CME Options History — January 2024 In January 2024, CME traded between $196.47 and $208.37. ATM implied volatility averaged 19.6%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 0.2% (HV 20d: 19.4%). Max pain ranged from $200.00 to $210.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.18.
Notable Days 2024-01-10 : Highest Volume — 13,784 contracts2024-01-16 : Largest IV spike — 15.3% change2024-01-17 : Highest IV Rank — 52.0%2024-01-31 : Largest Expected Move — 6.7%Monthly Statistics Metric Avg Min Max Open Close Price $202.24 $196.47 $208.37 $208.37 $205.50 Max Pain $207.86 $200.00 $210.00 $210.00 $205.00 ATM IV 19.6% 17.7% 21.7% 17.8% 21.5% Expected Move 6.0% 5.3% 6.7% 5.3% 6.7% HV 20d 19.4% 17.6% 20.9% 18.1% 17.7% HV 60d 19.1% 18.2% 19.6% 18.8% 18.2% IV Rank 39.0% 26.8% 52.0% 27.1% 51.0% IV Percentile 55.9% 30.2% 81.0% 30.6% 80.6% Term Structure 0.4% -1.6% 2.7% 0.8% 0.2% VWIV 21.3% 18.9% 23.6% 19.2% 23.6% Skew 25d 2.3% 1.5% 2.9% 2.7% 2.7% Skew 10d 4.8% 3.4% 6.0% 4.5% 4.2% Call IV 25d 18.8% 16.2% 20.6% 17.3% 20.1% Put IV 25d 21.0% 18.4% 23.2% 20.0% 22.8% Bid-Ask Spread % 56.41 27.50 80.49 77.41 52.99 Gamma HHI 0.15 0.10 0.30 0.11 0.11 Net GEX -1.3M -13.9M 11.5M 2.3M 5.6M Net DEX -292.4K -81.9M 98.3M -45.9M -57.6M Net VEX -1.2M -1.3M -1.1M -1.3M -1.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.18 0.28 8.60 0.73 0.41 Total Volume 3,180.333 785 13,784 1,951 1,065 Total OI 52,190.143 35,855 63,557 58,913 38,694
Daily Data (21 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 2024-01-02 $208.37 $210.00 17.8% 5.3% 18.1% 27.1% 19.2% 2.7% 0.8% 2.3M -45.9M -1.3M 0.73 77.41 N/A N/A 1,130 821 25,975 32,938 2024-01-03 $202.02 $210.00 19.2% 5.5% 20.6% 36.5% 19.9% 2.2% 0.1% -7.2M 62.0M -1.3M 1.38 68.75 N/A N/A 2,027 2,788 26,368 33,172 2024-01-04 $202.97 $210.00 18.4% 6.1% 20.8% 31.3% 21.3% 1.9% -0.2% -5.1M 38.9M -1.3M 0.95 75.66 N/A N/A 936 892 27,081 33,440 2024-01-05 $199.55 $210.00 18.6% 5.9% 20.8% 32.6% 18.9% 2.3% -0.1% -13.9M 94.2M -1.2M 1.58 76.74 N/A N/A 1,231 1,949 27,522 33,552 2024-01-08 $200.41 $210.00 18.6% 6.0% 20.4% 32.6% 21.3% 2.9% 2.0% -7.4M 55.3M -1.2M 0.50 77.92 N/A N/A 2,156 1,083 26,649 32,506 2024-01-09 $197.00 $210.00 18.6% 6.0% 20.8% 32.5% 21.1% 2.0% 2.3% -10.7M 98.3M -1.1M 0.77 61.13 N/A N/A 1,014 783 27,801 32,662 2024-01-10 $197.51 $210.00 18.3% 5.8% 19.4% 30.4% 21.1% 1.8% 1.7% -10.1M 78.8M -1.2M 8.60 60.54 N/A N/A 1,436 12,348 28,189 32,129 2024-01-11 $196.47 $210.00 18.3% 5.8% 19.4% 30.6% 21.3% 1.5% 2.5% -9.9M 84.2M -1.1M 1.36 36.47 N/A N/A 1,258 1,708 28,932 31,638 2024-01-12 $197.70 $210.00 17.7% 5.6% 19.7% 26.8% 20.7% 2.1% 2.7% -10.7M 56.3M -1.1M 0.67 52.26 N/A N/A 2,140 1,439 29,263 31,815 2024-01-16 $198.50 $210.00 20.4% 5.9% 19.7% 43.9% 22.2% 2.8% -0.8% -8.9M 30.7M -1.1M 0.59 53.21 N/A N/A 1,907 1,120 28,713 31,646 2024-01-17 $202.62 $210.00 21.7% 6.2% 20.9% 52.0% 22.1% 2.5% -1.6% 1.3M -43.0M -1.2M 0.49 80.49 N/A N/A 2,839 1,378 29,551 31,989 2024-01-18 $202.42 $210.00 21.5% 6.2% 19.7% 51.0% 21.4% 2.6% -0.8% 291.1K -42.6M -1.2M 0.51 62.92 N/A N/A 2,331 1,182 30,082 32,620 2024-01-19 $202.04 $200.00 20.9% 6.1% 19.2% 46.9% 20.9% 2.8% -0.8% 11.5M -40.0M -1.2M 0.28 53.98 N/A N/A 1,942 549 30,701 32,856 2024-01-22 $203.00 $210.00 20.2% 6.1% 19.3% 42.5% 21.3% 2.4% 0.4% 2.5M -29.0M -1.2M 0.87 45.95 N/A N/A 2,360 2,061 18,300 17,555 2024-01-23 $203.97 $205.00 19.8% 5.9% 19.0% 40.3% 20.9% 2.3% -0.4% 4.4M -41.0M -1.2M 0.71 31.54 N/A N/A 1,735 1,234 19,304 18,295 2024-01-24 $204.45 $205.00 19.7% 6.1% 19.0% 39.3% 21.8% 2.2% -0.1% 5.2M -49.3M -1.2M 0.73 39.62 N/A N/A 913 670 19,764 19,051 2024-01-25 $205.56 $205.00 20.0% 6.1% 19.0% 41.6% 22.1% 1.8% -0.4% 6.9M -62.6M -1.2M 2.10 57.41 N/A N/A 605 1,272 19,989 19,246 2024-01-26 $206.59 $205.00 19.9% 6.0% 17.6% 40.5% 21.3% 1.7% -0.6% 6.1M -81.9M -1.2M 0.47 31.23 N/A N/A 1,416 664 20,148 19,718 2024-01-29 $204.38 $205.00 20.5% 6.4% 17.8% 44.4% 22.9% 2.1% 0.5% 3.9M -44.7M -1.2M 0.55 60.92 N/A N/A 1,047 573 19,526 18,202 2024-01-30 $205.97 $205.00 20.6% 6.5% 18.1% 45.4% 23.0% 2.2% 0.5% 5.9M -67.1M -1.2M 0.54 27.50 N/A N/A 510 275 19,926 18,485 2024-01-31 $205.50 $205.00 21.5% 6.7% 17.7% 51.0% 23.6% 2.7% 0.2% 5.6M -57.6M -1.2M 0.41 52.99 N/A N/A 753 312 20,087 18,607
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