CME Options History — October 2022

In October 2022, CME traded between $169.48 and $181.64. ATM implied volatility averaged 30.8%, placing in the 61.8% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 5.2% (HV 20d: 25.6%). Max pain ranged from $180.00 to $200.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.14.

Notable Days

  • 2022-10-07: Highest Volume — 8,663 contracts
  • 2022-10-26: Largest IV drop — 12.8% change
  • 2022-10-11: Highest IV Rank — 78.6%
  • 2022-10-14: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$173.82$169.48$181.64$178.28$173.70
Max Pain$189.76$180.00$200.00$190.00$180.00
ATM IV30.8%24.9%34.2%31.9%24.9%
Expected Move8.8%7.4%9.6%8.6%7.7%
HV 20d25.6%23.5%27.6%24.1%25.5%
HV 60d22.9%21.9%23.4%22.0%23.1%
IV Rank61.8%32.9%78.6%67.0%32.9%
IV Percentile77.3%34.1%96.4%86.5%34.1%
Term Structure-0.5%-2.3%0.8%-1.7%0.8%
VWIV32.6%27.0%36.4%31.2%27.4%
Skew 25d5.4%3.9%6.6%6.6%4.8%
Skew 10d11.2%7.7%17.9%13.6%9.4%
Call IV 25d28.9%22.6%33.1%29.6%23.3%
Put IV 25d34.3%27.7%37.7%36.2%28.2%
Bid-Ask Spread %58.4241.3374.4669.8461.52
Gamma HHI0.080.060.130.070.07
Net GEX-4.2M-6.9M-1.5M-3.6M-2.9M
Net DEX153.4M116.5M203.1M141.2M138.2M
Net VEX-946.3K-992.4K-876.5K-955.5K-936.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.671.611.101.04
Total Volume6,168.5715,0378,6635,0665,037
Total OI49,178.52443,82352,79743,82350,608

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-10-03$178.28$190.0031.9%8.6%24.1%67.0%31.2%6.6%-1.7%-3.6M141.2M-955.5K1.1069.84N/AN/A2,4162,65019,25824,565
2022-10-04$181.64$190.0031.1%8.2%23.9%63.5%31.4%5.0%-0.2%-2.6M120.0M-989.6K1.3274.25N/AN/A2,6813,55019,49024,873
2022-10-05$181.09$190.0031.2%8.3%23.5%63.7%30.9%5.4%-0.5%-3.4M126.5M-992.4K1.4174.46N/AN/A2,3923,36419,76225,659
2022-10-06$176.12$200.0032.2%8.9%24.4%68.6%36.4%6.1%-0.4%-5.6M163.0M-922.4K1.4354.38N/AN/A2,4643,53319,94825,894
2022-10-07$169.81$200.0033.3%9.4%26.3%74.0%34.3%5.5%-2.3%-6.9M203.1M-876.5K1.6153.38N/AN/A3,3225,34120,49126,303
2022-10-10$169.48$195.0033.3%9.4%26.4%74.0%34.4%6.0%-0.1%-5.2M183.5M-905.2K0.9050.68N/AN/A3,3253,00120,73026,516
2022-10-11$170.15$195.0034.2%9.6%25.2%78.6%35.9%5.0%-0.6%-5.4M178.9M-936.7K0.9058.76N/AN/A2,9322,64721,53027,201
2022-10-12$172.66$195.0033.3%9.5%26.3%73.9%36.1%4.7%-0.5%-4.9M160.0M-983.1K0.9551.80N/AN/A2,9542,81522,13527,677
2022-10-13$174.32$195.0033.1%9.2%26.8%73.2%34.0%5.9%-1.0%-4.3M151.2M-975.1K0.6756.32N/AN/A3,4852,33622,87828,008
2022-10-14$172.10$190.0033.8%9.6%26.8%76.6%35.1%5.7%-0.3%-5.1M167.1M-962.5K1.4157.30N/AN/A2,4553,45724,15228,255
2022-10-17$174.36$190.0032.3%9.2%27.6%69.2%35.7%5.5%-1.1%-4.3M149.5M-981.3K1.2759.07N/AN/A2,5073,19222,14728,118
2022-10-18$174.34$190.0031.3%8.9%27.3%64.5%32.5%5.0%-0.5%-3.9M150.5M-964.2K1.1253.50N/AN/A2,5232,82222,53928,206
2022-10-19$172.97$190.0030.5%8.8%26.1%60.5%33.7%6.2%-0.6%-4.6M160.5M-964.8K1.1052.62N/AN/A2,6402,90822,51928,408
2022-10-20$170.29$190.0031.1%9.0%25.9%63.6%34.3%5.4%-0.6%-6.4M179.9M-930.9K0.9763.00N/AN/A3,1833,09322,77728,552
2022-10-21$170.22$190.0030.7%8.9%25.1%61.1%34.7%6.0%-1.2%-4.5M181.4M-913.9K0.9854.86N/AN/A3,3413,26523,32929,053
2022-10-24$171.90$185.0031.1%8.9%25.5%63.6%31.3%5.8%-0.3%-3.6M147.5M-919.7K1.2441.33N/AN/A2,4913,08620,55226,924
2022-10-25$176.12$185.0030.5%8.9%25.5%60.5%32.9%5.5%0.3%-2.7M120.0M-982.7K1.2556.81N/AN/A3,0123,77621,15127,723
2022-10-26$172.01$185.0026.6%7.7%24.9%41.3%27.6%3.9%0.3%-3.8M151.2M-912.8K1.1058.80N/AN/A3,4223,76422,03428,300
2022-10-27$173.33$180.0025.2%7.8%25.0%34.4%27.3%4.9%0.1%-2.3M130.9M-929.1K0.8960.69N/AN/A3,9633,51623,27428,413
2022-10-28$175.24$180.0024.9%7.4%25.3%33.1%27.0%5.1%0.2%-1.5M116.5M-938.2K1.2863.50N/AN/A3,0153,86423,88428,913
2022-10-31$173.70$180.0024.9%7.7%25.5%32.9%27.4%4.8%0.8%-2.9M138.2M-936.1K1.0461.52N/AN/A2,4752,56222,40128,207