CME Options History — April 2024 In April 2024, CME traded between $206.29 and $215.84. ATM implied volatility averaged 21.2%, placing in the 69.9% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 5.4% (HV 20d: 15.8%). Max pain ranged from $210.00 to $215.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.53.
Notable Days 2024-04-24 : Highest Volume — 4,102 contracts2024-04-26 : Largest IV drop — 18.4% change2024-04-19 : Highest IV Rank — 88.4%2024-04-12 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $211.52 $206.29 $215.84 $213.05 $209.46 Max Pain $210.68 $210.00 $215.00 $215.00 $210.00 ATM IV 21.2% 18.2% 22.8% 20.5% 19.4% Expected Move 6.0% 5.1% 6.5% 5.1% 5.6% HV 20d 15.8% 12.3% 17.7% 14.9% 17.1% HV 60d 16.2% 15.1% 17.0% 15.8% 16.9% IV Rank 69.9% 45.8% 88.4% 59.7% 56.7% IV Percentile 83.2% 47.6% 98.0% 76.2% 64.3% Term Structure -1.3% -3.5% -0.1% -0.3% -0.9% VWIV 21.0% 17.7% 24.2% 17.7% 19.4% Skew 25d 2.5% 1.6% 3.3% 1.8% 2.8% Skew 10d 5.4% 3.2% 7.4% 4.8% 6.6% Call IV 25d 20.5% 17.5% 23.2% 20.5% 18.4% Put IV 25d 23.0% 20.1% 24.8% 22.3% 21.2% Bid-Ask Spread % 74.31 64.18 79.57 74.32 79.57 Gamma HHI 0.16 0.10 0.24 0.12 0.23 Net GEX 4.9M -2.3M 13.3M 4.5M 4.4M Net DEX -96.9M -163.6M -35.8M -71.7M -86.6M Net VEX -1.2M -1.2M -1.1M -1.1M -1.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.53 0.15 1.18 0.43 0.25 Total Volume 1,939.136 673 4,102 1,467 1,376 Total OI 37,377.955 33,648 39,992 34,229 33,894
Daily Data (22 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 2024-04-01 $213.05 $215.00 20.5% 5.1% 14.9% 59.7% 17.7% 1.8% -0.3% 4.5M -71.7M -1.1M 0.43 74.32 N/A N/A 1,029 438 19,728 14,501 2024-04-02 $214.23 $215.00 21.8% 5.3% 14.8% 70.6% 19.2% 2.3% -0.8% 6.0M -90.6M -1.1M 0.15 76.31 N/A N/A 2,338 357 20,414 14,850 2024-04-03 $212.32 $215.00 22.5% 5.4% 15.0% 76.5% 18.4% 2.0% -1.7% 5.1M -90.6M -1.2M 0.35 76.90 N/A N/A 500 173 22,433 14,971 2024-04-04 $212.13 $210.00 20.7% 6.1% 15.0% 61.1% 22.0% 2.0% -2.0% 4.1M -89.7M -1.2M 0.53 73.09 N/A N/A 1,959 1,040 22,624 15,012 2024-04-05 $211.11 $210.00 19.0% 6.0% 12.3% 46.4% 20.4% 2.8% -3.5% 369.7K -68.0M -1.2M 0.26 76.34 N/A N/A 2,457 646 22,875 15,786 2024-04-08 $213.01 $210.00 21.3% 6.2% 12.7% 66.2% 21.2% 2.7% -1.4% 9.4M -106.1M -1.2M 0.26 74.73 N/A N/A 1,437 375 22,409 15,144 2024-04-09 $209.01 $210.00 20.2% 6.1% 13.0% 56.9% 21.5% 2.8% -0.9% 3.1M -62.0M -1.2M 0.15 76.04 N/A N/A 2,713 418 23,042 15,501 2024-04-10 $212.81 $210.00 21.9% 6.3% 14.6% 71.1% 21.9% 3.0% -1.6% 10.7M -117.1M -1.2M 0.32 76.78 N/A N/A 1,225 398 23,838 15,864 2024-04-11 $213.31 $210.00 21.8% 6.2% 14.4% 70.1% 22.0% 2.6% -1.3% 13.3M -116.6M -1.2M 0.54 77.46 N/A N/A 532 288 23,737 15,897 2024-04-12 $209.83 $210.00 22.8% 6.5% 15.4% 78.7% 24.2% 2.7% -1.5% -2.3M -70.3M -1.2M 0.53 74.82 N/A N/A 1,476 784 23,734 16,045 2024-04-15 $206.29 $210.00 22.7% 6.5% 16.2% 88.2% 23.6% 1.6% -1.2% -194.8K -35.8M -1.1M 0.36 70.24 N/A N/A 1,497 533 22,569 15,679 2024-04-16 $206.96 $210.00 22.3% 6.4% 16.4% 84.1% 24.0% 2.8% -1.3% 1.7M -56.4M -1.2M 0.74 71.08 N/A N/A 588 434 23,691 15,894 2024-04-17 $208.56 $210.00 22.5% 6.5% 16.5% 86.7% 23.6% 2.7% -1.6% 1.7M -78.1M -1.2M 0.52 64.18 N/A N/A 843 442 23,799 15,918 2024-04-18 $209.77 $210.00 22.1% 6.3% 16.3% 82.7% 21.8% 2.9% -1.4% 520.7K -93.7M -1.2M 0.22 71.00 N/A N/A 2,082 460 23,652 15,778 2024-04-19 $213.87 $210.00 22.7% 6.5% 17.5% 88.4% 22.7% 2.2% -1.7% 9.5M -163.6M -1.2M 1.05 72.58 N/A N/A 632 661 24,121 15,871 2024-04-22 $215.48 $210.00 21.5% 6.2% 17.6% 76.6% 21.8% 2.5% -2.1% 7.7M -145.7M -1.2M 0.98 72.49 N/A N/A 730 719 19,901 13,827 2024-04-23 $215.84 $210.00 20.8% 6.0% 17.6% 70.2% 21.1% 2.5% -1.4% 8.5M -152.1M -1.1M 1.18 73.44 N/A N/A 1,491 1,766 20,322 14,060 2024-04-24 $213.47 $210.00 20.3% 5.8% 17.7% 65.2% 19.0% 3.3% -1.6% 5.0M -119.8M -1.1M 1.08 77.24 N/A N/A 1,969 2,133 20,904 15,540 2024-04-25 $212.74 $210.00 22.4% 5.6% 17.3% 85.2% 20.1% 1.9% -0.7% 6.7M -126.1M -1.1M 0.95 78.44 N/A N/A 573 547 21,819 15,601 2024-04-26 $210.67 $210.00 18.2% 5.2% 17.6% 45.8% 18.2% 2.6% -0.1% 3.7M -103.9M -1.1M 0.32 77.00 N/A N/A 1,273 413 21,762 15,660 2024-04-29 $209.58 $210.00 18.7% 5.4% 17.3% 50.0% 19.2% 2.6% -0.4% 4.7M -88.2M -1.1M 0.53 70.67 N/A N/A 599 317 19,809 13,839 2024-04-30 $209.46 $210.00 19.4% 5.6% 17.1% 56.7% 19.4% 2.8% -0.9% 4.4M -86.6M -1.1M 0.25 79.57 N/A N/A 1,100 276 19,861 14,033
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