CME Options History — October 2023

In October 2023, CME traded between $199.80 and $220.40. ATM implied volatility averaged 21.3%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 5.3% (HV 20d: 16.0%). Max pain ranged from $195.00 to $210.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.64.

Notable Days

  • 2023-10-09: Highest Volume — 7,830 contracts
  • 2023-10-19: Largest IV spike — 13.2% change
  • 2023-10-19: Highest IV Rank — 57.4%
  • 2023-10-19: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$212.79$199.80$220.40$199.80$213.18
Max Pain$205.68$195.00$210.00$195.00$210.00
ATM IV21.3%18.1%23.9%21.3%18.1%
Expected Move6.0%5.3%6.9%5.3%5.3%
HV 20d16.0%10.1%20.5%10.1%20.4%
HV 60d15.2%14.1%16.3%14.9%15.2%
IV Rank41.2%29.6%57.4%37.8%29.6%
IV Percentile55.0%27.4%79.4%54.4%27.4%
Term Structure-0.4%-2.4%1.4%-0.4%1.0%
VWIV21.8%19.0%24.4%19.0%19.1%
Skew 25d4.3%2.8%6.8%4.3%3.9%
Skew 10d8.7%7.4%10.6%7.4%8.0%
Call IV 25d19.5%17.2%21.3%19.6%17.2%
Put IV 25d23.8%21.1%25.9%23.9%21.1%
Bid-Ask Spread %61.4332.1882.3775.5166.11
Gamma HHI0.160.100.200.130.20
Net GEX11.9M7.2M15.5M7.2M13.8M
Net DEX-259.7M-396.8M-110.1M-110.1M-232.3M
Net VEX-1.5M-1.6M-1.4M-1.5M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.141.430.470.14
Total Volume2,719.2274257,8301,0956,529
Total OI56,208.68251,04761,40351,04756,330

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-10-02$199.80$195.0021.3%5.3%10.1%37.8%19.0%4.3%-0.4%7.2M-110.1M-1.5M0.4775.51N/AN/A74435126,66324,384
2023-10-03$201.50$195.0023.9%5.8%10.6%50.3%22.5%4.5%-2.1%8.1M-136.4M-1.5M0.9638.82N/AN/A51849726,99324,494
2023-10-04$203.09$195.0021.6%5.5%10.7%39.3%21.3%4.5%-0.6%9.0M-157.3M-1.5M1.4376.37N/AN/A17525027,08824,818
2023-10-05$207.66$200.0021.6%5.9%13.2%39.0%21.1%4.1%-1.1%10.1M-221.4M-1.5M0.3356.98N/AN/A2,63787727,14024,942
2023-10-06$212.11$200.0021.6%6.0%15.0%39.4%20.8%4.5%-0.3%9.5M-288.3M-1.4M0.3653.39N/AN/A2,46089627,46825,362
2023-10-09$215.42$200.0022.4%6.0%15.8%43.1%23.5%4.9%-1.1%9.4M-308.2M-1.4M0.1832.18N/AN/A6,6141,21626,96025,551
2023-10-10$216.64$200.0022.0%6.0%15.9%41.3%23.0%2.8%-0.9%14.5M-334.5M-1.5M0.2753.72N/AN/A3,54396429,42726,273
2023-10-11$216.85$200.0021.2%5.8%15.8%37.3%21.6%4.0%-1.0%15.5M-343.0M-1.5M0.5465.50N/AN/A94351330,64326,773
2023-10-12$220.40$210.0020.9%5.9%16.6%35.9%22.4%3.7%-0.3%14.9M-396.8M-1.5M0.4946.45N/AN/A2,9451,45330,86427,000
2023-10-13$218.48$210.0021.1%6.1%16.8%37.4%22.4%6.8%-0.0%12.5M-355.9M-1.6M0.3952.88N/AN/A3,0891,20631,57727,972
2023-10-16$218.85$210.0020.2%5.7%16.8%32.9%21.1%4.1%-0.9%15.2M-356.1M-1.5M0.7375.41N/AN/A72152831,53627,901
2023-10-17$215.69$210.0019.9%5.6%17.9%31.4%21.2%4.2%0.5%14.8M-308.5M-1.5M1.0979.80N/AN/A1,0991,19731,67228,079
2023-10-18$215.94$210.0021.0%6.0%17.8%39.9%21.8%4.5%0.2%14.3M-304.6M-1.6M0.8882.37N/AN/A61453832,16528,534
2023-10-19$214.05$210.0023.7%6.9%16.4%57.4%23.1%4.8%-2.4%13.0M-276.5M-1.6M0.7482.13N/AN/A97472232,46628,659
2023-10-20$212.91$210.0023.1%6.8%16.7%54.3%23.4%4.8%-2.4%11.5M-259.2M-1.6M0.4579.10N/AN/A99744532,70428,699
2023-10-23$213.96$210.0022.1%6.6%16.2%48.9%24.4%4.5%-0.3%10.9M-226.7M-1.6M0.5553.93N/AN/A1,23868228,77725,833
2023-10-24$214.25$210.0021.5%6.5%16.1%45.6%23.9%3.9%-0.0%11.4M-232.9M-1.6M0.6964.60N/AN/A1,6751,16429,06226,116
2023-10-25$214.35$210.0020.1%5.9%16.0%37.3%20.5%4.1%1.1%12.1M-247.5M-1.5M0.5043.44N/AN/A1,86493629,53526,407
2023-10-26$215.52$210.0020.4%6.0%15.9%40.8%22.3%4.2%-0.3%12.9M-258.5M-1.5M1.1358.66N/AN/A58766130,08026,715
2023-10-27$208.73$210.0020.2%6.3%20.0%42.8%21.3%3.8%1.4%9.3M-146.2M-1.5M0.7455.00N/AN/A1,9011,40230,06626,951
2023-10-30$212.00$210.0020.6%5.8%20.5%44.9%20.8%4.2%1.1%12.1M-211.9M-1.5M0.9059.18N/AN/A76769129,39326,519
2023-10-31$213.18$210.0018.1%5.3%20.4%29.6%19.1%3.9%1.0%13.8M-232.3M-1.5M0.1466.11N/AN/A5,72080929,46626,864