CME Options History — November 2024 In November 2024, CME traded between $220.81 and $238.23. ATM implied volatility averaged 19.1%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 4.7% (HV 20d: 14.4%). Max pain ranged from $185.00 to $220.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.50.
Notable Days 2024-11-20 : Highest Volume — 8,604 contracts2024-11-11 : Largest IV spike — 28.0% change2024-11-05 : Highest IV Rank — 78.4%2024-11-01 : Largest Expected Move — 6.2%Monthly Statistics Metric Avg Min Max Open Close Price $227.52 $220.81 $238.23 $224.04 $238.23 Max Pain $194.00 $185.00 $220.00 $220.00 $200.00 ATM IV 19.1% 16.9% 25.2% 21.5% 17.2% Expected Move 5.2% 4.7% 6.2% 6.2% 4.9% HV 20d 14.4% 11.6% 16.7% 11.9% 16.3% HV 60d 14.2% 13.7% 15.0% 13.7% 13.9% IV Rank 35.2% 19.2% 78.4% 51.8% 21.4% IV Percentile 50.9% 15.1% 99.6% 90.9% 20.2% Term Structure 0.7% -2.0% 2.3% -2.0% 0.3% VWIV 18.2% 12.9% 21.7% 21.7% 12.9% Skew 25d 1.9% 0.2% 3.4% 2.9% 0.2% Skew 10d 5.0% 1.7% 8.9% 5.0% 2.1% Call IV 25d 17.5% 16.0% 19.5% 19.5% 17.4% Put IV 25d 19.3% 17.6% 22.4% 22.4% 17.6% Bid-Ask Spread % 82.91 77.16 86.72 84.20 82.59 Gamma HHI 0.35 0.29 0.57 0.29 0.35 Net GEX 18.7M 10.7M 29.1M 14.9M 28.2M Net DEX -404.9M -621.5M -280.9M -342.0M -621.5M Net VEX -1.1M -1.4M -855.5K -984.0K -1.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.50 0.04 2.06 0.80 0.09 Total Volume 2,748.95 556 8,604 671 1,646 Total OI 51,480.7 43,957 56,837 47,528 56,159
Daily Data (20 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 2024-11-01 $224.04 $220.00 21.5% 6.2% 11.9% 51.8% 21.7% 2.9% -2.0% 14.9M -342.0M -984.0K 0.80 84.20 N/A N/A 373 298 30,582 16,946 2024-11-04 $222.69 $185.00 23.4% 5.8% 11.6% 65.3% 20.5% 3.4% 0.4% 13.5M -313.4M -1.0M 1.36 81.11 N/A N/A 306 417 30,603 17,106 2024-11-05 $224.08 $185.00 25.2% 5.8% 11.7% 78.4% 20.7% 3.3% 0.5% 14.4M -340.6M -957.9K 2.06 80.95 N/A N/A 1,021 2,104 30,671 17,270 2024-11-06 $220.81 $185.00 18.8% 5.1% 12.8% 32.8% 17.3% 2.7% 1.8% 11.7M -280.9M -981.4K 0.17 77.16 N/A N/A 2,123 367 30,882 18,875 2024-11-07 $222.74 $185.00 18.5% 5.0% 13.2% 30.6% 17.0% 2.5% 1.6% 12.8M -324.8M -864.7K 0.48 82.65 N/A N/A 531 253 30,831 18,897 2024-11-08 $225.98 $185.00 17.2% 4.7% 14.1% 21.4% 16.6% 2.1% 1.6% 17.0M -369.0M -862.4K 0.54 82.56 N/A N/A 1,522 817 31,057 18,989 2024-11-11 $226.24 $185.00 22.0% 5.1% 13.6% 55.7% 18.3% 2.1% 1.8% 16.6M -372.9M -855.5K 0.18 84.04 N/A N/A 1,300 228 31,435 19,294 2024-11-12 $226.69 $185.00 23.5% 5.0% 13.6% 66.5% 19.3% 1.9% 1.6% 18.1M -369.5M -904.8K 0.05 84.40 N/A N/A 2,320 110 31,602 19,391 2024-11-13 $228.20 $185.00 17.0% 4.9% 13.3% 19.8% 17.5% 2.4% 2.3% 22.8M -399.6M -910.4K 0.66 86.35 N/A N/A 456 303 32,381 19,426 2024-11-14 $223.39 $185.00 17.3% 5.0% 15.3% 22.5% 18.6% 2.4% 0.9% 10.7M -332.7M -887.8K 0.78 86.72 N/A N/A 1,860 1,454 32,479 19,488 2024-11-15 $225.74 $195.00 16.9% 4.8% 15.7% 19.2% 18.6% 2.0% 1.2% 11.6M -370.3M -918.1K 0.57 80.87 N/A N/A 2,406 1,381 33,316 20,380 2024-11-18 $227.53 $200.00 17.0% 4.9% 15.9% 20.0% 17.2% 2.2% 0.3% 14.2M -344.6M -928.3K 0.29 81.43 N/A N/A 430 126 28,159 15,798 2024-11-19 $228.84 $200.00 17.9% 5.1% 15.9% 26.3% 18.0% 1.0% 0.5% 14.7M -368.2M -915.8K 0.04 82.47 N/A N/A 7,422 333 28,374 15,822 2024-11-20 $228.26 $200.00 17.9% 5.1% 15.8% 26.8% 18.4% 1.4% 0.7% 21.3M -421.8M -1.2M 0.18 86.16 N/A N/A 7,268 1,336 35,570 15,998 2024-11-21 $226.96 $200.00 18.1% 5.2% 15.6% 27.6% 18.3% 1.8% -0.7% 22.4M -437.9M -1.4M 0.21 86.70 N/A N/A 731 151 40,043 16,543 2024-11-22 $228.92 $200.00 18.9% 5.4% 14.9% 33.9% 18.9% 0.3% -0.7% 24.7M -468.8M -1.4M 0.28 80.64 N/A N/A 2,123 586 40,273 16,564 2024-11-25 $229.09 $200.00 18.4% 5.3% 14.2% 30.2% 18.6% 1.0% -0.0% 25.4M -464.5M -1.4M 0.70 80.60 N/A N/A 1,203 840 39,956 16,326 2024-11-26 $234.70 $200.00 19.1% 5.5% 16.5% 34.9% 19.1% 1.6% -0.0% 28.8M -566.2M -1.4M 0.31 83.24 N/A N/A 4,236 1,312 39,868 16,223 2024-11-27 $237.34 $200.00 16.9% 4.8% 16.7% 19.2% 17.4% 0.8% 1.4% 29.1M -589.2M -1.4M 0.29 83.27 N/A N/A 2,541 745 39,473 16,564 2024-11-29 $238.23 $200.00 17.2% 4.9% 16.3% 21.4% 12.9% 0.2% 0.3% 28.2M -621.5M -1.3M 0.09 82.59 N/A N/A 1,506 140 39,676 16,483
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