CME Options History — March 2024

In March 2024, CME traded between $212.73 and $221.03. ATM implied volatility averaged 17.9%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 1.2% (HV 20d: 16.7%). Max pain ranged from $210.00 to $220.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.55.

Notable Days

  • 2024-03-06: Highest Volume — 13,686 contracts
  • 2024-03-25: Largest IV spike — 17.2% change
  • 2024-03-28: Highest IV Rank — 54.6%
  • 2024-03-07: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$216.79$212.73$221.03$219.61$215.44
Max Pain$219.13$210.00$220.00$210.00$215.00
ATM IV17.9%15.9%20.2%17.4%20.0%
Expected Move5.0%4.6%5.4%4.8%4.9%
HV 20d16.7%13.7%20.5%18.4%14.5%
HV 60d17.6%16.9%18.3%18.2%16.9%
IV Rank30.1%17.5%54.6%24.8%54.6%
IV Percentile37.1%10.7%70.6%28.6%70.2%
Term Structure0.7%-1.8%3.2%0.4%-1.4%
VWIV17.4%15.9%19.2%16.3%17.0%
Skew 25d1.0%-4.4%2.3%1.1%2.3%
Skew 10d3.5%0.2%5.1%5.0%4.3%
Call IV 25d17.8%15.2%19.7%17.0%19.2%
Put IV 25d18.7%15.3%21.6%18.1%21.6%
Bid-Ask Spread %76.1666.7684.0375.6873.37
Gamma HHI0.240.110.470.250.47
Net GEX10.3M-1.4M31.9M14.3M31.9M
Net DEX-114.2M-191.2M-65.0M-191.2M-109.6M
Net VEX-1.1M-1.1M-1.1M-1.1M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.031.220.690.20
Total Volume2,424.967613,6863,0903,277
Total OI35,895.1531,20238,87138,87135,120

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-03-01$219.61$210.0017.4%4.8%18.4%24.8%16.3%1.1%0.4%14.3M-191.2M-1.1M0.6975.68N/AN/A1,8261,26421,93316,938
2024-03-04$221.03$220.0016.9%5.0%18.4%22.0%17.6%-4.4%2.7%13.4M-189.9M-1.1M0.5976.93N/AN/A72943221,40916,828
2024-03-05$219.66$220.0018.0%5.2%18.3%28.7%17.8%-1.6%0.2%12.5M-168.8M-1.1M0.6673.99N/AN/A65543421,61317,009
2024-03-06$219.43$220.0017.9%5.0%17.4%27.8%18.8%1.2%0.1%11.2M-170.1M-1.1M0.0374.53N/AN/A13,35033621,73417,078
2024-03-07$213.99$220.0017.6%5.4%19.9%26.5%17.8%1.0%0.2%2.5M-69.4M-1.1M0.1577.73N/AN/A3,31351119,54017,184
2024-03-08$213.32$220.0018.2%5.3%20.0%30.2%19.2%1.7%-0.3%4.6M-68.8M-1.1M0.9482.23N/AN/A1,1901,12220,46317,359
2024-03-11$216.66$220.0018.6%5.1%20.5%32.5%18.0%1.8%-0.7%9.9M-107.2M-1.1M0.5780.71N/AN/A79144819,55117,433
2024-03-12$217.72$220.0016.3%5.0%20.4%17.7%17.8%1.3%2.5%13.0M-124.0M-1.1M1.2280.38N/AN/A30537119,84917,625
2024-03-13$219.07$220.0017.5%5.0%20.4%25.4%17.4%0.0%0.2%16.3M-137.1M-1.1M0.5782.21N/AN/A50128419,87517,652
2024-03-14$219.07$220.0017.7%5.1%16.4%26.8%17.8%1.1%-0.0%19.0M-135.3M-1.1M0.0682.34N/AN/A2,79317920,04917,819
2024-03-15$218.95$220.0017.8%5.1%14.7%27.7%17.5%2.0%-0.2%20.1M-125.9M-1.1M0.2684.03N/AN/A1,80647420,64517,897
2024-03-18$218.47$220.0016.7%4.8%14.7%20.7%17.3%-0.4%2.5%9.1M-115.5M-1.1M0.9266.76N/AN/A71865818,01413,188
2024-03-19$216.20$220.0017.3%5.0%15.0%24.0%16.2%1.7%2.3%6.3M-93.5M-1.1M0.8568.49N/AN/A48941518,53913,646
2024-03-20$213.76$220.0015.9%4.6%14.3%17.5%15.9%1.6%3.2%3.0M-66.2M-1.1M0.4975.84N/AN/A57728118,87613,939
2024-03-21$215.84$220.0016.6%4.7%14.0%22.7%16.5%1.7%1.8%4.6M-90.9M-1.1M0.9873.82N/AN/A78877519,10714,140
2024-03-22$215.03$220.0017.2%4.6%14.0%27.0%17.3%1.8%2.9%-1.4M-85.3M-1.1M0.7474.53N/AN/A62646520,38814,577
2024-03-25$214.94$220.0020.2%4.9%13.7%48.3%17.2%2.1%-1.8%5.9M-84.7M-1.1M0.1975.90N/AN/A1,02719718,90414,245
2024-03-26$212.73$220.0019.5%4.9%14.1%47.6%17.0%1.2%-0.3%3.6M-65.0M-1.1M0.6474.34N/AN/A65541719,26014,317
2024-03-27$214.95$217.5019.9%4.8%14.5%50.4%17.7%2.3%-0.2%6.1M-85.2M-1.1M0.1669.32N/AN/A3,45556419,59014,570
2024-03-28$215.44$215.0020.0%4.9%14.5%54.6%17.0%2.3%-1.4%31.9M-109.6M-1.1M0.2073.37N/AN/A2,72455320,34914,771