.1% -4.7M -13.0M -1.3M 0.79 55.04 N/A N/A 4,967 3,904 35,104 36,632 2019-09-11 $202.28 $210.00 22.1% 6.3% 27.9% 42.6% 22.1% 3.3% -0.2% -8.3M 43.9M -1.2M 0.78 58.70 N/A N/A 3,733 2,904 36,032 37,942 2019-09-12 $205.10 $210.00 20.6% 5.7% 27.7% 33.6% 20.8% 3.0% -0.8% -2.4M -9.0M -1.2M 0.40 58.07 N/A N/A 2,688 1,071 38,210 38,346 2019-09-13 $205.99 $210.00 20.0% 5.6% 26.9% 29.9% 20.1% 3.3% -1.0% -3.8M -36.1M -1.2M 0.97 55.31 N/A N/A 1,291 1,258 40,008 38,954 2019-09-16 $207.16 $210.00 20.7% 5.9% 27.0% 34.1% 20.6% 3.3% 0.4% -3.3M -46.6M -1.2M 0.28 58.67 N/A N/A 1,483 410 36,629 39,076 2019-09-17 $214.01 $210.00 21.7% 6.2% 29.0% 39.9% 21.2% 3.5% -0.7% 7.0M -169.5M -1.2M 0.42 53.96 N/A N/A 3,781 1,603 36,903 39,277 2019-09-18 $216.03 $210.00 20.1% 5.8% 28.8% 30.0% 21.5% 2.9% 2.0% 10.1M -204.5M -1.3M 0.59 66.94 N/A N/A 1,080 641 37,786 39,693 2019-09-19 $212.04 $210.00 21.3% 6.1% 29.5% 37.8% 21.2% 2.9% 0.6% 2.4M -125.4M -1.3M 0.49 67.50 N/A N/A 1,159 568 37,864 39,966 2019-09-20 $210.71 $210.00 21.2% 6.1% 29.6% 36.8% 21.4% 3.0% 0.3% 1.5M -108.4M -1.3M 0.82 66.96 N/A N/A 1,280 1,055 38,079 40,078 2019-09-23 $212.57 $210.00 20.6% 5.9% 29.5% 33.3% 22.2% 2.7% 1.7% -1.2M -116.7M -1.2M 1.08 43.12 N/A N/A 529 573 30,657 30,068 2019-09-24 $212.56 $210.00 21.4% 6.2% 29.2% 37.1% 22.6% 3.4% 1.8% -461.9K -114.5M -1.2M 1.37 34.01 N/A N/A 1,173 1,603 31,379 31,074 2019-09-25 $213.33 $210.00 21.5% 6.2% 28.6% 37.7% 21.6% 3.2% 1.6% -2.4M -123.8M -1.2M 0.65 41.72 N/A N/A 787 513 31,660 32,098 2019-09-26 $215.64 $210.00 21.7% 6.2% 28.6% 39.0% 22.3% 3.4% 1.9% 1.6M -167.0M -1.2M 0.49 38.27 N/A N/A 1,511 737 32,109 32,414 2019-09-27 $213.96 $210.00 22.4% 6.2% 28.7% 42.9% 23.4% 3.6% 1.4% 1.5M -133.1M -1.2M 4.55 39.25 N/A N/A 899 4,087 31,918 32,382 2019-09-30 $210.96 $210.00 24.0% 6.3% 29.0% 53.7% 22.5% 3.9% -0.5% -285.4K -91.4M -1.3M 1.29 47.14 N/A N/A 551 713 30,491 31,555
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