CME Options History — January 2023 In January 2023, CME traded between $168.31 and $177.27. ATM implied volatility averaged 22.7%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 4.1% (HV 20d: 18.6%). Max pain ranged from $170.00 to $185.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 2.64.
Notable Days 2023-01-18 : Highest Volume — 8,477 contracts2023-01-09 : Largest IV spike — 13.9% change2023-01-09 : Highest IV Rank — 31.3%2023-01-31 : Largest Expected Move — 7.6%Monthly Statistics Metric Avg Min Max Open Close Price $174.48 $168.31 $177.27 $168.31 $175.67 Max Pain $172.63 $170.00 $185.00 $185.00 $175.00 ATM IV 22.7% 20.4% 24.3% 22.4% 23.2% Expected Move 6.7% 6.3% 7.6% 6.7% 7.6% HV 20d 18.6% 15.2% 21.3% 20.5% 15.3% HV 60d 19.2% 17.9% 20.5% 20.5% 18.5% IV Rank 23.2% 12.4% 31.3% 21.9% 25.6% IV Percentile 12.3% 1.6% 28.6% 9.5% 16.3% Term Structure 0.1% -1.3% 2.3% 1.7% -0.3% VWIV 23.5% 21.8% 25.8% 23.5% 25.8% Skew 25d 3.9% 3.3% 4.6% 4.1% 3.5% Skew 10d 8.6% 6.9% 11.7% 7.7% 9.3% Call IV 25d 20.8% 19.1% 23.2% 21.0% 21.3% Put IV 25d 24.7% 22.7% 27.0% 25.1% 24.8% Bid-Ask Spread % 64.25 39.19 72.03 66.39 70.17 Gamma HHI 0.14 0.09 0.26 0.10 0.14 Net GEX 2.6M -3.8M 8.9M -3.8M 4.7M Net DEX 34.0M -10.9M 126.8M 126.8M -1.9M Net VEX -1.0M -1.1M -1.0M -1.0M -1.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.64 0.32 12.74 3.00 0.93 Total Volume 3,250.25 621 8,477 3,668 621 Total OI 49,810.4 35,922 59,128 53,759 40,073
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2023-01-03 $168.31 $185.00 22.4% 6.7% 20.5% 21.9% 23.5% 4.1% 1.7% -3.8M 126.8M -1.0M 3.00 66.39 N/A N/A 918 2,750 23,830 29,929 2023-01-04 $169.23 $185.00 23.2% 6.4% 19.0% 25.6% 22.6% 3.6% 0.6% -3.4M 116.6M -1.0M 6.47 63.06 N/A N/A 636 4,113 24,129 30,267 2023-01-05 $169.75 $170.00 23.1% 7.0% 19.1% 25.1% 24.6% 3.5% 2.3% -3.1M 112.7M -1.0M 0.55 67.26 N/A N/A 858 473 24,361 30,438 2023-01-06 $174.98 $170.00 21.4% 6.5% 21.3% 16.9% 22.3% 4.1% 2.1% 2.4M 49.0M -1.0M 1.27 60.29 N/A N/A 1,802 2,293 24,563 30,567 2023-01-09 $175.86 $170.00 24.3% 7.3% 21.3% 31.3% 24.1% 3.8% 0.7% 2.6M 37.2M -1.0M 1.46 60.32 N/A N/A 2,319 3,390 24,347 30,006 2023-01-10 $177.27 $170.00 23.9% 6.9% 21.2% 29.1% 24.4% 3.9% 0.0% 4.3M 5.4M -1.1M 1.32 62.43 N/A N/A 459 607 25,235 29,307 2023-01-11 $175.91 $170.00 23.7% 6.9% 21.0% 28.1% 23.4% 3.9% 0.5% 3.2M 21.7M -1.0M 12.74 66.08 N/A N/A 333 4,244 25,391 29,583 2023-01-12 $175.81 $170.00 23.4% 6.6% 20.7% 26.4% 21.9% 4.4% -0.4% 2.2M 29.2M -1.0M 2.13 66.58 N/A N/A 1,789 3,814 25,421 30,300 2023-01-13 $175.69 $170.00 22.8% 6.4% 19.8% 23.8% 21.8% 4.0% -0.7% 3.2M 21.6M -1.0M 3.02 65.87 N/A N/A 565 1,704 26,633 30,912 2023-01-17 $176.27 $170.00 23.1% 6.6% 18.5% 25.3% 24.0% 4.6% -0.9% 3.2M 21.5M -1.0M 3.10 67.75 N/A N/A 557 1,725 26,006 30,406 2023-01-18 $176.11 $170.00 22.9% 6.6% 18.5% 24.2% 22.8% 4.1% -0.6% 3.7M 23.8M -1.0M 7.43 67.14 N/A N/A 1,006 7,471 26,298 30,616 2023-01-19 $175.21 $170.00 23.6% 6.8% 18.3% 27.7% 24.1% 4.1% -1.3% 2.9M 36.6M -1.0M 3.01 68.36 N/A N/A 1,270 3,824 26,597 30,977 2023-01-20 $174.93 $170.00 22.5% 6.5% 18.2% 22.4% 23.2% 3.8% -0.7% 8.9M 36.9M -1.0M 1.17 64.80 N/A N/A 1,266 1,478 27,459 31,669 2023-01-23 $174.06 $170.00 21.4% 6.3% 17.4% 17.1% 22.5% 3.7% -0.5% 3.0M 15.2M -1.0M 1.08 64.80 N/A N/A 1,917 2,069 16,599 19,323 2023-01-24 $172.97 $170.00 20.4% 6.4% 17.5% 12.4% 22.2% 3.7% -0.7% 2.1M 22.8M -1.0M 1.71 72.03 N/A N/A 581 993 17,483 20,384 2023-01-25 $172.39 $172.50 22.7% 6.7% 17.5% 23.3% 23.1% 4.2% 0.0% 813.3K 33.0M -1.1M 0.78 39.19 N/A N/A 742 580 17,841 21,046 2023-01-26 $176.64 $175.00 21.1% 6.6% 15.2% 15.5% 24.4% 3.3% -0.4% 5.7M -10.9M -1.1M 0.32 53.63 N/A N/A 1,681 537 17,980 21,416 2023-01-27 $176.09 $175.00 21.3% 6.8% 15.3% 16.6% 22.8% 3.5% -0.3% 4.1M -6.8M -1.1M 0.64 68.58 N/A N/A 588 374 18,928 21,653 2023-01-30 $176.54 $175.00 23.2% 7.3% 15.3% 25.7% 25.5% 3.9% 0.1% 4.6M -10.4M -1.1M 0.63 70.18 N/A N/A 1,632 1,026 17,729 20,506 2023-01-31 $175.67 $175.00 23.2% 7.6% 15.3% 25.6% 25.8% 3.5% -0.3% 4.7M -1.9M -1.1M 0.93 70.17 N/A N/A 321 300 19,040 21,033
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