CME Options History — November 2022

In November 2022, CME traded between $169.81 and $176.34. ATM implied volatility averaged 24.5%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 4.1% (HV 20d: 20.4%). Max pain ranged from $177.50 to $185.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2022-11-18: Highest Volume — 12,564 contracts
  • 2022-11-28: Largest IV spike — 13.0% change
  • 2022-11-09: Highest IV Rank — 44.9%
  • 2022-11-09: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$173.71$169.81$176.34$173.61$176.34
Max Pain$180.36$177.50$185.00$180.00$180.00
ATM IV24.5%21.2%27.3%24.7%22.3%
Expected Move7.0%6.1%7.8%7.5%6.2%
HV 20d20.4%18.1%24.4%24.4%18.7%
HV 60d22.7%22.2%23.3%23.1%22.3%
IV Rank30.9%14.7%44.9%31.9%19.9%
IV Percentile29.1%4.8%56.3%32.5%8.3%
Term Structure0.0%-1.9%2.0%0.8%-1.9%
VWIV24.9%21.2%28.1%26.3%22.7%
Skew 25d4.5%2.1%6.7%3.9%2.5%
Skew 10d8.7%4.8%11.5%8.9%10.0%
Call IV 25d23.2%19.9%25.2%23.8%22.8%
Put IV 25d27.7%25.0%30.0%27.7%25.2%
Bid-Ask Spread %65.3145.3677.4262.8077.42
Gamma HHI0.090.070.110.070.10
Net GEX-3.7M-5.8M-1.9M-2.7M-2.6M
Net DEX138.8M114.2M169.7M138.8M114.2M
Net VEX-947.3K-1.0M-899.1K-940.6K-957.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.771.461.010.78
Total Volume5,161.71450112,5644,3702,502
Total OI54,689.90551,09859,78251,09855,436

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$173.61$180.0024.7%7.5%24.4%31.9%26.3%3.9%0.8%-2.7M138.8M-940.6K1.0162.80N/AN/A2,1762,19422,66628,432
2022-11-02$173.74$177.5024.6%7.4%24.4%31.2%26.6%3.9%0.6%-2.9M138.0M-951.1K1.0666.98N/AN/A2,0382,15422,78329,167
2022-11-03$171.37$185.0026.6%7.7%22.9%41.1%28.1%4.5%1.8%-4.8M159.1M-938.4K1.4667.63N/AN/A1,8852,75223,23929,578
2022-11-04$171.26$185.0025.3%7.5%18.8%34.9%27.1%4.8%0.9%-5.8M167.3M-924.1K1.3566.98N/AN/A2,4633,32923,47429,904
2022-11-07$169.81$180.0026.2%7.3%19.0%39.0%26.3%4.0%-1.3%-5.6M169.7M-906.6K1.4668.90N/AN/A1,4272,08122,53729,915
2022-11-08$173.62$180.0026.6%7.4%20.5%41.4%26.1%5.1%-1.2%-4.1M136.9M-928.6K0.7769.38N/AN/A2,6662,06322,84430,382
2022-11-09$170.99$180.0027.3%7.8%20.6%44.9%26.8%4.5%0.0%-4.4M156.2M-929.8K1.2473.46N/AN/A1,8932,34323,91330,658
2022-11-10$174.38$180.0025.3%7.3%21.6%34.7%26.0%5.7%0.0%-2.9M127.8M-954.2K1.1572.14N/AN/A1,9662,26124,19231,259
2022-11-11$174.76$180.0024.9%7.0%21.1%33.0%25.1%5.0%-0.6%-3.0M123.9M-939.3K1.0372.44N/AN/A2,2532,31624,32231,711
2022-11-14$174.45$180.0025.2%7.2%20.6%34.3%27.3%5.0%0.0%-2.9M126.6M-928.5K1.4170.63N/AN/A2,5143,55023,85231,214
2022-11-15$173.44$180.0024.7%7.1%20.7%31.9%25.9%5.7%-0.2%-3.7M140.3M-917.8K1.1172.19N/AN/A3,0293,36424,30032,893
2022-11-16$174.98$180.0024.6%7.0%20.7%31.3%24.2%4.9%0.1%-1.9M121.4M-937.7K1.1168.29N/AN/A2,7793,09624,98933,253
2022-11-17$173.63$180.0024.1%6.9%20.1%28.8%24.6%4.8%0.5%-2.7M137.0M-924.4K1.3356.49N/AN/A2,3853,18325,98733,438
2022-11-18$172.30$180.0024.1%7.0%20.3%29.0%23.9%4.8%-1.0%-4.0M152.7M-899.1K1.4649.18N/AN/A5,0987,46626,16233,620
2022-11-21$175.99$180.0023.4%6.7%21.3%25.3%23.7%3.9%1.2%-3.7M124.8M-1.0M0.8852.99N/AN/A5,5064,85620,91731,228
2022-11-22$174.42$180.0022.8%6.2%19.8%22.5%21.2%6.1%0.9%-3.9M138.3M-1.0M0.8145.36N/AN/A4,5293,66021,84331,705
2022-11-23$176.29$180.0022.2%6.2%18.1%19.5%21.6%6.7%2.0%-3.2M118.3M-999.2K0.8274.25N/AN/A3,3632,75021,98631,939
2022-11-25$174.81$180.0021.2%6.1%18.3%14.7%21.2%4.5%-1.4%-4.9M137.8M-969.9K1.1253.14N/AN/A23626522,38632,396
2022-11-28$172.91$180.0023.9%6.9%18.3%28.2%24.5%2.3%-0.6%-5.1M154.4M-958.7K1.2457.78N/AN/A1,1251,40022,51830,643
2022-11-29$174.84$180.0024.5%6.7%18.4%31.0%23.7%2.1%-0.6%-3.4M130.4M-983.7K1.4573.19N/AN/A60387723,25031,557
2022-11-30$176.34$180.0022.3%6.2%18.7%19.9%22.7%2.5%-1.9%-2.6M114.2M-957.5K0.7877.42N/AN/A1,4021,10023,47631,960