CME Options History — September 2024

In September 2024, CME traded between $211.70 and $220.46. ATM implied volatility averaged 17.6%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 1.6% (HV 20d: 16.0%). Max pain ranged from $200.00 to $210.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2024-09-06: Highest Volume — 8,321 contracts
  • 2024-09-20: Largest IV drop — 9.6% change
  • 2024-09-03: Highest IV Rank — 39.0%
  • 2024-09-03: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$217.16$211.70$220.46$211.70$220.46
Max Pain$209.00$200.00$210.00$200.00$210.00
ATM IV17.6%16.1%19.2%19.2%16.4%
Expected Move5.0%4.6%5.5%5.5%4.7%
HV 20d16.0%14.8%17.3%17.3%14.9%
HV 60d15.7%15.2%16.0%15.5%15.8%
IV Rank26.2%13.9%39.0%39.0%15.4%
IV Percentile31.2%6.3%61.5%61.5%9.1%
Term Structure1.6%-0.5%3.3%-0.5%3.3%
VWIV18.2%16.1%20.3%19.2%16.7%
Skew 25d2.2%1.1%3.5%2.1%1.7%
Skew 10d4.7%1.3%6.6%2.2%1.3%
Call IV 25d17.2%15.9%18.3%18.3%16.8%
Put IV 25d19.4%18.5%20.6%20.4%18.5%
Bid-Ask Spread %78.3869.1484.9180.6680.20
Gamma HHI0.490.340.660.340.63
Net GEX16.7M9.6M24.9M12.1M24.9M
Net DEX-308.0M-385.7M-240.6M-249.4M-385.7M
Net VEX-1.2M-1.3M-1.1M-1.2M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.068.310.580.21
Total Volume2,930.86518,3212,0841,661
Total OI47,855.2544,27453,73344,27448,812

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$211.70$200.0019.2%5.5%17.3%39.0%19.2%2.1%-0.5%12.1M-249.4M-1.2M0.5880.66N/AN/A1,31576928,42515,849
2024-09-04$215.55$200.0017.5%5.0%15.2%27.6%19.9%1.9%-0.3%15.4M-311.0M-1.2M0.1380.75N/AN/A2,07026729,09616,193
2024-09-05$218.89$210.0018.9%5.1%15.6%36.9%18.2%2.2%2.0%17.0M-356.9M-1.2M0.2578.27N/AN/A1,85545929,71516,238
2024-09-06$220.36$210.0018.0%5.1%15.5%30.9%18.1%2.4%2.3%17.5M-380.4M-1.1M0.1273.84N/AN/A7,45187029,81516,311
2024-09-09$218.00$210.0018.3%5.1%16.3%33.1%17.8%2.7%1.8%15.4M-314.3M-1.2M0.4180.35N/AN/A1,10844927,73816,675
2024-09-10$218.75$210.0018.5%5.0%16.3%34.3%20.3%2.5%1.8%15.8M-320.7M-1.1M0.3979.80N/AN/A2,36992527,77716,795
2024-09-11$217.76$210.0017.1%4.9%16.5%24.6%18.9%2.4%2.0%18.2M-309.2M-1.1M0.1382.27N/AN/A1,50618928,35817,488
2024-09-12$217.00$210.0017.3%5.0%16.6%25.9%19.8%3.5%1.9%17.8M-293.8M-1.1M8.3182.91N/AN/A3883,22528,38317,501
2024-09-13$216.99$210.0017.3%5.0%15.8%26.2%19.4%2.8%1.4%15.4M-278.8M-1.2M0.7484.91N/AN/A37427728,39420,146
2024-09-16$218.74$210.0017.7%5.1%15.6%28.6%18.5%2.6%1.1%18.6M-306.2M-1.2M0.7877.10N/AN/A46035728,41720,226
2024-09-17$218.02$210.0018.3%5.2%15.7%29.2%18.4%2.4%0.7%18.0M-297.4M-1.1M0.0875.99N/AN/A4,21035728,54820,451
2024-09-18$215.44$210.0017.5%5.0%16.5%23.8%18.1%1.1%1.2%15.4M-270.2M-1.2M0.5881.44N/AN/A1,05961530,50520,491
2024-09-19$214.88$210.0019.1%5.5%16.5%34.6%17.7%2.0%0.7%11.6M-256.6M-1.2M0.0878.86N/AN/A3,51929530,79720,911
2024-09-20$213.03$210.0017.2%4.9%16.9%21.7%16.1%2.9%1.5%9.6M-240.6M-1.2M0.0876.34N/AN/A6,42651732,74220,991
2024-09-23$215.50$210.0016.1%4.6%16.5%13.9%16.2%2.2%1.7%11.1M-251.4M-1.3M0.1069.14N/AN/A3,14631528,22318,247
2024-09-24$217.88$210.0017.1%4.9%16.8%20.5%17.1%1.8%1.9%16.3M-315.8M-1.3M0.0671.94N/AN/A3,16420030,48818,429
2024-09-25$217.25$210.0016.5%4.7%15.6%16.7%18.4%1.8%2.5%18.8M-317.6M-1.3M2.6979.62N/AN/A1,1112,98832,12018,456
2024-09-26$218.49$210.0016.8%4.8%15.0%18.4%16.8%1.8%2.7%23.1M-351.2M-1.3M0.1078.10N/AN/A6186032,55116,255
2024-09-27$218.51$210.0017.4%5.0%14.8%22.9%17.4%1.6%2.3%22.6M-353.7M-1.3M0.2375.18N/AN/A1,36330932,29816,250
2024-09-30$220.46$210.0016.4%4.7%14.9%15.4%16.7%1.7%3.3%24.9M-385.7M-1.2M0.2180.20N/AN/A1,37328832,37716,435