CME Options History — September 2023

In September 2023, CME traded between $199.62 and $207.66. ATM implied volatility averaged 16.6%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 6.0% (HV 20d: 10.6%). Max pain ranged from $185.00 to $195.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2023-09-06: Highest Volume — 13,053 contracts
  • 2023-09-21: Largest IV spike — 15.6% change
  • 2023-09-26: Highest IV Rank — 40.7%
  • 2023-09-26: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$203.87$199.62$207.66$203.00$200.16
Max Pain$194.25$185.00$195.00$190.00$195.00
ATM IV16.6%13.5%21.9%14.0%20.6%
Expected Move4.5%3.6%5.3%3.6%5.0%
HV 20d10.6%7.1%14.0%14.0%10.1%
HV 60d15.8%14.9%17.8%17.8%14.9%
IV Rank15.0%0.0%40.7%2.2%34.4%
IV Percentile17.3%0.0%57.5%0.4%47.6%
Term Structure0.6%-1.5%3.8%0.2%-0.2%
VWIV16.4%12.1%19.5%12.1%17.6%
Skew 25d3.3%1.2%4.5%2.0%3.7%
Skew 10d6.7%4.5%8.8%4.5%8.7%
Call IV 25d15.2%12.4%20.1%13.8%19.3%
Put IV 25d18.5%15.7%23.8%15.7%23.0%
Bid-Ask Spread %58.5730.6684.3147.1477.45
Gamma HHI0.160.130.230.150.14
Net GEX11.1M3.9M23.4M12.1M3.9M
Net DEX-183.5M-249.9M-106.5M-212.7M-117.4M
Net VEX-1.4M-1.5M-1.3M-1.4M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.082.000.240.47
Total Volume1,822.960113,0531,0801,410
Total OI50,389.2545,93553,42753,42751,029

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$203.00$190.0014.0%3.6%14.0%2.2%12.1%2.0%0.2%12.1M-212.7M-1.4M0.2447.14N/AN/A87220828,08125,346
2023-09-05$202.60$185.0014.3%4.6%13.0%3.4%16.8%1.2%0.5%12.7M-203.6M-1.4M0.4576.16N/AN/A1,65075027,34724,879
2023-09-06$203.88$195.0014.9%4.9%12.8%6.3%16.3%3.4%-0.2%14.0M-225.4M-1.4M0.0847.01N/AN/A12,0451,00828,03825,338
2023-09-07$205.18$195.0015.3%4.3%12.7%8.1%17.3%3.9%-0.1%15.2M-210.3M-1.4M0.7230.66N/AN/A1,14582926,77825,972
2023-09-08$204.84$195.0015.0%4.8%11.3%7.0%17.1%3.2%-0.0%23.4M-202.9M-1.4M0.7161.44N/AN/A47333426,98726,400
2023-09-11$205.30$195.0015.1%4.0%10.8%7.3%14.8%4.2%-1.5%13.9M-216.8M-1.4M0.7474.78N/AN/A46534326,18225,726
2023-09-12$205.93$195.0014.5%3.8%10.8%4.6%16.0%2.6%-1.1%15.1M-227.4M-1.3M0.2684.31N/AN/A49213026,31525,974
2023-09-13$207.10$195.0014.9%4.0%10.8%6.6%15.6%3.0%-1.1%17.7M-242.1M-1.3M1.3483.79N/AN/A43458226,41726,017
2023-09-14$207.66$195.0013.5%3.9%10.8%0.0%14.6%3.3%0.2%19.5M-249.9M-1.3M0.2854.68N/AN/A1,04529426,49626,344
2023-09-15$206.57$195.0014.3%3.9%10.4%4.1%14.3%3.2%-1.1%13.6M-228.5M-1.3M0.4555.88N/AN/A1,13751226,81426,427
2023-09-18$206.60$195.0014.4%4.1%10.3%4.4%14.8%3.1%3.6%9.8M-203.2M-1.3M2.0047.81N/AN/A26352524,01821,917
2023-09-19$206.79$195.0015.3%4.4%10.2%8.8%16.0%3.4%3.4%9.9M-202.9M-1.3M1.8240.72N/AN/A40774024,17622,179
2023-09-20$206.01$195.0015.4%4.4%7.1%9.5%14.8%3.2%2.6%8.8M-194.0M-1.3M0.6273.41N/AN/A62638624,51922,939
2023-09-21$202.06$195.0017.8%4.9%10.1%21.1%17.8%3.5%3.4%5.3M-134.1M-1.4M0.5461.44N/AN/A64434924,96423,255
2023-09-22$202.10$195.0017.9%4.8%10.1%21.6%18.4%3.3%3.8%5.5M-133.0M-1.4M1.4372.88N/AN/A40758025,11523,382
2023-09-25$200.61$195.0020.0%5.1%9.1%31.3%17.6%4.0%-0.7%5.3M-118.2M-1.4M0.6832.58N/AN/A35824324,38223,138
2023-09-26$199.90$195.0021.9%5.3%9.1%40.7%19.3%4.5%1.3%5.2M-110.1M-1.4M0.5674.13N/AN/A71940024,51523,185
2023-09-27$199.62$195.0021.6%5.3%9.1%39.2%19.5%3.7%-0.3%5.4M-106.5M-1.4M1.2643.71N/AN/A51464624,95623,246
2023-09-28$201.57$195.0021.5%5.1%9.8%38.7%18.0%3.8%-0.5%5.8M-130.4M-1.4M0.3231.36N/AN/A1,89260125,24423,748
2023-09-29$200.16$195.0020.6%5.0%10.1%34.4%17.6%3.7%-0.2%3.9M-117.4M-1.5M0.4777.45N/AN/A96244826,83924,190