CME Options History — June 2024

In June 2024, CME traded between $194.00 and $203.53. ATM implied volatility averaged 17.7%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 1.5% (HV 20d: 16.2%). Max pain ranged from $195.00 to $210.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.98.

Notable Days

  • 2024-06-20: Highest Volume — 4,553 contracts
  • 2024-06-07: Largest IV drop — 7.5% change
  • 2024-06-03: Highest IV Rank — 59.1%
  • 2024-06-03: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$197.84$194.00$203.53$201.85$196.62
Max Pain$206.32$195.00$210.00$210.00$195.00
ATM IV17.7%15.8%19.6%19.6%15.9%
Expected Move5.1%4.5%5.6%5.6%4.6%
HV 20d16.2%13.1%19.3%18.7%13.3%
HV 60d16.1%15.9%16.3%16.0%16.1%
IV Rank40.8%22.3%59.1%59.1%23.3%
IV Percentile39.4%8.7%69.0%69.0%10.7%
Term Structure1.6%-0.8%3.2%-0.8%3.1%
VWIV17.6%15.8%19.9%19.9%15.8%
Skew 25d1.4%0.7%3.5%1.1%1.2%
Skew 10d3.5%1.0%6.0%1.6%3.1%
Call IV 25d17.2%15.2%19.4%19.4%15.2%
Put IV 25d18.6%16.5%20.5%20.5%16.5%
Bid-Ask Spread %77.3468.8481.5178.0379.56
Gamma HHI0.190.130.230.170.14
Net GEX-837.1K-4.1M2.0M1.4M1.7M
Net DEX-22.0M-57.1M32.9M-31.5M-57.1M
Net VEX-1.1M-1.2M-1.1M-1.1M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.153.651.260.33
Total Volume2,136.0536144,5532,0191,204
Total OI41,884.63234,33848,22340,61738,076

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-06-03$201.85$210.0019.6%5.6%18.7%59.1%19.9%1.1%-0.8%1.4M-31.5M-1.1M1.2678.03N/AN/A8941,12524,04716,570
2024-06-04$203.53$210.0019.5%5.6%19.0%58.1%19.5%0.7%-0.4%2.0M-48.5M-1.1M0.7277.11N/AN/A35625824,11216,926
2024-06-05$201.24$210.0018.6%5.3%19.3%49.2%18.7%0.9%0.0%469.2K-21.2M-1.1M0.4077.11N/AN/A1,23949724,12317,044
2024-06-06$202.18$210.0018.7%5.4%18.4%50.2%17.0%3.5%0.7%851.6K-33.5M-1.1M0.4573.75N/AN/A97743724,68617,332
2024-06-07$199.79$210.0017.3%5.0%18.3%36.8%18.7%1.6%1.7%-360.0K-19.3M-1.1M0.8276.63N/AN/A1,8731,53624,77217,388
2024-06-10$199.22$210.0018.4%5.1%16.8%47.0%17.4%1.9%1.5%-1.2M-24.2M-1.1M0.4378.67N/AN/A1,02143725,90818,218
2024-06-11$199.03$210.0018.1%5.1%16.4%44.3%17.7%1.7%1.3%-1.5M-22.1M-1.1M0.1578.96N/AN/A1,27819726,07618,316
2024-06-12$196.07$210.0017.8%5.1%16.9%41.2%17.6%1.2%1.8%-2.9M3.9M-1.1M0.3781.51N/AN/A1,69163125,58918,236
2024-06-13$196.04$210.0017.8%5.1%16.9%41.4%17.4%1.3%1.7%-1.3M-9.0M-1.1M0.3878.44N/AN/A1,24647326,53217,992
2024-06-14$196.89$210.0018.4%5.3%14.9%47.2%18.2%1.0%1.1%-740.5K-23.9M-1.2M3.6576.29N/AN/A3201,16727,14218,032
2024-06-17$197.11$210.0018.2%5.2%14.9%45.8%17.7%0.9%2.2%-1.1M-23.8M-1.1M0.4375.71N/AN/A62627127,30018,408
2024-06-18$196.49$210.0018.2%5.2%14.8%45.3%17.7%1.5%1.7%-1.4M-14.2M-1.1M2.5381.24N/AN/A9272,34527,46918,354
2024-06-20$197.99$210.0017.8%5.1%15.4%41.6%17.4%1.6%1.7%-1.5M-29.2M-1.1M3.4380.96N/AN/A1,0273,52627,82419,330
2024-06-21$194.00$200.0017.5%5.0%16.3%38.8%17.3%1.6%1.9%-4.1M32.9M-1.1M0.8268.84N/AN/A2,2281,82527,81920,404
2024-06-24$195.22$200.0016.8%4.8%16.6%31.5%16.7%1.2%1.9%-2.7M-14.3M-1.1M0.1878.18N/AN/A1,55128419,39914,939
2024-06-25$194.16$200.0016.5%4.7%15.5%29.5%17.8%2.1%2.2%-2.2M-9.4M-1.1M0.8576.72N/AN/A87974520,10214,906
2024-06-26$195.71$200.0015.8%4.5%13.2%22.4%16.2%1.3%3.2%-2.4M-27.2M-1.1M0.8777.01N/AN/A1,9491,69120,53915,286
2024-06-27$195.81$195.0015.8%4.5%13.1%22.3%15.8%1.4%3.1%1.0M-47.0M-1.2M0.5274.80N/AN/A1,21863621,96014,652
2024-06-28$196.62$195.0015.9%4.6%13.3%23.3%15.8%1.2%3.1%1.7M-57.1M-1.2M0.3379.56N/AN/A90629822,91915,157