CME Options History — July 2023

In July 2023, CME traded between $180.98 and $198.99. ATM implied volatility averaged 17.7%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 0.2% (HV 20d: 17.5%). Max pain ranged from $180.00 to $190.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.05.

Notable Days

  • 2023-07-26: Highest Volume — 4,470 contracts
  • 2023-07-26: Largest IV drop — 17.3% change
  • 2023-07-11: Highest IV Rank — 22.8%
  • 2023-07-19: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$188.04$180.98$198.99$186.06$198.44
Max Pain$184.88$180.00$190.00$180.00$190.00
ATM IV17.7%13.6%19.9%15.9%14.4%
Expected Move5.0%3.9%5.7%4.2%4.2%
HV 20d17.5%14.3%20.6%20.3%18.2%
HV 60d17.7%17.2%19.3%17.3%18.6%
IV Rank13.0%0.0%22.8%1.4%3.9%
IV Percentile10.6%0.0%21.0%1.2%0.4%
Term Structure-0.4%-1.7%0.7%0.3%-0.5%
VWIV17.5%13.8%19.7%15.5%15.5%
Skew 25d3.3%2.3%6.7%3.8%3.1%
Skew 10d7.0%2.1%11.1%2.1%6.1%
Call IV 25d16.2%10.0%18.7%14.0%13.4%
Put IV 25d19.5%15.1%21.3%17.9%16.4%
Bid-Ask Spread %60.9533.1579.7475.9878.49
Gamma HHI0.140.090.270.140.14
Net GEX6.3M121.7K12.0M8.2M8.9M
Net DEX-53.4M-165.4M19.8M-41.4M-139.4M
Net VEX-1.2M-1.3M-1.1M-1.2M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.442.831.871.12
Total Volume1,475.254054,4704051,089
Total OI42,368.839,78345,69439,78343,757

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-07-03$186.06$180.0015.9%4.2%20.3%1.4%15.5%3.8%0.3%8.2M-41.4M-1.2M1.8775.98N/AN/A14126419,35020,433
2023-07-05$184.32$180.0017.5%4.2%20.6%10.0%15.8%3.4%-0.1%6.4M-22.0M-1.2M0.6679.74N/AN/A76150019,42220,554
2023-07-06$183.25$185.0019.0%5.2%20.5%18.3%19.5%2.3%-1.7%4.5M-8.9M-1.2M0.7965.85N/AN/A33326219,91020,829
2023-07-07$182.38$185.0019.3%5.4%20.1%19.8%17.1%3.3%-0.8%5.0M578.9K-1.2M1.2962.33N/AN/A35445820,04221,077
2023-07-10$181.46$185.0019.8%5.5%19.2%22.6%18.5%3.0%-0.2%845.3K11.8M-1.2M0.7561.06N/AN/A33425019,74021,084
2023-07-11$181.98$185.0019.9%5.5%19.2%22.8%18.8%3.6%-0.4%1.3M7.6M-1.1M0.9657.76N/AN/A29628519,86521,227
2023-07-12$180.98$185.0019.0%5.3%16.1%18.1%18.9%3.7%-0.5%121.7K19.8M-1.1M2.7465.00N/AN/A4771,30720,02921,323
2023-07-13$182.86$185.0018.0%5.0%16.0%13.0%17.5%3.1%-0.4%3.1M-1.3M-1.2M0.4446.45N/AN/A61627320,23422,209
2023-07-14$186.18$185.0018.8%5.3%15.7%17.3%18.5%2.8%-0.4%8.0M-44.2M-1.2M0.7764.34N/AN/A1,03279620,44822,337
2023-07-17$185.43$185.0019.4%5.5%15.8%20.2%19.2%3.7%-0.2%6.2M-30.3M-1.2M0.7767.44N/AN/A1,16590120,15922,403
2023-07-18$186.96$185.0018.9%5.4%15.8%17.6%19.0%2.8%0.7%8.7M-48.3M-1.2M0.7141.37N/AN/A41029320,84823,062
2023-07-19$186.78$185.0019.7%5.7%15.8%22.1%19.7%3.4%-0.1%8.3M-47.2M-1.2M0.6449.51N/AN/A81052020,93023,202
2023-07-20$187.08$185.0018.5%5.3%15.2%15.7%17.3%2.9%-0.4%7.9M-46.5M-1.2M2.8353.70N/AN/A5131,45321,07123,509
2023-07-21$188.79$185.0017.6%5.0%15.4%10.5%17.5%3.2%0.0%12.0M-59.0M-1.2M0.8648.52N/AN/A56348521,21424,480
2023-07-24$190.99$185.0018.0%5.2%15.7%12.8%18.0%2.8%-0.1%5.5M-66.8M-1.2M0.4967.18N/AN/A99649019,06821,481
2023-07-25$190.47$185.0017.6%5.3%14.3%10.5%18.6%2.9%-1.6%5.8M-62.9M-1.2M0.7171.70N/AN/A1,12880419,61621,658
2023-07-26$198.64$185.0014.5%4.3%19.7%0.0%14.8%6.7%-1.1%8.2M-160.1M-1.2M0.5374.07N/AN/A2,9211,54920,10922,207
2023-07-27$198.70$185.0015.4%4.3%18.4%4.4%15.8%2.5%-0.0%9.2M-163.7M-1.3M1.3833.15N/AN/A1,0431,44021,21422,851
2023-07-28$198.99$187.5013.6%3.9%18.4%0.0%13.8%2.5%-0.1%8.5M-165.4M-1.3M0.7655.40N/AN/A1,24794621,30523,119
2023-07-31$198.44$190.0014.4%4.2%18.2%3.9%15.5%3.1%-0.5%8.9M-139.4M-1.3M1.1278.49N/AN/A51357621,01322,744