CME Options History — December 2019

In December 2019, CME traded between $199.11 and $207.35. ATM implied volatility averaged 18.2%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 3.9% (HV 20d: 14.3%). Max pain ranged from $185.00 to $200.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2019-12-06: Highest Volume — 11,155 contracts
  • 2019-12-26: Largest IV spike — 11.8% change
  • 2019-12-03: Highest IV Rank — 35.7%
  • 2019-12-03: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$203.44$199.11$207.35$203.83$200.10
Max Pain$195.71$185.00$200.00$200.00$200.00
ATM IV18.2%16.0%21.2%20.2%18.1%
Expected Move5.3%4.4%6.4%5.8%5.0%
HV 20d14.3%12.3%16.6%16.6%15.1%
HV 60d18.6%17.1%22.9%22.9%17.1%
IV Rank16.9%2.0%35.7%28.8%20.6%
IV Percentile26.0%0.8%70.2%55.6%20.6%
Term Structure0.2%-1.0%1.6%-0.2%0.3%
VWIV18.8%13.9%22.8%22.7%18.6%
Skew 25d2.6%1.0%3.8%2.9%2.8%
Skew 10d4.6%1.9%7.0%5.0%6.4%
Call IV 25d17.3%15.6%20.0%18.7%17.1%
Put IV 25d19.8%17.0%22.9%21.5%19.9%
Bid-Ask Spread %42.4129.4754.6241.5931.91
Gamma HHI0.110.080.320.100.09
Net GEX2.9M-7.9M17.1M4.9M2.0M
Net DEX-38.8M-137.7M21.5M-75.2M-9.4M
Net VEX-843.2K-959.8K-734.8K-930.3K-826.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.051.851.251.64
Total Volume3,057.6671,11611,1552,6132,783
Total OI58,155.95242,08366,94562,62644,091

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$203.83$200.0020.2%5.8%16.6%28.8%22.7%2.9%-0.2%4.9M-75.2M-930.3K1.2541.59N/AN/A1,1611,45229,03433,592
2019-12-03$204.01$200.0021.2%6.4%13.8%35.7%22.8%2.9%0.3%4.5M-72.1M-959.8K0.4740.93N/AN/A2,5841,22629,24134,526
2019-12-04$204.98$200.0019.7%5.9%13.8%26.1%20.7%2.7%0.4%7.4M-85.8M-931.3K1.2543.21N/AN/A49662030,86835,219
2019-12-05$207.35$185.0018.7%5.6%14.1%19.2%20.1%2.5%-0.2%17.1M-137.7M-921.7K0.3551.93N/AN/A2,09973831,12135,499
2019-12-06$205.95$185.0018.8%5.5%14.5%20.1%20.1%2.4%0.2%9.8M-104.8M-897.4K0.1354.62N/AN/A9,8291,32631,08735,858
2019-12-09$204.73$195.0019.5%6.0%14.6%24.7%20.9%3.6%1.4%7.0M-47.4M-927.9K1.2552.52N/AN/A8931,11528,74933,915
2019-12-10$205.08$195.0020.0%5.5%14.6%27.7%20.6%3.8%-1.0%7.0M-45.6M-922.1K0.6451.75N/AN/A1,23479429,06634,637
2019-12-11$204.44$195.0019.8%6.0%13.9%26.3%20.9%3.8%1.0%4.9M-35.9M-917.2K0.3550.32N/AN/A94233129,69234,638
2019-12-12$203.26$195.0019.5%5.8%12.4%24.5%20.9%3.2%1.0%1.2M-13.8M-878.7K0.6248.97N/AN/A86753730,45134,728
2019-12-13$204.32$195.0018.0%5.4%12.5%15.1%19.0%3.5%1.6%2.7M-26.2M-841.5K0.6047.72N/AN/A2,1021,25830,63834,962
2019-12-16$202.94$195.0017.7%5.1%12.3%12.8%16.9%3.1%-0.9%1.1M-16.8M-793.7K0.5147.93N/AN/A1,65783927,52033,503
2019-12-17$203.80$195.0016.7%4.8%12.3%6.4%17.4%2.0%-1.0%405.9K-24.7M-770.8K1.6539.35N/AN/A55091027,62933,939
2019-12-18$200.08$195.0016.3%4.7%13.5%4.3%16.6%1.4%0.0%-3.6M21.5M-744.1K1.2036.99N/AN/A1,2751,52627,71934,022
2019-12-19$204.49$195.0016.4%4.7%15.7%4.7%16.1%1.0%-0.6%2.1M-48.7M-750.8K0.9040.31N/AN/A84876428,24134,380
2019-12-20$203.75$195.0016.1%4.6%15.4%2.8%16.4%1.0%-0.1%2.0M-35.9M-747.1K1.8539.41N/AN/A7551,39428,39334,391
2019-12-23$203.12$195.0016.0%4.4%15.3%2.0%16.0%1.5%0.2%147.0K-24.1M-734.8K1.3236.48N/AN/A7741,02418,94924,715
2019-12-24$203.28$195.0016.1%4.6%15.3%2.6%13.9%1.6%0.3%59.7K-24.8M-745.3K0.0538.13N/AN/A9,90647119,24225,523
2019-12-26$201.04$200.0018.0%5.2%15.4%18.0%18.6%3.0%0.0%-1.4M11.0M-815.7K0.6137.11N/AN/A1,12568218,71425,783
2019-12-27$202.65$200.0017.2%4.9%14.1%12.0%17.8%2.8%0.3%-7.9M-18.4M-833.3K0.5329.47N/AN/A1,20263119,15325,764
2019-12-30$199.11$200.0018.0%5.2%15.2%20.2%18.6%2.6%0.3%555.0K75.5K-815.6K0.3329.98N/AN/A2,62686517,89824,185
2019-12-31$200.10$200.0018.1%5.0%15.1%20.6%18.6%2.8%0.3%2.0M-9.4M-826.9K1.6431.91N/AN/A1,0561,72719,42524,666