CME Options History — October 2024 In October 2024, CME traded between $220.68 and $229.25. ATM implied volatility averaged 19.1%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 6.2% (HV 20d: 12.9%). Max pain ranged from $200.00 to $210.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.43.
Notable Days 2024-10-02 : Highest Volume — 4,581 contracts2024-10-07 : Largest IV spike — 24.9% change2024-10-15 : Highest IV Rank — 53.6%2024-10-15 : Largest Expected Move — 6.2%Monthly Statistics Metric Avg Min Max Open Close Price $225.16 $220.68 $229.25 $224.97 $225.48 Max Pain $206.52 $200.00 $210.00 $210.00 $210.00 ATM IV 19.1% 15.8% 21.7% 18.2% 19.9% Expected Move 5.6% 4.9% 6.2% 5.2% 5.7% HV 20d 12.9% 11.5% 14.9% 14.9% 11.7% HV 60d 15.4% 13.6% 16.3% 16.1% 13.6% IV Rank 35.1% 11.3% 53.6% 28.3% 40.9% IV Percentile 58.5% 2.8% 92.5% 41.7% 75.4% Term Structure -0.5% -1.6% 3.1% 3.1% -1.3% VWIV 20.0% 17.7% 22.4% 17.7% 22.4% Skew 25d 2.7% 1.6% 3.6% 2.5% 3.3% Skew 10d 6.0% 3.5% 7.8% 5.7% 6.2% Call IV 25d 18.6% 15.9% 20.0% 15.9% 19.6% Put IV 25d 21.4% 18.4% 23.1% 18.4% 22.8% Bid-Ask Spread % 79.11 65.00 85.10 76.48 85.10 Gamma HHI 0.40 0.25 0.59 0.51 0.28 Net GEX 20.1M 12.9M 27.3M 23.1M 14.6M Net DEX -403.1M -491.2M -354.9M -458.7M -354.9M Net VEX -1.1M -1.2M -978.6K -1.2M -1.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.43 0.10 0.93 0.22 0.25 Total Volume 1,926.87 354 4,581 3,211 551 Total OI 48,756.217 43,614 53,821 49,109 47,412
Daily Data (23 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 2024-10-01 $224.97 $210.00 18.2% 5.2% 14.9% 28.3% 17.7% 2.5% 3.1% 23.1M -458.7M -1.2M 0.22 76.48 N/A N/A 2,635 576 32,584 16,525 2024-10-02 $222.73 $210.00 18.3% 5.2% 14.4% 29.3% 18.3% 3.5% 2.3% 22.7M -408.0M -1.2M 0.10 81.20 N/A N/A 4,157 424 31,851 16,717 2024-10-03 $224.07 $200.00 17.3% 6.2% 13.6% 22.4% 21.1% 3.3% -1.3% 20.5M -415.4M -1.2M 0.71 79.69 N/A N/A 852 609 31,187 16,777 2024-10-04 $223.76 $200.00 15.8% 5.8% 13.5% 11.3% 19.2% 2.8% -0.8% 22.4M -409.4M -1.2M 0.15 80.09 N/A N/A 1,220 177 31,473 16,852 2024-10-07 $221.56 $200.00 19.7% 6.1% 13.4% 39.3% 20.8% 3.5% -0.7% 22.4M -373.6M -1.2M 0.54 79.54 N/A N/A 1,545 836 32,159 16,933 2024-10-08 $221.67 $200.00 18.8% 5.9% 13.3% 32.8% 21.1% 3.1% -0.3% 23.7M -378.9M -1.2M 0.82 81.53 N/A N/A 570 469 32,729 17,210 2024-10-09 $220.68 $200.00 20.2% 5.8% 13.3% 42.6% 20.6% 3.2% -0.7% 24.7M -365.4M -1.2M 0.31 82.01 N/A N/A 911 279 32,927 17,475 2024-10-10 $221.40 $200.00 20.3% 5.8% 13.3% 43.9% 20.3% 3.4% -0.9% 25.6M -377.3M -1.2M 0.72 79.94 N/A N/A 344 246 33,236 17,686 2024-10-11 $221.54 $200.00 20.0% 5.7% 13.3% 41.0% 19.7% 3.6% -0.7% 27.3M -375.4M -1.2M 0.81 83.57 N/A N/A 196 158 33,364 17,782 2024-10-14 $223.94 $200.00 21.4% 6.1% 13.5% 51.3% 21.3% 3.2% -1.6% 25.4M -426.0M -1.1M 0.53 81.86 N/A N/A 623 329 33,278 17,832 2024-10-15 $224.72 $210.00 21.7% 6.2% 13.4% 53.6% 20.6% 2.8% -1.2% 24.6M -437.9M -1.1M 0.19 82.58 N/A N/A 778 144 33,447 18,003 2024-10-16 $227.05 $210.00 19.8% 5.7% 12.8% 39.6% 21.8% 2.6% -0.9% 24.1M -480.9M -1.0M 0.10 77.61 N/A N/A 2,537 256 33,783 18,054 2024-10-17 $227.52 $210.00 19.8% 5.7% 12.6% 40.0% 20.6% 2.2% -0.9% 23.1M -491.0M -1.0M 0.47 74.20 N/A N/A 2,964 1,385 34,297 18,173 2024-10-18 $228.42 $210.00 19.7% 5.6% 11.9% 39.0% 20.8% 1.6% -0.7% 19.9M -491.2M -1.0M 0.28 76.03 N/A N/A 2,585 716 34,611 19,210 2024-10-21 $227.32 $210.00 20.0% 5.7% 11.8% 41.3% 20.1% 1.7% -1.5% 12.9M -363.8M -1.1M 0.23 69.97 N/A N/A 2,079 473 28,344 15,270 2024-10-22 $225.97 $210.00 19.7% 5.6% 11.8% 39.0% 20.5% 2.2% -1.3% 13.3M -365.9M -978.6K 0.60 65.00 N/A N/A 2,203 1,324 28,792 15,443 2024-10-23 $227.36 $210.00 17.8% 5.1% 11.7% 26.0% 18.4% 2.2% -0.2% 14.8M -378.2M -1.1M 0.29 76.26 N/A N/A 2,441 717 29,786 16,147 2024-10-24 $229.25 $210.00 18.3% 5.3% 11.9% 29.4% 18.5% 2.2% -0.4% 15.5M -403.3M -1.0M 0.37 77.51 N/A N/A 1,488 544 30,084 16,365 2024-10-25 $225.75 $210.00 17.1% 4.9% 13.4% 21.0% 17.9% 2.9% 0.2% 14.3M -356.3M -1.1M 0.50 82.30 N/A N/A 606 303 30,057 16,486 2024-10-28 $228.71 $210.00 18.1% 5.2% 13.8% 28.1% 19.1% 2.1% -0.5% 16.0M -397.3M -1.0M 0.66 81.46 N/A N/A 237 157 30,384 16,537 2024-10-29 $227.91 $210.00 18.7% 5.4% 12.1% 32.3% 20.1% 2.8% -1.1% 15.7M -386.1M -1.0M 0.93 83.77 N/A N/A 225 209 30,394 16,604 2024-10-30 $226.96 $210.00 19.0% 5.5% 11.5% 34.4% 19.6% 2.5% -1.1% 15.3M -376.3M -1.0M 0.13 81.84 N/A N/A 1,985 255 30,426 16,707 2024-10-31 $225.48 $210.00 19.9% 5.7% 11.7% 40.9% 22.4% 3.3% -1.3% 14.6M -354.9M -1.0M 0.25 85.10 N/A N/A 442 109 30,528 16,884
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