CME Options History — May 2023

In May 2023, CME traded between $176.69 and $186.58. ATM implied volatility averaged 19.8%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 5.3% (HV 20d: 14.5%). Max pain ranged from $180.00 to $190.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.16.

Notable Days

  • 2023-05-30: Highest Volume — 2,531 contracts
  • 2023-05-02: Largest IV spike — 13.5% change
  • 2023-05-25: Highest IV Rank — 28.5%
  • 2023-05-04: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$182.40$176.69$186.58$186.58$180.20
Max Pain$181.36$180.00$190.00$190.00$180.00
ATM IV19.8%18.1%22.5%18.1%18.2%
Expected Move5.7%4.8%6.3%4.8%5.3%
HV 20d14.5%13.1%15.3%13.1%15.3%
HV 60d19.6%18.8%22.6%22.1%19.3%
IV Rank10.2%0.8%28.5%0.8%2.1%
IV Percentile8.2%0.4%29.8%0.4%2.0%
Term Structure0.4%-3.2%3.2%2.7%1.4%
VWIV20.7%18.1%29.9%18.1%18.8%
Skew 25d4.4%2.2%6.7%4.0%4.2%
Skew 10d9.5%5.3%16.5%8.5%7.8%
Call IV 25d18.1%16.3%19.7%16.3%16.9%
Put IV 25d22.5%20.3%26.1%20.3%21.0%
Bid-Ask Spread %53.7720.7075.4844.0720.70
Gamma HHI0.100.080.170.120.08
Net GEX1.1M-2.4M7.7M3.3M-1.4M
Net DEX7.1M-33.7M58.0M-33.7M24.8M
Net VEX-1.3M-1.4M-1.1M-1.3M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.353.322.771.00
Total Volume1,117.8184522,5312,212815
Total OI47,826.45546,13448,92746,13448,927

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-05-01$186.58$190.0018.1%4.8%13.1%0.8%18.1%4.0%2.7%3.3M-33.7M-1.3M2.7744.07N/AN/A5871,62521,61024,524
2023-05-02$185.70$190.0020.5%5.9%13.1%12.5%19.5%4.7%0.0%2.7M-22.9M-1.4M1.4362.39N/AN/A38254621,96524,818
2023-05-03$181.63$190.0021.2%5.9%14.2%16.0%22.2%4.7%0.6%-622.5K21.5M-1.3M1.0475.48N/AN/A34736022,09325,112
2023-05-04$184.09$180.0021.0%6.3%14.2%15.2%22.1%4.9%3.2%1.7M-8.1M-1.4M0.5368.55N/AN/A79441722,24125,151
2023-05-05$184.93$180.0020.2%5.9%14.5%11.3%20.8%4.4%1.4%7.7M-18.5M-1.3M0.4568.28N/AN/A89840422,77625,366
2023-05-08$185.86$180.0020.8%5.9%14.4%14.3%20.0%4.0%-0.3%4.3M-28.5M-1.3M0.3549.38N/AN/A1,26844322,50825,108
2023-05-09$184.92$180.0021.4%5.9%14.4%16.8%20.7%4.6%-1.1%3.7M-17.1M-1.3M0.8628.40N/AN/A37732522,94125,292
2023-05-10$185.43$180.0019.9%5.8%14.4%9.7%20.5%3.6%0.8%4.1M-21.5M-1.3M0.5540.22N/AN/A45925123,02225,348
2023-05-11$183.35$180.0019.3%5.6%14.5%6.6%19.7%3.4%0.3%1.4M-405.5K-1.3M0.7757.77N/AN/A37128723,25325,373
2023-05-12$184.60$180.0018.9%5.5%14.7%5.1%20.8%2.2%1.5%6.2M-10.4M-1.3M0.9060.20N/AN/A54348623,25725,415
2023-05-15$184.35$180.0019.1%5.5%14.6%6.1%19.2%4.6%0.6%2.2M-11.1M-1.3M0.4158.20N/AN/A43417822,75325,193
2023-05-16$181.75$180.0020.4%5.9%15.2%13.9%20.5%4.7%0.4%-399.2K13.4M-1.3M1.2463.93N/AN/A36044522,94125,167
2023-05-17$182.45$180.0019.6%5.6%15.1%9.7%20.3%4.5%-0.6%-229.7K7.7M-1.3M1.8551.32N/AN/A22842123,06325,407
2023-05-18$181.37$180.0019.3%5.6%14.8%8.0%20.1%4.8%-0.8%-1.9M24.8M-1.2M1.3651.81N/AN/A45361423,12025,590
2023-05-19$181.68$180.0019.3%5.5%14.8%8.1%18.8%4.8%0.0%-908.8K18.7M-1.2M0.9355.45N/AN/A81275723,19225,597
2023-05-22$182.10$180.0018.7%5.3%14.5%4.7%18.3%3.9%0.5%395.0K8.8M-1.2M0.5048.82N/AN/A84442421,92024,657
2023-05-23$179.56$180.0018.1%5.5%15.0%1.6%20.1%3.8%0.5%-808.5K29.1M-1.2M1.1456.51N/AN/A21124122,19824,896
2023-05-24$179.99$180.0019.9%5.9%14.0%12.5%22.9%4.1%0.5%-540.5K27.6M-1.2M1.6270.10N/AN/A43370122,32625,046
2023-05-25$177.48$180.0022.5%6.1%14.7%28.5%29.9%6.7%-3.2%-2.3M50.7M-1.2M3.3266.00N/AN/A22374122,51725,340
2023-05-26$176.69$180.0020.4%5.6%14.5%15.4%20.0%4.5%1.3%-2.4M58.0M-1.2M0.6348.23N/AN/A95260422,61125,369
2023-05-30$177.99$180.0018.7%5.6%14.4%5.0%21.7%6.5%-0.9%-1.7M44.3M-1.1M1.8137.13N/AN/A9001,63122,16325,016
2023-05-31$180.20$180.0018.2%5.3%15.3%2.1%18.8%4.2%1.4%-1.4M24.8M-1.2M1.0020.70N/AN/A40740822,68626,241