CME Options History — September 2022

In September 2022, CME traded between $175.62 and $201.60. ATM implied volatility averaged 27.9%, placing in the 47.7% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 6.5% (HV 20d: 21.4%). Max pain ranged from $190.00 to $210.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2022-09-16: Highest Volume — 7,183 contracts
  • 2022-09-23: Largest IV spike — 10.3% change
  • 2022-09-26: Highest IV Rank — 76.4%
  • 2022-09-27: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$189.60$175.62$201.60$198.40$177.86
Max Pain$196.90$190.00$210.00$210.00$190.00
ATM IV27.9%23.6%33.8%24.4%33.1%
Expected Move8.0%7.0%9.4%7.4%8.7%
HV 20d21.4%18.3%25.5%19.2%24.6%
HV 60d21.6%20.2%22.9%22.4%22.1%
IV Rank47.7%26.8%76.4%30.5%72.9%
IV Percentile66.7%34.9%95.6%44.4%93.7%
Term Structure0.4%-2.0%2.9%0.2%-2.0%
VWIV28.0%24.3%31.6%26.0%30.9%
Skew 25d4.9%3.7%6.3%4.9%5.0%
Skew 10d10.5%7.8%14.7%9.9%13.2%
Call IV 25d26.0%22.0%31.6%23.5%31.6%
Put IV 25d30.9%26.0%37.1%28.4%36.6%
Bid-Ask Spread %66.1356.8071.1266.0669.51
Gamma HHI0.090.060.140.060.13
Net GEX-3.4M-6.5M1.9M-1.6M-6.0M
Net DEX111.5M44.6M163.2M84.0M150.6M
Net VEX-1.0M-1.1M-939.6K-1.1M-966.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.671.520.771.05
Total Volume3,715.819147,1831,1366,450
Total OI47,110.71440,56652,07149,21146,238

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$198.40$210.0024.4%7.4%19.2%30.5%26.0%4.9%0.2%-1.6M84.0M-1.1M0.7766.06N/AN/A64349322,58526,626
2022-09-02$194.37$210.0025.4%7.3%20.3%35.5%25.7%3.7%-0.2%-5.1M116.9M-1.0M0.9867.03N/AN/A84382723,17826,985
2022-09-06$198.28$195.0025.4%7.5%21.7%35.6%27.2%5.0%0.1%-2.0M82.0M-1.1M1.0665.75N/AN/A2,6492,79921,94526,504
2022-09-07$199.90$195.0025.7%7.3%21.9%36.6%28.9%4.6%-0.4%-915.6K68.9M-1.1M0.9964.08N/AN/A3,5523,52922,08626,680
2022-09-08$201.12$195.0025.2%7.3%20.2%34.3%25.0%4.1%0.0%1.5M45.0M-1.1M0.9767.86N/AN/A93790722,73826,367
2022-09-09$201.60$200.0023.6%7.0%20.1%26.8%24.3%4.0%0.6%1.9M44.6M-1.1M0.7866.63N/AN/A1,26798723,19826,572
2022-09-12$200.25$200.0024.1%7.1%19.7%28.9%28.3%4.8%1.0%932.3K49.6M-1.0M1.0969.89N/AN/A43847623,16526,480
2022-09-13$193.87$200.0026.2%7.6%22.7%39.3%26.5%4.5%0.3%-3.9M107.2M-994.6K1.0362.89N/AN/A2,9853,07923,44726,786
2022-09-14$192.22$200.0027.3%7.9%22.0%44.4%27.4%4.3%0.3%-6.1M129.6M-965.0K1.5267.32N/AN/A61593623,74927,042
2022-09-15$191.22$200.0026.2%7.6%21.7%39.2%26.1%5.3%0.4%-6.5M131.9M-964.1K0.9571.12N/AN/A96791423,91727,340
2022-09-16$191.57$195.0027.1%7.9%21.0%43.9%27.7%4.7%1.0%-5.0M130.8M-1.0M1.2767.19N/AN/A3,1674,01624,25127,820
2022-09-19$190.38$195.0026.9%7.7%18.3%42.8%27.2%4.6%1.4%-2.8M91.3M-987.7K1.3958.26N/AN/A1,1691,62917,34423,222
2022-09-20$187.42$195.0028.0%8.0%18.5%47.9%27.8%5.2%1.5%-4.0M114.8M-1.0M0.6756.80N/AN/A92261818,12524,254
2022-09-21$182.64$195.0028.2%8.1%20.1%48.9%27.8%3.9%0.2%-5.0M140.0M-975.8K0.8266.56N/AN/A1,3341,09018,69824,477
2022-09-22$184.71$195.0028.1%8.0%20.6%48.6%28.3%5.5%1.2%-5.1M125.5M-990.2K0.8564.67N/AN/A1,7691,50419,55424,918
2022-09-23$180.79$195.0031.0%8.7%21.5%62.8%29.1%5.4%2.9%-5.5M147.6M-982.3K1.1665.88N/AN/A9701,12920,51825,351
2022-09-26$180.30$195.0033.8%9.2%21.4%76.4%30.6%6.3%-0.7%-3.8M138.3M-986.5K1.1466.43N/AN/A2,7573,13018,67624,283
2022-09-27$175.62$195.0033.1%9.4%22.8%73.1%31.3%5.8%0.1%-4.6M163.2M-939.6K0.9669.78N/AN/A2,7682,64419,36724,507
2022-09-28$180.33$190.0031.7%8.8%25.5%66.2%31.1%5.9%0.1%-3.9M137.0M-1.0M1.0167.05N/AN/A2,6032,62719,92724,975
2022-09-29$178.82$190.0031.7%8.9%25.2%66.4%31.6%5.4%0.2%-4.6M142.2M-1.0M0.8867.94N/AN/A3,1392,75420,33725,093
2022-09-30$177.86$190.0033.1%8.7%24.6%72.9%30.9%5.0%-2.0%-6.0M150.6M-966.0K1.0569.51N/AN/A3,1393,31120,76925,469