CME Options History — December 2024 In December 2024, CME traded between $232.07 and $246.39. ATM implied volatility averaged 18.1%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 1.3% (HV 20d: 19.3%). Max pain ranged from $190.00 to $240.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.48.
Notable Days 2024-12-06 : Highest Volume — 112,261 contracts2024-12-27 : Largest IV spike — 25.6% change2024-12-11 : Highest IV Rank — 42.4%2024-12-11 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $237.76 $232.07 $246.39 $235.47 $232.24 Max Pain $221.43 $190.00 $240.00 $200.00 $230.00 ATM IV 18.1% 14.0% 20.1% 15.7% 17.9% Expected Move 5.2% 4.0% 5.8% 4.5% 5.1% HV 20d 19.3% 16.7% 21.7% 16.8% 19.3% HV 60d 15.7% 14.1% 16.4% 14.1% 16.2% IV Rank 27.8% 0.0% 42.4% 10.5% 27.4% IV Percentile 44.6% 0.0% 76.6% 2.4% 37.3% Term Structure 1.0% -1.3% 3.4% 1.8% 1.4% VWIV 18.2% 13.6% 20.5% 16.0% 17.6% Skew 25d 2.2% -0.5% 11.3% -0.1% 2.3% Skew 10d 13.3% -0.1% 43.9% 30.6% 3.9% Call IV 25d 17.6% 14.7% 19.9% 15.9% 16.9% Put IV 25d 19.8% 15.6% 29.1% 15.8% 19.2% Bid-Ask Spread % 81.35 67.91 87.64 67.91 80.39 Gamma HHI 0.30 0.23 0.58 0.34 0.24 Net GEX 20.0M 8.2M 40.1M 30.3M 9.2M Net DEX -335.1M -726.2M -158.7M -583.4M -194.9M Net VEX -1.2M -1.3M -1.1M -1.3M -1.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.48 0.01 1.34 0.39 0.34 Total Volume 10,093.143 310 112,261 2,680 442 Total OI 46,890.19 38,340 58,861 56,642 40,114
Daily Data (21 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 2024-12-02 $235.47 $200.00 15.7% 4.5% 16.8% 10.5% 16.0% -0.1% 1.8% 30.3M -583.4M -1.3M 0.39 67.91 N/A N/A 1,925 755 40,160 16,482 2024-12-03 $240.54 $200.00 18.4% 5.3% 17.8% 29.9% 18.4% -0.5% 0.0% 30.4M -662.9M -1.3M 0.32 81.07 N/A N/A 2,498 802 40,648 16,513 2024-12-04 $243.16 $200.00 19.1% 5.5% 17.9% 35.3% 19.0% 1.1% -0.7% 30.3M -712.5M -1.2M 0.61 78.24 N/A N/A 2,738 1,664 41,069 16,631 2024-12-05 $246.39 $190.00 18.5% 5.4% 16.7% 30.9% 18.8% 0.7% -0.1% 23.8M -726.2M -1.2M 0.07 81.98 N/A N/A 4,278 295 40,025 18,095 2024-12-06 $240.99 $190.00 18.0% 5.6% 19.3% 27.3% 19.1% 1.4% -1.3% 25.7M -638.2M -1.2M 0.01 84.42 N/A N/A 111,537 724 40,760 18,101 2024-12-09 $237.51 $220.00 20.1% 5.7% 20.0% 42.3% 19.3% 2.3% 0.5% 18.6M -257.7M -1.3M 0.56 84.74 N/A N/A 799 444 27,295 18,352 2024-12-10 $239.53 $220.00 20.0% 5.5% 20.1% 41.0% 19.4% 1.8% 0.2% 21.1M -293.7M -1.3M 0.66 75.05 N/A N/A 989 655 27,444 18,386 2024-12-11 $234.69 $230.00 20.1% 5.8% 21.7% 42.4% 19.5% 2.2% -1.0% 15.4M -212.2M -1.3M 0.31 84.54 N/A N/A 854 266 27,434 18,892 2024-12-12 $236.16 $230.00 19.2% 5.5% 21.7% 36.0% 19.2% 1.6% 1.0% 17.5M -232.4M -1.3M 0.15 83.98 N/A N/A 1,132 167 27,462 18,967 2024-12-13 $236.92 $230.00 18.7% 5.4% 19.9% 32.2% 19.1% 8.4% 1.0% 17.0M -238.6M -1.2M 0.24 79.29 N/A N/A 910 218 26,873 19,078 2024-12-16 $236.04 $230.00 18.8% 5.4% 19.8% 32.7% 18.9% 1.6% 1.2% 16.7M -221.6M -1.2M 0.18 84.22 N/A N/A 1,004 179 27,139 19,153 2024-12-17 $236.33 $230.00 18.1% 5.2% 19.7% 28.1% 18.9% 11.3% 1.5% 16.9M -225.6M -1.2M 1.17 86.82 N/A N/A 725 851 26,847 19,143 2024-12-18 $238.17 $230.00 19.3% 5.5% 19.8% 36.3% 19.3% 1.2% 1.3% 17.6M -247.9M -1.2M 0.67 87.64 N/A N/A 884 590 26,692 19,396 2024-12-19 $238.07 $230.00 19.8% 5.7% 19.7% 39.7% 20.5% 0.9% -0.1% 19.9M -244.5M -1.2M 1.34 85.27 N/A N/A 1,564 2,091 27,016 19,785 2024-12-20 $239.25 $230.00 17.8% 5.1% 19.5% 25.6% 17.8% 1.2% 1.7% 40.1M -267.3M -1.2M 0.48 83.97 N/A N/A 2,237 1,066 27,191 19,738 2024-12-23 $238.42 $230.00 15.7% 4.5% 19.5% 10.8% 15.9% 1.3% 2.6% 16.0M -241.3M -1.2M 0.38 80.38 N/A N/A 612 230 23,862 14,478 2024-12-24 $239.05 $230.00 14.4% 4.1% 19.5% 1.7% 15.6% 1.4% 3.4% 17.2M -249.7M -1.2M 0.91 83.02 N/A N/A 162 148 23,995 14,569 2024-12-26 $239.13 $230.00 14.0% 4.0% 17.7% 0.0% 13.6% 0.9% 3.3% 17.9M -255.6M -1.1M 0.03 74.91 N/A N/A 57,111 1,837 23,987 14,561 2024-12-27 $232.87 $240.00 17.6% 5.0% 19.7% 25.1% 17.5% 2.3% 1.2% 9.6M -158.7M -1.2M 1.00 82.44 N/A N/A 2,073 2,072 23,578 16,107 2024-12-30 $232.07 $230.00 17.9% 5.1% 19.7% 27.7% 18.5% 3.0% 1.5% 8.2M -171.8M -1.2M 0.21 78.07 N/A N/A 2,012 416 23,083 15,593 2024-12-31 $232.24 $230.00 17.9% 5.1% 19.3% 27.4% 17.6% 2.3% 1.4% 9.2M -194.9M -1.3M 0.34 80.39 N/A N/A 331 111 24,394 15,720
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