CME Options History — December 2023

In December 2023, CME traded between $207.36 and $219.73. ATM implied volatility averaged 18.4%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 0.6% (HV 20d: 17.7%). Max pain ranged from $195.00 to $210.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.92.

Notable Days

  • 2023-12-26: Highest Volume — 36,416 contracts
  • 2023-12-07: Largest IV spike — 21.1% change
  • 2023-12-04: Highest IV Rank — 45.5%
  • 2023-12-07: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$213.15$207.36$219.73$219.32$210.54
Max Pain$207.63$195.00$210.00$207.50$210.00
ATM IV18.4%15.7%20.7%18.5%17.4%
Expected Move5.1%4.5%5.5%4.9%4.9%
HV 20d17.7%15.8%19.2%19.1%18.1%
HV 60d18.4%17.2%19.3%17.2%19.2%
IV Rank30.9%14.2%45.5%32.1%24.6%
IV Percentile36.5%9.1%60.7%37.7%27.4%
Term Structure-1.1%-5.6%0.4%-2.0%-0.6%
VWIV18.0%13.1%19.7%17.5%18.7%
Skew 25d1.6%0.1%3.3%1.3%2.0%
Skew 10d6.1%-0.2%20.0%11.4%4.2%
Call IV 25d17.5%16.4%21.6%18.1%16.6%
Put IV 25d19.1%16.9%22.3%19.5%18.5%
Bid-Ask Spread %68.5643.3579.2563.1549.56
Gamma HHI0.190.120.680.270.13
Net GEX5.4M-81.3M25.2M13.7M1.9M
Net DEX-153.6M-371.2M19.0M-350.9M-90.7M
Net VEX-1.3M-1.4M-1.1M-1.2M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.112.050.131.69
Total Volume6,855.351,55136,41610,7102,977
Total OI67,553.7559,42876,78072,18162,576

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$219.32$207.5018.5%4.9%19.1%32.1%17.5%1.3%-2.0%13.7M-350.9M-1.2M0.1363.15N/AN/A9,4591,25133,08739,094
2023-12-04$219.73$195.0020.7%5.3%17.4%45.5%19.7%0.7%-5.6%18.6M-371.2M-1.2M0.3274.41N/AN/A5,7851,85734,39138,466
2023-12-05$217.99$195.0019.1%5.1%16.4%35.5%19.1%0.6%-0.5%15.0M-333.3M-1.3M0.2475.87N/AN/A4,5001,08836,24738,663
2023-12-06$214.25$195.0017.0%5.2%17.7%22.3%17.9%2.9%-0.6%6.9M-220.9M-1.3M0.1143.35N/AN/A18,3911,94137,89438,886
2023-12-07$210.92$210.0020.6%5.5%18.5%44.9%19.5%1.9%-0.8%-2.8M-42.1M-1.4M0.9073.57N/AN/A1,8631,67133,43139,962
2023-12-08$211.97$210.0018.5%5.3%17.2%31.8%18.4%1.5%-4.6%3.4M-85.0M-1.3M1.6675.82N/AN/A1,5142,50633,63039,638
2023-12-11$215.74$210.0019.0%5.1%18.3%35.1%18.4%2.3%-1.5%18.6M-203.0M-1.3M1.0855.77N/AN/A2,1812,35132,22838,511
2023-12-12$213.88$210.0019.4%5.1%18.6%37.7%17.0%1.5%-0.0%11.3M-155.9M-1.2M1.2364.42N/AN/A1,4591,79032,02137,677
2023-12-13$212.29$210.0018.4%5.1%15.8%31.1%17.7%3.3%-0.5%5.2M-118.9M-1.3M1.4479.12N/AN/A1,1571,66732,39837,252
2023-12-14$210.34$210.0020.0%5.4%16.2%41.3%18.8%2.5%-0.6%-2.1M-73.9M-1.3M1.2763.82N/AN/A2,5953,28432,71937,645
2023-12-15$207.36$210.0019.3%5.2%16.8%36.6%18.1%3.0%-2.5%-81.3M19.0M-1.2M1.3179.25N/AN/A2,5423,31933,37238,985
2023-12-18$211.11$210.0017.7%5.0%18.0%27.0%17.4%1.8%0.1%7.9M-107.7M-1.2M0.8568.91N/AN/A1,3111,11827,64031,788
2023-12-19$213.00$210.0017.9%5.1%18.1%28.2%17.9%0.8%-0.0%14.6M-152.6M-1.2M0.8266.15N/AN/A85469728,09232,090
2023-12-20$211.30$210.0018.1%5.2%17.1%29.2%17.9%1.1%-0.6%9.0M-112.8M-1.2M1.2272.31N/AN/A1,0461,28128,37632,378
2023-12-21$213.37$210.0017.9%5.2%17.5%28.3%18.2%0.4%-0.1%16.6M-161.9M-1.2M0.4370.35N/AN/A1,72074328,95233,211
2023-12-22$213.92$210.0015.7%4.5%17.5%14.2%16.9%0.1%-0.7%18.2M-183.1M-1.2M0.4973.43N/AN/A1,86392029,62933,546
2023-12-26$214.84$210.0015.8%4.6%17.6%15.1%13.1%0.3%0.4%25.2M-198.1M-1.1M0.1473.45N/AN/A31,8304,58628,23833,083
2023-12-27$210.05$210.0018.0%5.1%19.2%28.7%19.1%1.9%-0.2%1.8M-34.0M-1.3M2.0572.97N/AN/A2,9255,99228,17135,446
2023-12-28$211.11$210.0018.2%5.1%19.2%29.7%18.0%1.9%-0.1%5.1M-94.3M-1.4M1.0975.53N/AN/A1,4711,60227,45734,205
2023-12-29$210.54$210.0017.4%4.9%18.1%24.6%18.7%2.0%-0.6%1.9M-90.7M-1.4M1.6949.56N/AN/A1,1081,86928,09934,477