CME Options History — November 2023

In November 2023, CME traded between $208.63 and $218.11. ATM implied volatility averaged 17.6%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 3.0% (HV 20d: 20.6%). Max pain ranged from $200.00 to $210.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2023-11-21: Highest Volume — 4,989 contracts
  • 2023-11-02: Largest IV drop — 17.0% change
  • 2023-11-01: Highest IV Rank — 39.7%
  • 2023-11-06: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$214.09$208.63$218.11$211.05$218.11
Max Pain$202.14$200.00$210.00$210.00$207.50
ATM IV17.6%16.4%19.7%19.7%18.5%
Expected Move4.9%4.5%5.3%5.3%4.8%
HV 20d20.6%18.6%22.7%20.8%19.2%
HV 60d16.4%15.2%17.2%15.2%17.2%
IV Rank26.3%18.3%39.7%39.7%31.7%
IV Percentile26.2%15.1%40.1%40.1%36.5%
Term Structure0.6%-2.2%3.8%1.4%0.3%
VWIV18.2%16.5%19.8%17.9%18.3%
Skew 25d3.0%2.0%4.0%4.0%2.2%
Skew 10d6.1%2.5%8.4%7.1%2.5%
Call IV 25d16.2%15.3%17.9%17.7%17.0%
Put IV 25d19.2%17.4%21.7%21.7%19.3%
Bid-Ask Spread %60.4922.2386.5276.5668.42
Gamma HHI0.190.130.260.130.24
Net GEX14.6M4.7M21.5M9.8M10.9M
Net DEX-268.4M-334.2M-164.8M-204.3M-323.6M
Net VEX-1.3M-1.4M-1.2M-1.4M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.185.280.840.42
Total Volume2,428.4291,0554,9892,0691,584
Total OI62,348.14356,54972,17056,95472,170

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$211.05$210.0019.7%5.3%20.8%39.7%17.9%4.0%1.4%9.8M-204.3M-1.4M0.8476.56N/AN/A1,12494529,77227,182
2023-11-02$212.75$200.0016.4%5.2%19.5%18.4%17.8%3.4%1.7%12.5M-238.9M-1.4M0.2928.54N/AN/A1,45841930,07327,753
2023-11-03$208.63$200.0017.2%5.0%19.3%23.7%19.2%3.7%1.1%7.7M-164.8M-1.4M0.5550.62N/AN/A1,64190630,20327,852
2023-11-06$212.94$200.0016.8%5.3%20.0%21.4%19.4%3.1%1.4%13.1M-239.0M-1.4M0.4755.53N/AN/A1,14853429,51027,039
2023-11-07$212.93$200.0017.0%5.3%19.8%22.4%17.5%3.3%1.4%14.2M-248.3M-1.3M0.6380.08N/AN/A1,54997429,86427,222
2023-11-08$211.90$200.0018.9%5.2%19.9%34.4%18.3%3.4%-0.2%14.6M-233.1M-1.4M0.3324.01N/AN/A1,37045431,04227,649
2023-11-09$215.92$200.0017.5%4.9%20.2%25.7%19.8%2.4%-0.6%19.1M-303.1M-1.4M0.3522.23N/AN/A1,77062731,85327,790
2023-11-10$217.05$200.0016.9%4.7%20.1%21.7%19.4%3.1%-0.9%21.5M-334.2M-1.4M0.5981.66N/AN/A1,12166032,34127,944
2023-11-13$217.30$200.0016.8%4.7%20.1%20.9%19.3%3.6%1.2%20.2M-328.4M-1.3M0.4270.52N/AN/A90337531,61227,569
2023-11-14$211.34$200.0018.0%5.2%21.8%28.5%18.2%3.5%-0.2%15.1M-219.2M-1.3M0.4886.52N/AN/A2,5211,21931,98927,826
2023-11-15$211.19$200.0017.9%5.1%21.8%28.1%18.4%3.1%-0.0%14.9M-211.8M-1.4M0.4833.00N/AN/A2,02596732,75928,656
2023-11-16$212.19$200.0018.4%5.3%21.7%31.2%17.9%3.0%0.3%16.8M-247.3M-1.3M0.1836.79N/AN/A1,39925133,56529,234
2023-11-17$213.51$200.0017.3%5.0%21.7%24.5%17.4%3.4%-1.0%15.9M-281.5M-1.3M0.5543.23N/AN/A91150533,97829,314
2023-11-20$212.05$200.0016.9%4.7%21.8%21.7%17.2%2.4%3.8%15.6M-243.0M-1.2M3.5673.82N/AN/A7502,67231,79227,593
2023-11-21$215.82$200.0016.5%4.7%22.7%19.1%18.5%2.9%2.2%19.3M-314.7M-1.2M5.2875.74N/AN/A7954,19432,20030,216
2023-11-22$216.28$205.0016.4%4.5%22.7%18.3%18.0%2.8%2.3%15.2M-309.0M-1.3M2.6163.31N/AN/A7251,89032,29534,833
2023-11-24$216.87$205.0017.1%4.6%22.7%23.0%17.6%2.1%1.9%15.7M-325.1M-1.3M0.7581.52N/AN/A60445132,55836,025
2023-11-27$217.25$205.0018.5%4.7%19.2%31.7%18.0%2.9%-0.3%15.4M-332.0M-1.2M0.8671.09N/AN/A1,9361,67132,06135,960
2023-11-28$216.33$205.0018.6%4.7%18.6%32.5%16.5%2.0%-0.8%14.8M-301.6M-1.2M1.5374.59N/AN/A1,8542,83232,24236,211
2023-11-29$214.57$207.5018.7%4.8%18.8%33.2%17.3%2.4%-2.2%4.7M-234.3M-1.2M1.1472.50N/AN/A58967432,99138,573
2023-11-30$218.11$207.5018.5%4.8%19.2%31.7%18.3%2.2%0.3%10.9M-323.6M-1.2M0.4268.42N/AN/A1,11846633,14539,025