CME Options History — December 2022

In December 2022, CME traded between $167.44 and $180.50. ATM implied volatility averaged 22.1%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 2.6% (HV 20d: 19.5%). Max pain ranged from $177.50 to $195.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.63.

Notable Days

  • 2022-12-28: Highest Volume — 18,282 contracts
  • 2022-12-05: Largest IV spike — 33.0% change
  • 2022-12-08: Highest IV Rank — 34.2%
  • 2022-12-28: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$174.07$167.44$180.50$178.20$168.23
Max Pain$189.40$177.50$195.00$177.50$185.00
ATM IV22.1%17.9%25.1%21.7%22.4%
Expected Move6.1%5.0%6.7%6.2%6.5%
HV 20d19.5%17.7%21.7%19.0%20.6%
HV 60d22.0%20.6%22.8%22.4%21.3%
IV Rank19.4%0.0%34.2%17.3%21.8%
IV Percentile12.5%0.0%36.5%6.3%9.5%
Term Structure-0.4%-4.5%1.9%-0.7%1.1%
VWIV21.0%17.6%23.0%21.2%22.2%
Skew 25d2.6%0.5%4.6%4.4%3.3%
Skew 10d6.2%1.2%12.5%8.7%11.3%
Call IV 25d20.9%18.2%23.2%21.8%21.5%
Put IV 25d23.6%18.7%26.2%26.2%24.8%
Bid-Ask Spread %66.0655.2678.9576.8668.71
Gamma HHI0.120.100.170.140.10
Net GEX-2.9M-8.6M643.8K-1.1M-3.9M
Net DEX129.4M67.2M195.9M88.5M132.5M
Net VEX-979.2K-1.1M-888.4K-971.0K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.630.2327.662.190.46
Total Volume3,606.0951,02818,2822,6221,787
Total OI57,130.66751,54561,66556,56355,053

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$178.20$177.5021.7%6.2%19.0%17.3%21.2%4.4%-0.7%-1.1M88.5M-971.0K2.1976.86N/AN/A8221,80023,88732,676
2022-12-02$176.51$177.5018.2%5.8%18.6%0.0%20.0%0.9%0.6%-3.8M108.9M-950.9K0.3478.95N/AN/A1,76360724,21133,999
2022-12-05$180.03$195.0024.2%6.3%19.7%29.4%22.3%3.3%-2.1%61.7K68.4M-975.8K0.6365.65N/AN/A95660023,37133,044
2022-12-06$179.91$195.0022.8%6.2%19.3%22.7%21.9%2.0%0.3%591.6K67.2M-978.0K0.7464.24N/AN/A1,26394023,94933,328
2022-12-07$176.26$195.0024.7%6.6%19.6%32.2%23.0%0.7%-4.0%-3.8M117.2M-1.0M0.9266.04N/AN/A2,1631,98324,41233,591
2022-12-08$176.99$195.0025.1%6.6%18.7%34.2%21.7%4.0%-4.5%-2.3M131.9M-984.5K1.1163.82N/AN/A1,6091,78625,55435,213
2022-12-09$178.86$195.0024.2%6.3%17.7%29.7%22.4%3.9%0.4%-687.4K92.6M-1.0M0.4564.06N/AN/A83537325,94335,195
2022-12-12$180.50$195.0023.3%6.5%18.0%25.2%21.7%2.6%0.2%437.3K70.4M-1.0M0.5567.84N/AN/A66336524,00434,260
2022-12-13$178.49$190.0023.5%6.3%18.5%26.2%21.8%4.6%-1.5%338.3K93.3M-976.0K0.3868.98N/AN/A1,95474624,27334,373
2022-12-14$175.56$190.0022.9%6.0%19.4%23.1%21.4%3.1%-2.3%-2.7M138.8M-948.2K3.7069.12N/AN/A9563,53425,18434,785
2022-12-15$172.27$190.0023.2%6.4%20.3%24.9%21.4%3.1%-1.3%-8.6M186.8M-941.2K1.0567.20N/AN/A1,6991,79125,62535,000
2022-12-16$171.65$190.0022.1%6.1%20.2%19.3%21.7%1.9%-1.4%-7.1M192.1M-915.4K1.7165.79N/AN/A5951,01626,03835,627
2022-12-19$170.21$190.0021.2%6.0%20.2%14.7%20.8%1.8%1.3%-6.7M162.2M-888.4K1.3461.30N/AN/A68391320,77630,769
2022-12-20$169.68$190.0020.6%5.9%18.5%12.1%20.3%1.3%0.5%-7.3M169.0M-905.7K1.2264.90N/AN/A49260221,12331,467
2022-12-21$172.61$190.0018.7%5.4%19.5%2.8%18.3%1.9%1.3%-2.6M142.2M-921.1K0.2871.38N/AN/A1,70947621,19631,780
2022-12-22$172.31$190.0020.2%5.7%19.0%10.2%18.2%0.7%0.7%-915.6K135.8M-949.3K0.4960.66N/AN/A3,8071,85722,52531,979
2022-12-23$172.89$187.5017.9%5.0%18.9%0.0%17.6%0.5%1.9%643.8K145.4M-945.7K0.2355.26N/AN/A5,0071,14625,29533,381
2022-12-27$167.44$187.5023.1%6.3%21.7%25.0%22.4%3.8%-0.0%-4.4M195.9M-1.1M1.2365.51N/AN/A1,2681,55823,73032,740
2022-12-28$167.93$187.5021.9%6.7%21.3%19.5%20.1%4.0%-0.1%-4.2M153.2M-1.1M27.6661.23N/AN/A63817,64424,22831,305
2022-12-29$168.99$185.0021.4%6.3%21.1%17.2%20.3%3.2%1.7%-3.5M124.4M-1.1M8.5459.85N/AN/A5584,76424,57930,276
2022-12-30$168.23$185.0022.4%6.5%20.6%21.8%22.2%3.3%1.1%-3.9M132.5M-1.1M0.4668.71N/AN/A1,22456324,68830,365