CME Options History — November 2019

In November 2019, CME traded between $196.94 and $207.50. ATM implied volatility averaged 18.9%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 0.6% (HV 20d: 19.5%). Max pain ranged from $200.00 to $207.50. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2019-11-27: Highest Volume — 8,291 contracts
  • 2019-11-27: Largest IV spike — 12.6% change
  • 2019-11-27: Highest IV Rank — 35.2%
  • 2019-11-04: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$202.59$196.94$207.50$201.76$202.49
Max Pain$200.38$200.00$207.50$207.50$200.00
ATM IV18.9%17.5%21.1%18.7%20.4%
Expected Move5.4%5.0%6.2%5.5%5.6%
HV 20d19.5%16.8%22.5%19.6%17.4%
HV 60d23.1%22.8%24.0%24.0%22.9%
IV Rank20.6%11.6%35.2%19.7%30.2%
IV Percentile31.5%10.7%69.4%28.6%60.7%
Term Structure0.3%-1.3%1.9%0.4%-1.3%
VWIV19.7%17.9%21.5%18.7%20.0%
Skew 25d3.2%2.4%4.0%3.6%2.8%
Skew 10d5.6%0.4%8.5%7.7%3.0%
Call IV 25d17.7%16.6%19.0%17.4%19.0%
Put IV 25d20.9%19.7%22.9%21.0%21.8%
Bid-Ask Spread %44.7035.5556.5553.0744.39
Gamma HHI0.130.080.280.120.09
Net GEX2.3M-8.1M12.2M3.4M3.3M
Net DEX-51.0M-134.2M49.6M1.9M-46.2M
Net VEX-949.5K-1.0M-856.7K-999.9K-951.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.273.070.990.44
Total Volume2,596.39348,2915,5611,260
Total OI60,53356,17965,14865,14864,656

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$201.76$207.5018.7%5.5%19.6%19.7%18.7%3.6%0.4%3.4M1.9M-999.9K0.9953.07N/AN/A2,8012,76030,16634,982
2019-11-04$196.94$200.0020.3%6.2%20.9%29.5%20.2%4.0%0.4%-2.5M49.6M-961.6K1.0546.39N/AN/A1,8101,90527,23833,234
2019-11-05$197.07$200.0019.9%6.1%21.0%27.3%21.2%3.9%0.6%-5.2M42.3M-976.4K0.7153.27N/AN/A1,21085727,88833,693
2019-11-06$198.32$200.0019.7%5.7%20.6%26.1%20.3%3.3%0.5%-5.0M13.8M-972.9K0.6340.30N/AN/A1,22076428,39233,372
2019-11-07$198.79$200.0019.1%5.8%20.6%22.1%20.8%3.9%0.3%-5.2M1.8M-963.5K0.5350.99N/AN/A78141228,59133,339
2019-11-08$197.88$200.0019.1%5.5%20.4%21.7%21.5%3.4%0.8%-8.1M15.1M-937.4K3.0748.40N/AN/A9112,79528,81733,406
2019-11-11$198.67$200.0018.7%5.4%20.5%19.3%19.5%3.3%-0.1%-2.4M909.3K-948.2K1.6847.06N/AN/A39866827,73333,449
2019-11-12$201.34$200.0017.6%5.3%21.3%12.2%20.1%3.2%1.3%-374.5K-38.0M-954.8K0.9350.13N/AN/A1,00893627,87333,710
2019-11-13$205.11$200.0018.2%5.2%22.5%16.4%21.4%3.4%-0.4%4.7M-95.8M-1.0M0.3947.98N/AN/A3,6641,41928,23134,304
2019-11-14$206.06$200.0018.4%5.2%22.5%17.4%18.7%3.1%-0.5%12.2M-116.3M-1.0M0.4951.75N/AN/A1,70983529,52935,126
2019-11-15$204.18$200.0018.0%5.4%22.5%15.2%17.9%3.1%1.9%5.3M-83.0M-953.2K0.5056.55N/AN/A1,53776329,51935,608
2019-11-18$204.99$200.0018.1%5.2%19.3%15.7%19.7%3.0%0.6%5.0M-92.3M-940.6K0.7939.66N/AN/A97776924,18631,993
2019-11-19$206.49$200.0018.0%5.2%17.2%14.9%18.9%2.8%0.4%8.6M-121.7M-919.5K0.4437.35N/AN/A93040824,35632,419
2019-11-20$207.50$200.0018.8%5.4%17.3%20.2%19.6%3.2%0.6%9.8M-134.2M-932.7K0.4539.95N/AN/A1,46165124,71232,566
2019-11-21$205.54$200.0019.2%5.4%17.4%22.7%20.8%2.7%0.5%6.4M-99.0M-965.0K0.6137.88N/AN/A58035424,87032,839
2019-11-22$206.70$200.0017.8%5.1%16.8%13.5%18.6%2.9%0.8%10.3M-113.5M-932.6K0.5536.68N/AN/A1,02656725,24533,009
2019-11-25$206.62$200.0017.5%5.0%16.8%11.6%18.0%3.2%0.1%6.4M-113.1M-856.7K0.4736.67N/AN/A92443023,82732,688
2019-11-26$204.61$200.0018.8%5.0%17.3%20.1%18.0%2.7%-0.7%1.5M-77.9M-903.9K0.9935.55N/AN/A1,0721,06324,07632,802
2019-11-27$200.79$200.0021.1%5.5%17.1%35.2%20.0%2.4%-1.0%-2.8M-14.9M-917.6K0.2739.91N/AN/A6,5401,75124,68833,528
2019-11-29$202.49$200.0020.4%5.6%17.4%30.2%20.0%2.8%-1.3%3.3M-46.2M-951.1K0.4444.39N/AN/A87438630,08634,570