CME Options History — April 2023 In April 2023, CME traded between $184.21 and $195.21. ATM implied volatility averaged 22.3%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 4.1% (HV 20d: 18.2%). Max pain ranged from $185.00 to $190.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.83.
Notable Days 2023-04-26 : Highest Volume — 2,759 contracts2023-04-26 : Largest IV drop — 13.0% change2023-04-12 : Highest IV Rank — 36.0%2023-04-11 : Largest Expected Move — 6.9%Monthly Statistics Metric Avg Min Max Open Close Price $190.16 $184.21 $195.21 $190.43 $185.09 Max Pain $189.21 $185.00 $190.00 $185.00 $190.00 ATM IV 22.3% 18.1% 25.3% 23.4% 18.1% Expected Move 6.2% 4.9% 6.9% 5.7% 4.9% HV 20d 18.2% 13.0% 27.0% 27.0% 13.3% HV 60d 22.1% 21.8% 22.5% 22.5% 22.1% IV Rank 21.4% 0.9% 36.0% 26.4% 0.9% IV Percentile 22.8% 0.4% 50.0% 28.2% 0.4% Term Structure -0.5% -4.2% 2.5% 0.0% -0.1% VWIV 22.0% 18.7% 25.4% 19.8% 19.4% Skew 25d 4.4% 3.6% 6.2% 4.8% 4.5% Skew 10d 9.1% 5.3% 13.0% 10.2% 10.0% Call IV 25d 20.3% 15.7% 23.1% 21.0% 15.7% Put IV 25d 24.7% 20.2% 28.7% 25.8% 20.2% Bid-Ask Spread % 60.37 41.78 72.45 67.93 72.45 Gamma HHI 0.12 0.08 0.22 0.11 0.22 Net GEX 4.3M -5.1M 7.8M 4.6M -5.1M Net DEX -71.1M -137.2M -5.3M -84.1M -12.9M Net VEX -1.4M -1.5M -1.3M -1.4M -1.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.83 0.31 1.38 0.92 1.37 Total Volume 1,501.737 566 2,759 876 1,737 Total OI 47,229.632 44,280 49,055 46,197 47,553
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 2023-04-03 $190.43 $185.00 23.4% 5.7% 27.0% 26.4% 19.8% 4.8% 0.0% 4.6M -84.1M -1.4M 0.92 67.93 N/A N/A 457 419 21,428 24,769 2023-04-04 $192.68 $185.00 23.8% 5.8% 26.5% 28.4% 20.7% 4.4% -0.1% 5.8M -112.1M -1.4M 0.76 57.59 N/A N/A 1,470 1,110 21,586 24,928 2023-04-05 $195.21 $185.00 24.1% 5.7% 26.7% 30.3% 20.3% 4.3% 0.3% 6.6M -137.2M -1.5M 0.88 67.33 N/A N/A 607 534 22,555 25,544 2023-04-06 $194.79 $190.00 23.3% 6.6% 24.8% 26.1% 25.0% 3.8% -0.9% 7.5M -132.6M -1.5M 0.77 65.60 N/A N/A 1,018 787 22,758 25,913 2023-04-10 $192.85 $190.00 24.1% 6.7% 23.9% 30.2% 24.1% 4.7% -0.6% 5.3M -97.2M -1.4M 0.31 55.14 N/A N/A 748 234 22,253 25,560 2023-04-11 $191.50 $190.00 24.9% 6.9% 21.3% 33.7% 25.4% 4.5% -1.0% 4.1M -81.4M -1.4M 1.08 41.78 N/A N/A 272 294 22,252 25,647 2023-04-12 $191.69 $190.00 25.3% 6.8% 19.8% 36.0% 23.1% 4.9% -1.3% 4.3M -81.6M -1.4M 0.88 62.95 N/A N/A 761 666 22,377 25,830 2023-04-13 $189.84 $190.00 23.7% 6.7% 19.3% 28.0% 23.3% 6.1% -0.5% 957.8K -63.6M -1.4M 1.23 59.13 N/A N/A 286 353 22,649 26,142 2023-04-14 $190.58 $190.00 22.2% 6.5% 16.0% 21.0% 23.4% 4.5% 1.6% 4.9M -72.9M -1.4M 0.61 47.82 N/A N/A 841 514 22,714 26,341 2023-04-17 $191.35 $190.00 22.3% 6.3% 15.9% 21.5% 21.4% 3.9% 2.5% 7.0M -83.2M -1.4M 0.75 55.11 N/A N/A 452 339 22,280 24,040 2023-04-18 $191.40 $190.00 21.6% 6.1% 14.9% 17.7% 23.2% 3.8% -2.0% 7.4M -88.0M -1.3M 0.69 60.79 N/A N/A 442 307 22,504 24,246 2023-04-19 $192.41 $190.00 21.1% 6.0% 14.5% 15.5% 20.0% 3.8% -1.5% 7.8M -98.5M -1.3M 0.89 49.32 N/A N/A 1,348 1,194 22,570 24,351 2023-04-20 $190.18 $190.00 21.0% 6.1% 14.5% 14.9% 21.1% 3.9% -1.2% 7.4M -72.4M -1.3M 0.95 58.37 N/A N/A 845 805 23,089 24,870 2023-04-21 $189.13 $190.00 20.3% 5.8% 14.4% 11.4% 22.7% 4.0% -0.4% 6.4M -50.9M -1.3M 0.55 52.53 N/A N/A 1,350 746 23,339 25,267 2023-04-24 $187.17 $190.00 21.7% 6.3% 13.2% 18.3% 20.3% 3.6% -0.4% 2.8M -30.6M -1.3M 0.48 67.25 N/A N/A 797 385 20,846 23,434 2023-04-25 $187.94 $190.00 23.7% 6.7% 13.0% 28.1% 23.3% 6.2% -4.2% 3.5M -39.2M -1.4M 0.56 67.29 N/A N/A 1,279 719 21,330 23,567 2023-04-26 $184.66 $190.00 20.6% 6.2% 13.8% 13.2% 23.4% 4.8% -0.9% 985.7K -7.6M -1.3M 1.38 68.42 N/A N/A 1,159 1,600 21,829 24,106 2023-04-27 $184.21 $190.00 19.0% 5.6% 13.8% 5.4% 18.7% 3.6% 0.6% 156.7K -5.3M -1.3M 0.61 70.28 N/A N/A 1,027 631 22,126 24,770 2023-04-28 $185.09 $190.00 18.1% 4.9% 13.3% 0.9% 19.4% 4.5% -0.1% -5.1M -12.9M -1.3M 1.37 72.45 N/A N/A 733 1,004 22,532 25,021
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