CME Options History — July 2024 In July 2024, CME traded between $193.63 and $201.04. ATM implied volatility averaged 18.7%, placing in the 50.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 5.9% (HV 20d: 12.8%). Max pain ranged from $195.00 to $200.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.73.
Notable Days 2024-07-19 : Highest Volume — 7,191 contracts2024-07-10 : Largest IV spike — 15.8% change2024-07-23 : Highest IV Rank — 85.0%2024-07-23 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $197.16 $193.63 $201.04 $195.72 $193.63 Max Pain $197.95 $195.00 $200.00 $195.00 $200.00 ATM IV 18.7% 15.6% 22.3% 16.2% 17.7% Expected Move 5.5% 4.6% 6.4% 4.6% 5.1% HV 20d 12.8% 11.3% 14.8% 12.8% 14.8% HV 60d 15.2% 14.7% 16.2% 16.2% 15.4% IV Rank 50.1% 20.8% 85.0% 26.2% 40.3% IV Percentile 53.3% 8.3% 96.0% 14.3% 33.7% Term Structure -0.4% -2.6% 3.3% 2.7% 0.0% VWIV 19.3% 15.7% 22.4% 15.8% 22.0% Skew 25d 1.9% 1.2% 2.9% 1.8% 2.9% Skew 10d 3.9% 1.5% 5.5% 2.8% 5.5% Call IV 25d 18.4% 15.4% 20.9% 15.7% 17.4% Put IV 25d 20.3% 17.1% 23.1% 17.4% 20.3% Bid-Ask Spread % 77.23 68.50 82.18 80.75 77.65 Gamma HHI 0.20 0.14 0.64 0.14 0.18 Net GEX 4.4M -1.7M 27.8M 1.5M -1.7M Net DEX -96.9M -178.3M -34.0M -54.2M -59.0M Net VEX -1.2M -1.3M -1.2M -1.2M -1.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.73 0.17 1.76 0.17 1.76 Total Volume 1,940.409 231 7,191 1,481 2,653 Total OI 41,681.545 38,656 45,095 38,656 45,095
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 2024-07-01 $195.72 $195.00 16.2% 4.6% 12.8% 26.2% 15.8% 1.8% 2.7% 1.5M -54.2M -1.2M 0.17 80.75 N/A N/A 1,261 220 23,437 15,219 2024-07-02 $196.75 $195.00 16.1% 4.6% 12.9% 25.3% 15.7% 1.7% 2.7% 2.4M -69.5M -1.2M 0.27 82.18 N/A N/A 1,242 330 24,130 15,343 2024-07-03 $196.14 $195.00 15.9% 4.6% 12.4% 23.1% 16.1% 1.2% 3.3% 2.3M -68.9M -1.3M 0.72 81.75 N/A N/A 134 97 24,596 15,459 2024-07-05 $196.26 $200.00 15.6% 5.4% 11.9% 20.8% 18.7% 2.1% -0.2% 2.1M -64.5M -1.2M 0.47 73.65 N/A N/A 334 158 24,716 15,503 2024-07-08 $195.04 $200.00 16.8% 5.5% 11.9% 31.8% 19.2% 1.6% -0.6% 1.2M -48.7M -1.2M 0.68 69.76 N/A N/A 486 331 24,733 15,535 2024-07-09 $194.19 $200.00 16.4% 5.3% 11.3% 28.6% 18.3% 2.6% -0.3% 628.7K -38.8M -1.2M 0.26 77.46 N/A N/A 821 213 24,877 15,587 2024-07-10 $193.99 $200.00 19.0% 5.5% 11.3% 53.5% 18.8% 2.2% -0.4% 544.4K -34.5M -1.2M 0.35 75.02 N/A N/A 838 297 25,212 15,643 2024-07-11 $196.09 $195.00 19.2% 5.5% 12.1% 55.1% 19.2% 1.9% -0.4% 2.5M -69.3M -1.2M 1.35 78.54 N/A N/A 471 636 25,657 15,747 2024-07-12 $193.95 $195.00 18.7% 5.4% 11.5% 49.9% 19.8% 2.1% -0.5% 941.5K -34.0M -1.2M 0.49 75.04 N/A N/A 1,466 721 25,753 15,493 2024-07-15 $196.99 $195.00 19.5% 5.6% 12.9% 57.6% 19.1% 1.8% -0.7% 4.0M -92.2M -1.2M 0.25 77.16 N/A N/A 1,483 378 26,210 15,633 2024-07-16 $197.14 $195.00 19.7% 5.6% 12.8% 59.7% 19.8% 1.7% -1.4% 4.5M -109.6M -1.2M 0.34 77.41 N/A N/A 1,407 485 27,185 15,677 2024-07-17 $201.04 $200.00 19.9% 5.7% 14.5% 61.5% 19.6% 1.7% -0.8% 8.4M -178.3M -1.2M 0.43 77.18 N/A N/A 1,340 581 27,818 15,811 2024-07-18 $200.46 $195.00 20.3% 5.8% 14.5% 65.1% 20.4% 2.0% -0.7% 9.5M -172.7M -1.2M 0.34 77.26 N/A N/A 1,243 417 28,141 15,914 2024-07-19 $199.83 $195.00 21.3% 6.1% 14.4% 74.7% 21.4% 2.5% -1.3% 27.8M -157.0M -1.2M 0.80 78.28 N/A N/A 3,997 3,194 28,400 15,911 2024-07-22 $199.53 $200.00 21.1% 6.0% 12.1% 73.1% 22.4% 2.3% -2.0% 4.5M -126.2M -1.3M 1.05 78.00 N/A N/A 783 820 25,090 13,803 2024-07-23 $197.41 $200.00 22.3% 6.4% 12.7% 85.0% 21.9% 2.2% -2.6% 3.5M -104.1M -1.3M 0.40 68.50 N/A N/A 2,485 985 25,601 14,383 2024-07-24 $197.49 $200.00 20.4% 5.8% 12.5% 66.4% 20.8% 1.2% -1.1% 3.3M -110.6M -1.3M 1.66 77.75 N/A N/A 895 1,488 26,428 15,009 2024-07-25 $200.12 $200.00 19.1% 5.5% 13.0% 53.9% 19.1% 1.4% -0.7% 5.1M -140.9M -1.3M 0.18 80.63 N/A N/A 1,706 303 26,423 15,255 2024-07-26 $200.04 $200.00 18.3% 5.2% 13.1% 45.9% 19.3% 1.4% -0.5% 6.2M -150.7M -1.3M 1.55 80.58 N/A N/A 953 1,474 27,331 15,346 2024-07-29 $198.88 $200.00 18.8% 5.4% 13.2% 50.7% 19.2% 1.7% -1.3% 4.8M -139.1M -1.3M 0.99 77.29 N/A N/A 437 434 27,891 16,002 2024-07-30 $196.93 $200.00 19.1% 5.5% 13.6% 54.3% 18.4% 2.3% -1.2% 2.7M -109.5M -1.3M 1.63 77.30 N/A N/A 1,024 1,668 27,919 16,078 2024-07-31 $193.63 $200.00 17.7% 5.1% 14.8% 40.3% 22.0% 2.9% 0.0% -1.7M -59.0M -1.3M 1.76 77.65 N/A N/A 962 1,691 27,869 17,226
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