CME Options History — May 2024

In May 2024, CME traded between $203.11 and $214.62. ATM implied volatility averaged 17.9%, placing in the 42.9% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 1.7% (HV 20d: 16.2%). Max pain ranged from $210.00 to $210.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.85.

Notable Days

  • 2024-05-31: Highest Volume — 3,408 contracts
  • 2024-05-13: Largest IV spike — 29.7% change
  • 2024-05-13: Highest IV Rank — 76.0%
  • 2024-05-01: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$209.63$203.11$214.62$209.21$203.11
Max Pain$210.00$210.00$210.00$210.00$210.00
ATM IV17.9%16.1%21.4%19.2%19.1%
Expected Move5.0%4.6%5.5%5.5%5.5%
HV 20d16.2%14.8%18.7%16.8%18.7%
HV 60d16.1%15.3%16.9%16.8%16.7%
IV Rank42.9%25.6%76.0%54.6%54.0%
IV Percentile42.3%15.1%86.5%61.1%65.9%
Term Structure0.0%-0.8%0.7%-0.8%-0.6%
VWIV17.5%15.9%19.4%19.4%18.4%
Skew 25d1.7%0.8%2.6%2.3%1.6%
Skew 10d3.8%2.7%5.6%3.9%3.2%
Call IV 25d16.8%15.5%18.7%18.7%18.3%
Put IV 25d18.5%17.1%21.0%21.0%19.8%
Bid-Ask Spread %72.8056.4082.6782.6770.95
Gamma HHI0.240.160.320.230.16
Net GEX4.6M1.5M8.3M4.4M1.5M
Net DEX-99.0M-158.2M-43.4M-86.3M-43.4M
Net VEX-1.1M-1.1M-1.0M-1.1M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.172.700.920.25
Total Volume1,341.7734103,4085793,408
Total OI36,623.27334,46239,64734,46239,647

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-05-01$209.21$210.0019.2%5.5%16.8%54.6%19.4%2.3%-0.8%4.4M-86.3M-1.1M0.9282.67N/AN/A30227720,26514,197
2024-05-02$207.01$210.0018.5%5.3%17.2%48.5%19.0%1.6%-0.7%3.1M-67.4M-1.1M1.2880.19N/AN/A23329920,37514,332
2024-05-03$207.49$210.0017.3%5.0%17.2%37.0%18.2%1.4%-0.1%3.1M-70.9M-1.1M0.7579.97N/AN/A56142120,45714,557
2024-05-06$207.81$210.0017.8%5.0%16.8%42.0%17.6%1.5%0.2%3.1M-73.2M-1.1M0.6867.60N/AN/A28619520,33114,656
2024-05-07$208.16$210.0017.7%4.9%15.5%40.9%17.1%2.1%0.0%3.0M-74.4M-1.0M2.7062.19N/AN/A36999520,37514,667
2024-05-08$211.38$210.0018.5%4.9%15.1%48.4%17.1%2.6%0.2%5.2M-102.0M-1.1M1.3462.73N/AN/A54072220,44415,141
2024-05-09$213.19$210.0018.4%4.8%15.4%47.8%16.7%2.1%0.2%7.4M-120.7M-1.1M1.2765.22N/AN/A46959620,46815,176
2024-05-10$208.40$210.0016.5%4.6%16.4%29.1%17.2%1.7%0.3%2.8M-74.4M-1.0M0.8664.57N/AN/A56248520,72815,168
2024-05-13$210.04$210.0021.4%4.8%15.4%76.0%17.2%1.6%0.1%4.0M-92.9M-1.0M1.1366.89N/AN/A50657320,96315,211
2024-05-14$209.78$210.0020.8%4.9%15.4%69.9%17.7%2.1%-0.0%3.7M-93.1M-1.0M0.3256.40N/AN/A1,05334021,29315,440
2024-05-15$208.43$210.0016.5%4.7%15.4%28.8%16.7%1.9%0.2%3.1M-91.4M-1.1M1.2468.76N/AN/A69986822,15415,625
2024-05-16$212.58$210.0016.9%4.9%16.8%33.4%16.6%1.7%-0.8%5.0M-134.2M-1.1M0.1776.12N/AN/A2,22338222,31015,796
2024-05-17$213.08$210.0016.6%4.8%15.3%30.3%15.9%1.9%0.1%6.7M-144.5M-1.1M0.3978.87N/AN/A1,37754322,98915,980
2024-05-20$211.82$210.0016.4%4.7%15.1%27.7%16.3%1.6%0.3%6.4M-126.6M-1.1M0.4579.42N/AN/A77835221,20614,136
2024-05-21$210.97$210.0016.1%4.6%15.1%25.6%16.1%1.4%0.3%6.0M-118.5M-1.1M0.5580.03N/AN/A26414621,48814,352
2024-05-22$211.88$210.0016.9%4.8%14.8%33.0%17.1%1.8%0.3%6.5M-127.0M-1.1M1.2280.23N/AN/A54867121,52514,348
2024-05-23$212.07$210.0017.5%5.0%14.8%38.4%17.4%1.4%0.1%6.4M-128.3M-1.1M0.1781.34N/AN/A91515321,75314,720
2024-05-24$214.62$210.0017.0%4.9%14.9%33.7%16.9%1.4%0.7%8.3M-158.2M-1.1M0.8175.25N/AN/A1,5411,24722,16014,693
2024-05-28$208.44$210.0018.2%5.2%18.3%45.7%18.7%1.6%0.4%4.3M-98.9M-1.1M0.8877.13N/AN/A88377322,90315,271
2024-05-29$206.70$210.0018.5%5.3%18.5%47.9%19.0%0.8%0.2%3.6M-81.9M-1.1M0.5573.70N/AN/A62534523,29315,824
2024-05-30$205.63$210.0018.8%5.4%18.6%50.9%19.1%1.6%-0.5%2.8M-69.3M-1.1M0.6871.45N/AN/A59040423,37415,921
2024-05-31$203.11$210.0019.1%5.5%18.7%54.0%18.4%1.6%-0.6%1.5M-43.4M-1.1M0.2570.95N/AN/A2,73667223,44916,198