CME Options History — October 2019 In October 2019, CME traded between $200.75 and $215.87. ATM implied volatility averaged 23.1%, placing in the 47.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 0.6% (HV 20d: 22.5%). Max pain ranged from $205.00 to $210.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.66.
Notable Days 2019-10-30 : Highest Volume — 6,263 contracts2019-10-30 : Largest IV drop — 13.4% change2019-10-02 : Highest IV Rank — 71.8%2019-10-08 : Largest Expected Move — 7.3%Monthly Statistics Metric Avg Min Max Open Close Price $208.94 $200.75 $215.87 $211.42 $205.05 Max Pain $209.67 $205.00 $210.00 $210.00 $207.50 ATM IV 23.1% 19.1% 26.9% 24.3% 19.3% Expected Move 6.6% 5.7% 7.3% 6.3% 5.7% HV 20d 22.5% 16.6% 30.8% 29.0% 22.4% HV 60d 24.2% 23.3% 25.3% 23.3% 23.8% IV Rank 47.6% 22.3% 71.8% 55.5% 23.3% IV Percentile 83.1% 36.1% 98.0% 96.4% 39.3% Term Structure -0.6% -1.5% 0.7% -0.6% 0.4% VWIV 22.9% 19.5% 25.6% 22.2% 20.6% Skew 25d 4.3% 2.9% 5.1% 4.3% 3.5% Skew 10d 9.0% 8.0% 11.2% 8.3% 8.1% Call IV 25d 21.3% 17.9% 24.9% 23.1% 17.9% Put IV 25d 25.6% 21.2% 29.7% 27.4% 21.5% Bid-Ask Spread % 52.54 39.63 67.42 42.99 45.56 Gamma HHI 0.13 0.09 0.19 0.09 0.14 Net GEX 3.4M -3.2M 10.6M -301.3K 2.4M Net DEX -94.9M -208.1M 19.7M -91.1M -63.5M Net VEX -1.2M -1.3M -999.7K -1.3M -1.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.66 0.18 1.70 0.91 0.52 Total Volume 3,031.783 1,245 6,263 1,882 3,861 Total OI 64,754.609 55,807 69,965 62,927 64,620
Daily Data (23 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 2019-10-01 $211.42 $210.00 24.3% 6.3% 29.0% 55.5% 22.2% 4.3% -0.6% -301.3K -91.1M -1.3M 0.91 42.99 N/A N/A 984 898 30,739 32,188 2019-10-02 $208.54 $210.00 26.9% 7.0% 28.6% 71.8% 24.6% 4.8% -0.4% -3.2M -55.7M -1.3M 0.89 47.52 N/A N/A 1,042 929 31,106 32,656 2019-10-03 $209.19 $210.00 25.9% 7.2% 28.6% 65.4% 24.9% 5.1% -0.3% -2.8M -63.1M -1.3M 0.27 54.34 N/A N/A 4,653 1,247 31,688 33,040 2019-10-04 $215.71 $210.00 23.7% 6.3% 30.8% 51.5% 23.5% 4.7% -0.4% 10.0M -208.1M -1.3M 0.34 58.00 N/A N/A 2,111 708 35,855 33,988 2019-10-07 $213.58 $210.00 24.7% 7.1% 28.1% 57.9% 24.1% 4.3% 0.2% 7.6M -164.3M -1.3M 0.34 44.62 N/A N/A 928 317 34,370 32,399 2019-10-08 $212.83 $210.00 25.4% 7.3% 22.0% 62.4% 25.3% 4.8% -0.0% 7.2M -158.5M -1.3M 1.48 54.23 N/A N/A 545 806 34,687 32,525 2019-10-09 $215.05 $210.00 24.8% 6.7% 21.3% 58.3% 25.6% 4.2% -1.4% 9.6M -188.7M -1.3M 1.70 64.07 N/A N/A 593 1,009 34,782 32,991 2019-10-10 $215.87 $210.00 24.5% 6.6% 20.9% 56.4% 24.6% 4.4% -1.5% 10.6M -199.9M -1.3M 0.23 61.24 N/A N/A 2,046 479 34,887 33,747 2019-10-11 $213.33 $210.00 23.9% 7.0% 21.5% 53.1% 23.8% 5.1% -0.4% 5.3M -151.5M -1.3M 0.53 64.43 N/A N/A 2,204 1,157 35,461 34,041 2019-10-14 $212.17 $210.00 24.1% 6.9% 21.6% 53.9% 22.6% 4.4% -1.0% 5.0M -137.0M -1.3M 0.18 61.57 N/A N/A 1,397 249 34,774 33,624 2019-10-15 $212.95 $210.00 23.0% 6.6% 18.2% 47.3% 22.2% 4.5% -0.6% 5.9M -152.2M -1.2M 0.53 67.42 N/A N/A 883 467 35,449 33,718 2019-10-16 $211.86 $210.00 22.5% 6.4% 17.9% 43.7% 21.5% 4.1% -0.8% 4.3M -133.2M -1.2M 0.90 61.06 N/A N/A 1,416 1,269 35,580 33,818 2019-10-17 $213.02 $210.00 21.9% 6.3% 16.8% 39.8% 21.4% 4.4% -1.0% 7.2M -155.8M -1.2M 0.38 64.71 N/A N/A 1,027 393 35,687 33,881 2019-10-18 $213.89 $210.00 21.4% 6.3% 16.6% 37.0% 21.0% 4.3% -1.5% 7.8M -172.9M -1.1M 0.90 65.14 N/A N/A 1,400 1,255 35,944 34,021 2019-10-21 $206.82 $210.00 22.4% 6.6% 20.3% 43.0% 23.2% 4.0% -0.7% 1.1M -59.0M -1.1M 0.74 39.63 N/A N/A 2,557 1,899 26,110 29,697 2019-10-22 $201.76 $210.00 23.1% 6.8% 21.9% 47.5% 22.7% 4.3% -0.8% -1.1M 13.6M -1.1M 0.85 42.34 N/A N/A 1,717 1,466 27,477 31,023 2019-10-23 $201.62 $210.00 22.5% 6.6% 21.8% 44.0% 21.7% 4.0% -1.3% -2.3M 19.7M -1.1M 0.41 42.03 N/A N/A 3,530 1,442 28,035 31,490 2019-10-24 $203.46 $210.00 21.9% 6.5% 21.7% 39.9% 22.4% 4.2% -0.9% -1.5M -15.7M -1.1M 0.60 44.73 N/A N/A 1,086 648 28,415 31,439 2019-10-25 $200.93 $210.00 21.8% 6.5% 21.9% 39.0% 22.3% 3.8% -1.0% -1.1M 18.8M -1.0M 0.81 45.65 N/A N/A 1,418 1,143 28,922 31,741 2019-10-28 $200.75 $210.00 22.0% 6.9% 21.5% 40.9% 23.2% 4.1% -0.5% 56.9K 8.8M -1.0M 0.65 44.21 N/A N/A 2,447 1,584 27,238 31,374 2019-10-29 $200.83 $210.00 22.1% 6.9% 21.5% 41.3% 23.4% 4.3% 0.2% 888.3K -950.3K -999.7K 0.70 46.95 N/A N/A 3,677 2,581 28,010 31,961 2019-10-30 $204.88 $205.00 19.1% 5.7% 22.5% 22.3% 19.5% 2.9% 0.7% 5.5M -71.9M -1.1M 0.39 45.91 N/A N/A 4,503 1,760 29,894 34,264 2019-10-31 $205.05 $207.50 19.3% 5.7% 22.4% 23.3% 20.6% 3.5% 0.4% 2.4M -63.5M -1.0M 0.52 45.56 N/A N/A 2,544 1,317 29,671 34,949
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