CME Options History — February 2023 In February 2023, CME traded between $174.27 and $188.86. ATM implied volatility averaged 20.7%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 1.3% (HV 20d: 22.0%). Max pain ranged from $175.00 to $175.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.77.
Notable Days 2023-02-08 : Highest Volume — 6,673 contracts2023-02-08 : Largest IV drop — 11.4% change2023-02-06 : Highest IV Rank — 27.9%2023-02-01 : Largest Expected Move — 7.2%Monthly Statistics Metric Avg Min Max Open Close Price $183.77 $174.27 $188.86 $176.95 $185.64 Max Pain $175.00 $175.00 $175.00 $175.00 $175.00 ATM IV 20.7% 18.8% 23.7% 22.2% 20.2% Expected Move 6.0% 5.4% 7.2% 7.2% 6.0% HV 20d 22.0% 12.0% 25.0% 15.4% 24.3% HV 60d 20.1% 17.8% 21.3% 18.3% 20.5% IV Rank 13.6% 4.5% 27.9% 21.0% 11.2% IV Percentile 5.0% 1.2% 25.0% 8.3% 4.0% Term Structure -0.0% -0.8% 1.1% 0.6% 0.4% VWIV 21.4% 19.2% 25.6% 25.2% 21.2% Skew 25d 3.9% 3.0% 5.2% 5.1% 3.4% Skew 10d 8.4% 6.1% 13.6% 11.6% 7.8% Call IV 25d 19.1% 17.6% 21.9% 20.0% 18.7% Put IV 25d 23.0% 21.3% 26.5% 25.2% 22.1% Bid-Ask Spread % 63.23 35.21 78.79 78.79 72.61 Gamma HHI 0.16 0.12 0.22 0.16 0.14 Net GEX 8.3M 2.4M 13.0M 6.2M 6.5M Net DEX -92.0M -175.1M 15.9M -19.6M -87.8M Net VEX -1.2M -1.3M -1.1M -1.1M -1.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.77 0.30 1.99 0.87 1.28 Total Volume 2,165.158 701 6,673 1,524 1,878 Total OI 44,970.105 40,541 48,509 40,541 46,000
Daily Data (19 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 2023-02-01 $176.95 $175.00 22.2% 7.2% 15.4% 21.0% 25.2% 5.1% 0.6% 6.2M -19.6M -1.1M 0.87 78.79 N/A N/A 815 709 19,182 21,359 2023-02-02 $175.31 $175.00 20.9% 6.3% 15.9% 14.8% 22.4% 3.6% 1.1% 4.2M 6.3M -1.1M 0.57 76.12 N/A N/A 1,175 669 19,427 21,761 2023-02-03 $175.55 $175.00 22.2% 6.4% 15.9% 20.8% 22.2% 3.8% 0.2% 6.4M 3.4M -1.2M 0.30 74.32 N/A N/A 1,371 405 19,675 22,118 2023-02-06 $174.27 $175.00 23.7% 6.7% 12.0% 27.9% 24.3% 4.2% -0.4% 2.4M 15.9M -1.1M 0.97 73.56 N/A N/A 355 346 19,190 21,771 2023-02-07 $177.82 $175.00 22.8% 6.5% 14.0% 23.8% 25.6% 5.2% 0.2% 4.5M -22.9M -1.2M 0.57 71.64 N/A N/A 2,540 1,456 19,418 22,042 2023-02-08 $187.89 $175.00 20.2% 5.8% 23.8% 11.2% 22.4% 3.6% 0.6% 9.4M -161.0M -1.2M 0.34 45.33 N/A N/A 4,973 1,700 21,032 23,102 2023-02-09 $184.02 $175.00 21.0% 6.1% 25.0% 15.3% 21.1% 4.4% 0.4% 11.7M -117.2M -1.2M 0.67 70.46 N/A N/A 2,118 1,426 22,978 23,541 2023-02-10 $184.32 $175.00 20.6% 5.9% 25.0% 13.2% 21.4% 3.8% 0.2% 12.3M -119.5M -1.2M 0.72 70.19 N/A N/A 1,599 1,150 23,543 24,316 2023-02-13 $185.75 $175.00 21.1% 6.0% 25.0% 15.7% 20.9% 4.5% -0.7% 10.8M -127.7M -1.3M 0.68 39.02 N/A N/A 1,627 1,111 22,700 23,553 2023-02-14 $186.57 $175.00 20.3% 5.8% 25.0% 11.8% 19.3% 4.2% -0.6% 11.7M -141.4M -1.3M 0.82 72.87 N/A N/A 477 391 23,350 24,237 2023-02-15 $187.39 $175.00 19.6% 5.6% 25.0% 8.4% 20.4% 3.6% 0.0% 12.1M -151.2M -1.3M 1.99 51.30 N/A N/A 298 593 23,533 24,383 2023-02-16 $188.21 $175.00 18.8% 5.4% 24.8% 4.5% 19.3% 3.4% -0.5% 13.0M -166.8M -1.3M 0.42 35.21 N/A N/A 1,070 453 23,561 24,481 2023-02-17 $188.86 $175.00 19.0% 5.4% 24.7% 5.2% 19.6% 4.0% 0.2% 8.9M -175.1M -1.3M 0.40 35.37 N/A N/A 2,262 901 23,816 24,693 2023-02-21 $188.03 $175.00 19.9% 6.0% 24.7% 9.6% 20.7% 3.4% -0.4% 7.9M -111.5M -1.3M 0.97 46.37 N/A N/A 470 457 20,870 23,130 2023-02-22 $186.46 $175.00 21.0% 5.9% 24.8% 15.0% 22.3% 3.8% -0.8% 7.1M -93.6M -1.3M 0.49 67.93 N/A N/A 1,110 540 21,101 23,425 2023-02-23 $186.96 $175.00 20.0% 5.6% 24.7% 10.4% 19.5% 3.0% -0.3% 8.1M -102.0M -1.3M 0.78 70.80 N/A N/A 902 703 21,707 23,871 2023-02-24 $187.13 $175.00 19.6% 5.6% 23.5% 8.5% 19.7% 3.3% -0.4% 9.1M -103.5M -1.3M 0.39 75.01 N/A N/A 1,185 457 21,948 24,215 2023-02-27 $184.46 $175.00 19.9% 5.6% 24.2% 9.6% 19.2% 3.7% -0.2% 5.5M -73.8M -1.3M 1.43 74.41 N/A N/A 595 851 21,663 23,740 2023-02-28 $185.64 $175.00 20.2% 6.0% 24.3% 11.2% 21.2% 3.4% 0.4% 6.5M -87.8M -1.3M 1.28 72.61 N/A N/A 822 1,056 21,919 24,081
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