CME Options History — August 2023 In August 2023, CME traded between $199.23 and $207.98. ATM implied volatility averaged 16.6%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 1.3% (HV 20d: 17.9%). Max pain ranged from $185.00 to $190.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.61.
Notable Days 2023-08-28 : Highest Volume — 5,744 contracts2023-08-08 : Largest IV spike — 17.0% change2023-08-08 : Highest IV Rank — 25.8%2023-08-10 : Largest Expected Move — 5.4%Monthly Statistics Metric Avg Min Max Open Close Price $203.53 $199.23 $207.98 $199.78 $202.87 Max Pain $188.91 $185.00 $190.00 $190.00 $190.00 ATM IV 16.6% 14.4% 18.9% 14.6% 14.4% Expected Move 4.7% 4.1% 5.4% 4.1% 4.1% HV 20d 17.9% 14.8% 21.2% 18.3% 14.8% HV 60d 18.9% 18.0% 19.3% 18.5% 18.0% IV Rank 14.7% 3.9% 25.8% 4.8% 3.9% IV Percentile 9.0% 0.4% 20.2% 1.2% 0.4% Term Structure 0.0% -2.1% 1.7% 0.8% 0.1% VWIV 16.9% 13.6% 18.8% 15.6% 14.5% Skew 25d 3.1% 1.0% 4.1% 1.4% 3.0% Skew 10d 6.4% 4.2% 9.2% 6.6% 6.2% Call IV 25d 15.4% 13.2% 19.4% 13.2% 13.9% Put IV 25d 18.5% 14.6% 20.5% 14.6% 16.9% Bid-Ask Spread % 57.14 29.96 73.94 71.89 73.78 Gamma HHI 0.13 0.11 0.15 0.13 0.13 Net GEX 9.3M 4.5M 13.0M 8.8M 13.0M Net DEX -186.1M -253.3M -91.2M -153.5M -210.7M Net VEX -1.4M -1.5M -1.3M -1.3M -1.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.61 0.09 1.75 0.63 0.52 Total Volume 1,650.522 286 5,744 1,049 675 Total OI 49,197.261 44,413 53,306 44,413 53,306
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 2023-08-01 $199.78 $190.00 14.6% 4.1% 18.3% 4.8% 15.6% 1.4% 0.8% 8.8M -153.5M -1.3M 0.63 71.89 N/A N/A 645 404 21,206 23,207 2023-08-02 $199.23 $190.00 16.2% 4.5% 17.8% 12.5% 16.2% 3.8% -0.1% 8.8M -146.2M -1.3M 0.80 73.94 N/A N/A 632 507 21,653 23,331 2023-08-03 $202.57 $185.00 16.4% 4.9% 18.0% 13.7% 16.0% 3.4% 0.2% 9.0M -184.7M -1.4M 0.21 59.80 N/A N/A 2,464 517 21,870 23,599 2023-08-04 $205.11 $185.00 16.9% 4.4% 17.7% 15.8% 17.6% 3.2% 0.1% 10.1M -221.9M -1.4M 0.16 47.55 N/A N/A 4,411 724 23,039 23,909 2023-08-07 $207.98 $185.00 16.2% 4.5% 17.5% 12.5% 16.5% 3.4% -0.7% 11.7M -253.3M -1.3M 0.78 66.88 N/A N/A 820 636 24,141 23,945 2023-08-08 $205.79 $185.00 18.9% 5.0% 18.5% 25.8% 18.7% 1.0% -1.6% 11.1M -217.7M -1.4M 1.27 68.21 N/A N/A 606 767 24,476 24,289 2023-08-09 $207.26 $185.00 17.3% 4.8% 18.0% 18.2% 18.8% 2.4% -2.1% 11.5M -236.3M -1.4M 0.55 67.91 N/A N/A 1,193 656 24,866 24,789 2023-08-10 $203.91 $190.00 18.1% 5.4% 19.7% 21.8% 17.9% 3.6% 1.2% 10.8M -191.4M -1.4M 0.29 40.75 N/A N/A 733 213 25,227 25,212 2023-08-11 $205.83 $190.00 16.9% 4.5% 19.2% 16.0% 17.1% 3.9% -1.9% 10.3M -216.7M -1.4M 1.06 29.96 N/A N/A 301 319 25,298 25,311 2023-08-14 $206.24 $190.00 16.1% 4.5% 18.9% 12.3% 18.8% 3.9% 1.6% 9.8M -211.7M -1.4M 1.51 61.04 N/A N/A 206 311 24,719 24,915 2023-08-15 $205.20 $190.00 16.6% 4.7% 19.2% 14.6% 18.1% 3.9% 1.7% 8.9M -200.1M -1.4M 1.08 40.78 N/A N/A 386 416 24,768 25,067 2023-08-16 $206.02 $190.00 16.1% 4.6% 19.1% 12.3% 17.2% 4.1% 1.4% 9.3M -210.4M -1.4M 0.47 36.00 N/A N/A 195 91 24,963 25,256 2023-08-17 $204.07 $190.00 18.4% 5.3% 19.8% 23.5% 18.2% 4.1% -1.3% 8.2M -185.1M -1.4M 0.53 34.55 N/A N/A 898 477 25,029 25,299 2023-08-18 $203.94 $190.00 18.1% 5.2% 19.8% 21.7% 17.9% 4.0% -0.7% 6.7M -176.7M -1.4M 0.48 69.52 N/A N/A 815 388 24,962 25,531 2023-08-21 $203.28 $190.00 16.0% 4.6% 19.7% 11.7% 16.5% 3.5% 0.2% 7.1M -142.6M -1.4M 1.75 64.58 N/A N/A 338 592 22,452 23,912 2023-08-22 $199.31 $190.00 17.7% 5.2% 21.2% 19.9% 18.4% 2.9% 0.8% 4.5M -91.2M -1.4M 0.32 56.96 N/A N/A 2,495 791 22,587 24,362 2023-08-23 $200.55 $190.00 17.3% 5.0% 15.3% 17.8% 16.8% 2.6% 0.6% 5.7M -132.9M -1.5M 0.32 54.83 N/A N/A 861 279 24,577 24,710 2023-08-24 $200.51 $190.00 17.0% 5.2% 15.3% 16.6% 16.8% 2.4% -0.6% 6.1M -139.6M -1.4M 0.13 47.27 N/A N/A 711 91 25,097 24,849 2023-08-25 $203.31 $190.00 15.4% 4.8% 16.1% 8.8% 16.5% 1.3% 1.0% 8.9M -180.9M -1.4M 0.44 42.86 N/A N/A 1,094 477 25,546 24,874 2023-08-28 $203.33 $190.00 16.3% 4.7% 16.0% 13.0% 16.3% 3.9% 0.4% 9.9M -180.3M -1.4M 0.09 72.44 N/A N/A 5,274 470 25,155 24,762 2023-08-29 $202.75 $190.00 15.3% 4.3% 15.9% 8.4% 14.0% 3.2% -1.1% 12.1M -196.0M -1.4M 0.31 70.08 N/A N/A 1,912 588 27,307 25,049 2023-08-30 $202.40 $190.00 16.0% 4.1% 15.9% 11.8% 13.6% 2.5% 0.5% 12.3M -200.6M -1.4M 0.35 62.74 N/A N/A 433 150 27,931 25,184 2023-08-31 $202.87 $190.00 14.4% 4.1% 14.8% 3.9% 14.5% 3.0% 0.1% 13.0M -210.7M -1.4M 0.52 73.78 N/A N/A 444 231 28,065 25,241
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