CME Options History — August 2024 In August 2024, CME traded between $196.63 and $215.19. ATM implied volatility averaged 18.2%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 0.6% (HV 20d: 17.6%). Max pain ranged from $195.00 to $200.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.95.
Notable Days 2024-08-02 : Highest Volume — 3,603 contracts2024-08-05 : Largest IV spike — 34.9% change2024-08-05 : Highest IV Rank — 100.0%2024-08-05 : Largest Expected Move — 7.3%Monthly Statistics Metric Avg Min Max Open Close Price $207.04 $196.63 $215.19 $196.63 $215.19 Max Pain $199.77 $195.00 $200.00 $195.00 $200.00 ATM IV 18.2% 14.2% 28.2% 20.6% 14.2% Expected Move 5.1% 4.1% 7.3% 5.9% 4.1% HV 20d 17.6% 15.8% 19.6% 15.8% 16.3% HV 60d 15.8% 14.8% 16.9% 15.8% 15.1% IV Rank 33.9% 5.0% 100.0% 68.8% 5.0% IV Percentile 38.8% 0.8% 100.0% 79.4% 0.8% Term Structure 0.6% -1.6% 1.7% -1.6% 1.7% VWIV 18.4% 15.0% 25.5% 20.3% 15.0% Skew 25d 2.9% 0.9% 5.2% 1.1% 3.2% Skew 10d 6.5% 2.8% 10.4% 3.2% 5.0% Call IV 25d 17.0% 13.8% 23.3% 20.1% 13.8% Put IV 25d 19.9% 17.0% 28.5% 21.3% 17.0% Bid-Ask Spread % 75.86 68.82 82.30 78.70 78.36 Gamma HHI 0.32 0.16 0.57 0.17 0.35 Net GEX 10.2M 1.5M 17.7M 1.5M 14.3M Net DEX -216.8M -298.7M -101.7M -101.7M -293.8M Net VEX -1.2M -1.4M -1.1M -1.3M -1.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.95 0.11 2.59 0.41 0.45 Total Volume 1,575.182 543 3,603 2,192 777 Total OI 44,748.409 39,991 48,831 46,131 44,064
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 2024-08-01 $196.63 $195.00 20.6% 5.9% 15.8% 68.8% 20.3% 1.1% -1.6% 1.5M -101.7M -1.3M 0.41 78.70 N/A N/A 1,552 640 28,155 17,976 2024-08-02 $198.98 $200.00 20.9% 6.0% 16.4% 71.4% 22.0% 0.9% -0.1% 4.0M -133.4M -1.4M 2.01 82.30 N/A N/A 1,198 2,405 28,265 18,092 2024-08-05 $197.38 $200.00 28.2% 7.3% 16.5% 100.0% 25.5% 5.2% -0.8% 4.4M -120.9M -1.4M 1.80 75.02 N/A N/A 668 1,204 28,610 17,125 2024-08-06 $203.52 $200.00 23.6% 6.1% 19.5% 68.5% 20.5% 3.6% 0.1% 9.3M -195.6M -1.4M 0.55 77.20 N/A N/A 623 342 28,838 17,053 2024-08-07 $205.56 $200.00 21.1% 6.0% 19.6% 52.0% 21.0% 3.7% 0.5% 10.7M -222.8M -1.4M 0.47 75.61 N/A N/A 1,673 788 29,017 17,134 2024-08-08 $205.09 $200.00 20.3% 5.5% 19.5% 46.3% 23.0% 3.4% 0.7% 11.1M -211.5M -1.3M 2.59 71.02 N/A N/A 414 1,071 29,097 17,398 2024-08-09 $206.25 $200.00 17.9% 5.2% 18.9% 29.9% 19.9% 3.1% 1.1% 12.3M -228.1M -1.3M 0.91 75.61 N/A N/A 955 870 29,158 18,173 2024-08-12 $207.04 $200.00 20.4% 5.3% 18.3% 47.0% 20.3% 3.3% 0.5% 14.1M -231.2M -1.3M 0.52 75.86 N/A N/A 791 415 29,194 18,741 2024-08-13 $207.09 $200.00 18.7% 5.1% 18.3% 35.2% 18.0% 3.5% 0.8% 14.8M -228.5M -1.3M 0.45 77.27 N/A N/A 682 304 28,856 19,169 2024-08-14 $207.84 $200.00 17.1% 4.9% 17.1% 24.9% 17.8% 3.5% 0.8% 17.7M -233.2M -1.2M 0.35 79.11 N/A N/A 789 277 28,966 19,277 2024-08-15 $205.39 $200.00 16.2% 4.6% 17.7% 18.6% 16.7% 2.8% 0.9% 9.1M -201.8M -1.2M 0.76 75.79 N/A N/A 982 744 29,087 19,329 2024-08-16 $207.66 $200.00 15.9% 4.6% 18.0% 16.8% 17.1% 2.3% 0.6% 7.3M -220.4M -1.2M 1.58 75.02 N/A N/A 589 933 29,284 19,547 2024-08-19 $208.91 $200.00 15.6% 4.5% 18.0% 14.3% 16.7% 2.2% 0.6% 8.8M -219.2M -1.2M 1.14 70.26 N/A N/A 766 875 25,287 14,704 2024-08-20 $208.66 $200.00 16.2% 4.6% 17.4% 18.3% 17.7% 2.4% 0.4% 8.9M -219.4M -1.2M 1.97 68.82 N/A N/A 183 360 25,622 14,585 2024-08-21 $208.78 $200.00 15.0% 4.3% 17.4% 10.7% 15.4% 2.8% 1.5% 9.4M -220.4M -1.2M 0.11 74.93 N/A N/A 1,942 223 25,684 14,546 2024-08-22 $209.67 $200.00 16.3% 4.7% 17.0% 18.9% 16.3% 3.9% 1.1% 10.5M -232.0M -1.2M 0.12 78.85 N/A N/A 830 99 26,828 14,605 2024-08-23 $207.07 $200.00 15.0% 4.3% 17.7% 10.4% 16.5% 2.4% 1.5% 9.2M -202.0M -1.2M 2.09 76.13 N/A N/A 406 848 27,046 14,656 2024-08-26 $207.83 $200.00 15.5% 4.4% 17.5% 13.8% 15.8% 2.0% 1.0% 9.5M -211.8M -1.2M 0.81 73.31 N/A N/A 377 306 27,004 15,251 2024-08-27 $212.02 $200.00 16.6% 4.8% 18.0% 21.3% 16.6% 2.3% 0.4% 12.1M -261.0M -1.2M 0.40 75.27 N/A N/A 992 399 27,181 15,321 2024-08-28 $214.78 $200.00 18.2% 5.2% 16.5% 32.0% 17.5% 2.6% 0.1% 13.4M -298.7M -1.1M 0.23 73.70 N/A N/A 2,798 633 27,466 15,364 2024-08-29 $213.55 $200.00 16.7% 4.8% 16.5% 21.7% 15.7% 3.0% 0.5% 13.0M -281.7M -1.2M 1.23 80.88 N/A N/A 417 514 28,055 15,655 2024-08-30 $215.19 $200.00 14.2% 4.1% 16.3% 5.0% 15.0% 3.2% 1.7% 14.3M -293.8M -1.2M 0.45 78.36 N/A N/A 535 242 28,148 15,916
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