CME Options History — February 2024

In February 2024, CME traded between $202.87 and $220.59. ATM implied volatility averaged 19.6%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 4.0% (HV 20d: 15.6%). Max pain ranged from $200.00 to $210.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2024-02-14: Highest Volume — 10,268 contracts
  • 2024-02-15: Largest IV drop — 11.3% change
  • 2024-02-13: Highest IV Rank — 55.8%
  • 2024-02-13: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$211.32$202.87$220.59$205.51$220.59
Max Pain$202.63$200.00$210.00$200.00$210.00
ATM IV19.6%17.2%22.3%20.7%17.2%
Expected Move5.5%4.8%6.3%5.8%4.8%
HV 20d15.6%11.9%18.9%13.7%18.2%
HV 60d17.8%16.4%18.5%17.8%18.2%
IV Rank38.8%23.9%55.8%45.9%23.9%
IV Percentile56.6%25.8%87.7%73.0%25.8%
Term Structure-0.3%-2.7%0.7%0.6%0.1%
VWIV19.8%16.8%23.4%21.0%16.8%
Skew 25d2.3%1.3%3.3%1.7%1.3%
Skew 10d4.7%2.9%6.7%4.6%2.9%
Call IV 25d18.7%16.8%21.5%20.2%16.9%
Put IV 25d21.0%18.1%24.7%21.9%18.1%
Bid-Ask Spread %65.8643.8877.4577.3877.21
Gamma HHI0.140.100.210.110.21
Net GEX9.2M756.9K14.9M6.2M14.9M
Net DEX-115.2M-204.8M-14.7M-60.1M-204.8M
Net VEX-1.1M-1.2M-1.1M-1.2M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.171.900.530.47
Total Volume2,231.6579310,2681,1652,248
Total OI38,135.134,97441,78139,00638,085

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-02-01$205.51$200.0020.7%5.8%13.7%45.9%21.0%1.7%0.6%6.2M-60.1M-1.2M0.5377.38N/AN/A76240320,29318,713
2024-02-02$206.89$200.0021.2%5.8%13.8%48.9%20.8%2.0%0.6%8.8M-77.9M-1.2M0.7775.50N/AN/A1,04079820,47918,962
2024-02-05$205.50$200.0021.6%5.8%12.4%51.4%21.4%3.3%-1.3%3.8M-52.9M-1.2M0.7545.94N/AN/A45234119,66818,500
2024-02-06$202.87$200.0021.3%6.1%13.4%49.6%22.9%3.1%0.1%756.9K-14.7M-1.1M1.0960.14N/AN/A80187419,80218,633
2024-02-07$205.17$200.0021.1%5.9%12.1%48.6%21.5%2.7%-0.8%4.0M-49.8M-1.1M1.6370.89N/AN/A37961819,97618,674
2024-02-08$204.81$200.0021.8%6.3%12.2%52.9%21.3%2.6%0.2%3.6M-44.4M-1.1M0.6972.24N/AN/A76753020,13518,865
2024-02-09$204.94$200.0021.4%6.2%11.9%50.4%21.3%2.4%0.7%7.8M-45.9M-1.1M0.8866.57N/AN/A80070620,38618,955
2024-02-12$207.00$200.0021.6%6.1%12.1%51.2%22.0%3.2%-0.2%4.6M-67.7M-1.1M0.5065.93N/AN/A1,20460519,47318,023
2024-02-13$207.26$200.0022.3%6.3%12.1%55.8%23.4%3.2%-0.9%5.1M-72.9M-1.2M0.9577.45N/AN/A2,2192,10719,96118,228
2024-02-14$214.69$200.0020.0%5.7%15.7%41.0%19.2%2.3%-1.6%13.6M-180.3M-1.1M0.4743.88N/AN/A7,0063,26221,22219,423
2024-02-15$210.72$200.0017.7%5.1%17.4%26.8%18.1%2.1%0.5%12.2M-119.3M-1.1M0.6161.02N/AN/A1,8901,15521,82319,464
2024-02-16$212.15$200.0018.3%5.2%17.4%30.6%18.3%2.4%0.1%11.4M-151.2M-1.1M0.5656.35N/AN/A1,20167322,37719,404
2024-02-20$210.74$200.0018.2%5.3%17.7%29.8%18.2%2.5%-0.1%8.0M-95.4M-1.1M0.6568.37N/AN/A60939719,29315,681
2024-02-21$214.50$200.0018.0%5.2%18.5%28.9%18.6%2.5%-0.2%12.0M-138.9M-1.1M0.5461.64N/AN/A82544819,55515,962
2024-02-22$217.28$205.0018.0%5.1%18.9%28.8%18.7%1.9%-0.2%13.7M-176.3M-1.1M0.8156.05N/AN/A77963419,81516,204
2024-02-23$217.80$207.5017.3%5.0%18.9%24.2%17.4%1.9%0.3%13.7M-183.7M-1.1M0.1760.51N/AN/A2,66446320,04816,447
2024-02-26$219.27$210.0017.6%5.1%18.9%26.4%17.8%1.5%-0.1%12.2M-184.0M-1.1M0.2173.72N/AN/A1,98140819,89815,791
2024-02-27$218.77$210.0017.6%5.0%18.3%26.1%18.5%1.6%-0.3%13.3M-185.3M-1.1M1.9070.30N/AN/A36769620,99616,015
2024-02-28$220.01$210.0018.9%5.0%18.3%34.2%18.0%1.9%-2.7%13.9M-198.7M-1.1M0.3076.22N/AN/A1,17035121,03216,441
2024-02-29$220.59$210.0017.2%4.8%18.2%23.9%16.8%1.3%0.1%14.9M-204.8M-1.1M0.4777.21N/AN/A1,52971921,54716,538