CME Options History — June 2023 In June 2023, CME traded between $177.69 and $185.92. ATM implied volatility averaged 16.5%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 3.8% (HV 20d: 20.3%). Max pain ranged from $180.00 to $180.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.67.
Notable Days 2023-06-07 : Highest Volume — 11,304 contracts2023-06-26 : Largest IV spike — 12.3% change2023-06-26 : Highest IV Rank — 14.9%2023-06-12 : Largest Expected Move — 5.1%Monthly Statistics Metric Avg Min Max Open Close Price $182.35 $177.69 $185.92 $179.58 $185.80 Max Pain $180.00 $180.00 $180.00 $180.00 $180.00 ATM IV 16.5% 15.6% 18.4% 16.9% 16.0% Expected Move 4.7% 4.0% 5.1% 5.0% 4.0% HV 20d 20.3% 13.3% 23.3% 13.3% 23.3% HV 60d 17.7% 16.7% 20.2% 19.0% 17.5% IV Rank 4.5% 0.0% 14.9% 0.0% 1.8% IV Percentile 2.4% 0.0% 9.1% 0.0% 1.6% Term Structure 0.4% -2.0% 2.7% -0.3% 0.5% VWIV 16.9% 14.4% 19.0% 18.4% 14.4% Skew 25d 3.2% 0.3% 5.0% 4.4% 2.2% Skew 10d 6.9% 2.0% 11.4% 6.9% 2.0% Call IV 25d 15.3% 13.2% 17.5% 15.7% 15.2% Put IV 25d 18.6% 17.0% 21.5% 20.1% 17.4% Bid-Ask Spread % 53.27 27.86 72.93 33.01 64.49 Gamma HHI 0.10 0.08 0.14 0.09 0.13 Net GEX 2.4M -3.3M 6.8M -2.0M 6.4M Net DEX 2.0M -49.2M 65.3M 29.5M -49.2M Net VEX -1.1M -1.2M -626.2K -1.2M -1.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.67 0.10 1.13 0.88 0.31 Total Volume 1,880.571 537 11,304 695 1,649 Total OI 45,463.19 35,947 52,906 49,336 40,609
Daily Data (21 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 2023-06-01 $179.58 $180.00 16.9% 5.0% 13.3% 0.0% 18.4% 4.4% -0.3% -2.0M 29.5M -1.2M 0.88 33.01 N/A N/A 369 326 22,938 26,398 2023-06-02 $185.49 $180.00 15.7% 4.5% 17.1% 0.0% 16.1% 3.6% 0.7% 3.2M -36.8M -1.2M 0.69 27.86 N/A N/A 1,527 1,053 22,992 26,474 2023-06-05 $185.92 $180.00 16.8% 4.9% 17.0% 6.1% 16.5% 3.6% -0.1% 4.1M -40.2M -1.2M 0.57 61.93 N/A N/A 838 479 22,694 26,301 2023-06-06 $184.47 $180.00 16.1% 4.7% 17.2% 2.6% 17.2% 3.1% 0.3% 3.5M -25.9M -1.1M 0.61 56.66 N/A N/A 537 329 23,008 26,265 2023-06-07 $182.37 $180.00 16.9% 4.9% 17.5% 7.0% 17.1% 2.7% 0.4% 1.0M 2.2M -1.1M 0.10 46.64 N/A N/A 10,301 1,003 22,955 26,418 2023-06-08 $185.47 $180.00 15.6% 4.7% 18.6% 0.0% 15.4% 2.2% 0.6% 4.6M -25.8M -1.2M 0.44 67.10 N/A N/A 1,202 532 23,103 27,299 2023-06-09 $184.76 $180.00 15.8% 4.6% 18.2% 1.1% 15.6% 3.6% 0.3% 6.8M -24.4M -1.2M 0.87 50.39 N/A N/A 895 782 24,047 27,412 2023-06-12 $179.38 $180.00 16.4% 5.1% 20.8% 4.3% 19.0% 2.6% 1.6% -1.5M 50.7M -1.1M 1.13 45.66 N/A N/A 1,196 1,346 23,492 26,919 2023-06-13 $177.69 $180.00 16.0% 4.8% 21.0% 2.3% 18.6% 5.0% 0.8% -3.3M 65.3M -1.1M 0.46 48.56 N/A N/A 985 449 23,817 27,413 2023-06-14 $181.28 $180.00 17.1% 5.1% 21.9% 8.1% 19.0% 2.7% 0.7% 1.1M 18.6M -1.1M 0.69 72.93 N/A N/A 1,166 802 24,290 27,735 2023-06-15 $182.06 $180.00 17.5% 5.1% 21.9% 10.2% 18.1% 3.3% 0.5% 1.6M 12.7M -1.2M 0.90 51.05 N/A N/A 483 436 24,460 28,236 2023-06-16 $183.31 $180.00 15.9% 4.5% 21.9% 1.5% 15.8% 0.3% -0.4% 2.8M -1.9M -1.2M 0.65 60.41 N/A N/A 1,098 716 24,569 28,337 2023-06-20 $182.99 $180.00 16.1% 4.6% 21.9% 2.5% 17.8% 4.5% -1.3% 3.7M -5.8M -1.2M 0.70 69.27 N/A N/A 885 621 17,106 18,841 2023-06-21 $181.01 $180.00 16.7% 4.8% 22.2% 5.9% 15.5% 3.6% 2.7% 2.3M 12.6M -1.1M 0.58 39.60 N/A N/A 608 351 18,080 19,300 2023-06-22 $182.07 $180.00 16.0% 4.5% 21.7% 2.2% 16.1% 3.4% 2.3% 3.7M 2.7M -1.2M 1.10 53.10 N/A N/A 256 281 18,522 19,473 2023-06-23 $181.80 $180.00 16.4% 4.5% 21.7% 4.0% 17.0% 3.5% 2.1% 3.2M 5.2M -1.2M 0.77 50.07 N/A N/A 468 358 18,651 19,658 2023-06-26 $179.01 $180.00 18.4% 4.8% 21.9% 14.9% 17.1% 4.1% -2.0% 9.9K 33.2M -1.1M 0.50 65.35 N/A N/A 1,472 730 18,439 19,508 2023-06-27 $178.57 $180.00 16.6% 4.8% 21.8% 5.5% 18.0% 4.2% 0.1% -280.2K 33.2M -1.1M 1.10 57.05 N/A N/A 467 514 19,136 19,901 2023-06-28 $182.99 $180.00 17.3% 4.4% 23.3% 8.9% 15.0% 2.2% -0.9% 4.8M -11.0M -1.2M 0.41 53.87 N/A N/A 704 286 19,380 20,194 2023-06-29 $183.30 $180.00 16.8% 4.4% 23.0% 6.3% 17.0% 3.3% 0.2% 4.1M -1.8M -626.2K 0.55 43.75 N/A N/A 638 354 19,886 20,471 2023-06-30 $185.80 $180.00 16.0% 4.0% 23.3% 1.8% 14.4% 2.2% 0.5% 6.4M -49.2M -1.2M 0.31 64.49 N/A N/A 1,257 392 19,981 20,628
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