CME Options History — March 2023 In March 2023, CME traded between $174.34 and $190.82. ATM implied volatility averaged 23.9%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 0.3% (HV 20d: 24.2%). Max pain ranged from $175.00 to $185.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.87.
Notable Days 2023-03-08 : Highest Volume — 4,388 contracts2023-03-17 : Largest IV spike — 20.6% change2023-03-17 : Highest IV Rank — 55.1%2023-03-15 : Largest Expected Move — 8.0%Monthly Statistics Metric Avg Min Max Open Close Price $183.91 $174.34 $190.82 $184.41 $190.82 Max Pain $183.70 $175.00 $185.00 $175.00 $185.00 ATM IV 23.9% 18.3% 29.3% 20.1% 23.9% Expected Move 6.6% 5.3% 8.0% 5.8% 5.8% HV 20d 24.2% 15.0% 27.1% 24.4% 27.0% HV 60d 21.7% 19.9% 22.9% 20.5% 22.5% IV Rank 29.1% 2.1% 55.1% 10.7% 29.3% IV Percentile 36.8% 0.8% 75.4% 4.0% 34.9% Term Structure 0.3% -2.5% 3.6% -0.0% 0.6% VWIV 23.1% 18.9% 28.4% 20.9% 19.9% Skew 25d 4.7% 2.3% 6.6% 3.6% 4.7% Skew 10d 10.2% 5.2% 16.5% 7.1% 12.9% Call IV 25d 21.9% 17.0% 25.8% 19.0% 22.2% Put IV 25d 26.6% 19.9% 31.9% 22.6% 26.9% Bid-Ask Spread % 57.55 40.97 73.06 58.55 63.59 Gamma HHI 0.12 0.07 0.26 0.13 0.15 Net GEX 4.2M -2.9M 12.0M 5.7M 6.8M Net DEX -48.6M -108.0M 47.5M -75.0M -107.1M Net VEX -1.4M -1.5M -1.2M -1.3M -1.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.87 0.24 1.45 1.08 1.45 Total Volume 1,905.739 356 4,388 356 4,122 Total OI 45,709.87 41,224 51,035 46,984 45,522
Daily Data (23 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 2023-03-01 $184.41 $175.00 20.1% 5.8% 24.4% 10.7% 20.9% 3.6% -0.0% 5.7M -75.0M -1.3M 1.08 58.55 N/A N/A 171 185 22,649 24,335 2023-03-02 $186.34 $175.00 19.7% 5.5% 24.5% 8.8% 20.3% 3.5% -0.7% 7.8M -104.3M -1.3M 0.80 51.39 N/A N/A 311 248 22,706 24,451 2023-03-03 $185.03 $175.00 18.3% 5.5% 24.3% 2.1% 18.9% 2.9% -0.1% 4.4M -85.5M -1.3M 0.63 73.06 N/A N/A 1,027 651 22,692 24,551 2023-03-06 $184.78 $185.00 18.4% 5.3% 24.4% 2.6% 19.0% 2.7% 0.5% 6.3M -74.9M -1.3M 0.92 57.28 N/A N/A 714 657 21,853 24,217 2023-03-07 $181.97 $185.00 19.9% 5.8% 25.0% 9.9% 19.5% 2.8% -0.2% 3.8M -39.9M -1.3M 0.39 65.46 N/A N/A 942 370 21,939 24,569 2023-03-08 $181.94 $185.00 20.7% 6.0% 24.0% 13.6% 21.7% 2.3% -1.1% 2.3M -32.3M -1.2M 0.49 66.38 N/A N/A 2,943 1,445 21,853 24,874 2023-03-09 $177.64 $185.00 21.8% 6.4% 15.3% 18.9% 23.0% 3.5% -0.9% -1.0M 27.2M -1.3M 1.01 66.66 N/A N/A 805 814 20,807 24,815 2023-03-10 $174.34 $185.00 26.0% 7.0% 15.0% 39.1% 24.7% 6.1% -0.2% -2.9M 47.5M -1.3M 1.42 56.56 N/A N/A 1,344 1,911 20,904 24,449 2023-03-13 $180.70 $185.00 28.6% 7.8% 20.3% 52.0% 24.8% 4.0% -0.8% 2.5M -16.4M -1.4M 0.34 63.71 N/A N/A 2,916 989 20,712 25,033 2023-03-14 $184.97 $185.00 25.5% 7.3% 21.9% 36.9% 24.5% 5.9% -0.3% 7.5M -72.1M -1.4M 0.90 63.47 N/A N/A 983 889 22,790 25,411 2023-03-15 $182.13 $185.00 28.3% 8.0% 22.4% 50.4% 28.4% 6.0% -0.1% 4.4M -31.8M -1.4M 1.31 62.04 N/A N/A 624 818 23,221 25,801 2023-03-16 $187.89 $185.00 24.3% 6.8% 25.2% 31.0% 23.2% 4.4% -0.7% 12.0M -108.0M -1.4M 0.24 62.91 N/A N/A 2,354 569 23,457 26,078 2023-03-17 $186.99 $185.00 29.3% 7.9% 25.2% 55.1% 28.3% 6.6% -2.5% 6.8M -96.0M -1.5M 0.73 61.56 N/A N/A 1,572 1,153 24,761 26,274 2023-03-20 $184.44 $185.00 24.7% 7.0% 25.6% 33.1% 24.5% 6.3% 3.6% 2.5M -37.5M -1.4M 0.87 49.50 N/A N/A 821 715 19,745 21,479 2023-03-21 $183.01 $185.00 23.2% 6.6% 25.7% 25.7% 22.0% 5.1% 1.6% 2.1M -23.9M -1.4M 0.64 42.77 N/A N/A 1,119 713 20,231 21,988 2023-03-22 $180.93 $185.00 23.1% 6.6% 25.8% 25.2% 24.2% 4.5% 2.4% 898.1K -5.3M -1.4M 1.02 59.50 N/A N/A 627 640 20,608 22,452 2023-03-23 $179.65 $185.00 27.4% 7.7% 25.8% 45.8% 27.3% 6.4% 2.3% 181.7K 9.3M -1.4M 1.26 49.38 N/A N/A 879 1,110 20,717 22,769 2023-03-24 $183.53 $185.00 25.9% 7.2% 27.1% 38.5% 26.0% 5.3% 2.4% 2.0M -24.6M -1.4M 0.62 53.19 N/A N/A 801 500 21,170 23,609 2023-03-27 $185.18 $185.00 26.2% 6.6% 26.8% 40.1% 23.4% 6.0% -0.4% 4.0M -48.4M -1.4M 0.78 57.78 N/A N/A 329 255 20,921 22,516 2023-03-28 $187.41 $185.00 25.5% 6.3% 27.1% 36.7% 23.7% 4.8% 0.3% 5.4M -66.6M -1.4M 1.32 45.27 N/A N/A 343 452 21,087 22,587 2023-03-29 $186.92 $185.00 25.0% 6.1% 27.0% 34.5% 23.7% 5.1% 0.2% 5.8M -67.1M -1.4M 0.71 40.97 N/A N/A 749 535 21,281 22,771 2023-03-30 $188.92 $185.00 23.8% 5.9% 27.0% 28.4% 20.1% 4.7% 0.0% 6.6M -85.6M -1.4M 1.16 52.56 N/A N/A 796 921 21,537 23,135 2023-03-31 $190.82 $185.00 23.9% 5.8% 27.0% 29.3% 19.9% 4.7% 0.6% 6.8M -107.1M -1.4M 1.45 63.59 N/A N/A 1,682 2,440 21,897 23,625
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