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CME Group Inc. Class A Common Stock CME

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Market dataready · fetched 2026-11-07T01:40:33.859Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-13

Calculation methodology

Options historyIV: ThetaData historical Greeks, equal-weight mean of call/put 50-delta IV across the next four listed Friday-cycle expirations, including holiday shifts verified against ThetaData’s market calendar. Missing inputs leave gaps. Skew: equal-weight mean of put minus call IV across those four expirations. IV-implied move history: mean of each expiration’s average call/put IV multiplied by the square root of remaining calendar days divided by 365.25; percentage of spot, not a quoted straddle premium.

History data

PriceAlpaca · sip · 2026-11-06T21:11:30.523810795Z

FundamentalsSEC EDGAR · ready · as of 2026-09-30 · fetched 2026-11-07T01:40:33.389849+00:00

Share price$306.20
1D-1.5%
AH$303$305$307$309$3125:30 AM6:30 AM9:00 AM1:00 PM2:00 PMCME
Sold putSold callAH

CME Group Inc. Class A Common Stock options

Live interpolated CME call and put midpoint premiums by absolute delta.CME Group Inc. Class A Common Stock$1.15$3.97$6.79$9.61$12.43$279.85$292.58$305.32$318.05$330.7920Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive CME spot · $306.20CME PRICE$1.45$1.88$1.98$2.64$3.30$3.96$4.65$5.37$6.23$7.18$8.38$9.65$11.51$1.79$2.02$2.44$2.98$3.46$3.95$4.60$5.36$6.32$7.29$8.29$9.68$11.62
PutsCheap0.55×
CallsCheap0.60×
SkewBearish+0.28 pp
Implied moveBalanced±$9.25
TiltBalanced1.2% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ317.9330.8%4.3%293.8836.9%4.6%
25Δ315.5330.3%3.7%297.8731.2%3.4%
30Δ312.0924.6%2.6%300.1529.6%2.8%
35Δ310.9126.4%2.4%301.9229.1%2.4%
40Δ309.6627.8%2.2%303.6128.0%2.0%
45Δ308.1628.0%1.9%305.2126.8%1.6%
50Δ306.6628.0%1.7%306.6226.4%1.4%
55Δ305.1727.9%1.4%308.0726.4%1.1%
60Δ303.6627.8%1.2%309.5726.9%1.0%
65Δ302.1027.9%1.0%311.0826.8%0.8%
70Δ300.3928.4%0.8%312.6226.6%0.6%
75Δ298.6228.3%0.7%314.4426.8%0.5%
80Δ296.3229.3%0.5%316.7727.7%0.3%

20Δ

Calls
Pseudo strike
317.93
IV
30.8%
B/E move
4.3%
Puts
Pseudo strike
293.88
IV
36.9%
B/E move
4.6%

25Δ

Calls
Pseudo strike
315.53
IV
30.3%
B/E move
3.7%
Puts
Pseudo strike
297.87
IV
31.2%
B/E move
3.4%

30Δ

Calls
Pseudo strike
312.09
IV
24.6%
B/E move
2.6%
Puts
Pseudo strike
300.15
IV
29.6%
B/E move
2.8%

35Δ

Calls
Pseudo strike
310.91
IV
26.4%
B/E move
2.4%
Puts
Pseudo strike
301.92
IV
29.1%
B/E move
2.4%

40Δ

Calls
Pseudo strike
309.66
IV
27.8%
B/E move
2.2%
Puts
Pseudo strike
303.61
IV
28.0%
B/E move
2.0%

45Δ

Calls
Pseudo strike
308.16
IV
28.0%
B/E move
1.9%
Puts
Pseudo strike
305.21
IV
26.8%
B/E move
1.6%

50Δ

Calls
Pseudo strike
306.66
IV
28.0%
B/E move
1.7%
Puts
Pseudo strike
306.62
IV
26.4%
B/E move
1.4%

55Δ

Calls
Pseudo strike
305.17
IV
27.9%
B/E move
1.4%
Puts
Pseudo strike
308.07
IV
26.4%
B/E move
1.1%

60Δ

Calls
Pseudo strike
303.66
IV
27.8%
B/E move
1.2%
Puts
Pseudo strike
309.57
IV
26.9%
B/E move
1.0%

65Δ

Calls
Pseudo strike
302.10
IV
27.9%
B/E move
1.0%
Puts
Pseudo strike
311.08
IV
26.8%
B/E move
0.8%

70Δ

Calls
Pseudo strike
300.39
IV
28.4%
B/E move
0.8%
Puts
Pseudo strike
312.62
IV
26.6%
B/E move
0.6%

75Δ

Calls
Pseudo strike
298.62
IV
28.3%
B/E move
0.7%
Puts
Pseudo strike
314.44
IV
26.8%
B/E move
0.5%

80Δ

Calls
Pseudo strike
296.32
IV
29.3%
B/E move
0.5%
Puts
Pseudo strike
316.77
IV
27.7%
B/E move
0.3%

Options history

IV · four-Friday blend27.77%
Daily close
CME21.6%28.1%34.6%2026-08-10: 26.71%2026-08-11: 25.01%2026-08-12: 22.69%2026-08-13: 24.40%2026-08-14: 23.03%2026-08-17: 25.66%2026-08-18: 26.18%2026-08-19: 31.13%2026-08-20: 29.97%2026-08-21: 24.65%2026-08-24: 25.41%2026-08-25: 25.49%2026-08-26: 25.04%2026-08-27: 25.07%2026-08-28: 22.50%2026-08-31: 24.05%2026-09-01: 24.55%2026-09-02: 26.64%2026-09-03: 27.09%2026-09-04: 23.24%2026-09-08: 26.38%2026-09-09: 25.47%2026-09-10: 25.72%2026-09-11: 23.56%2026-09-14: 24.84%2026-09-15: 26.06%2026-09-16: 26.45%2026-09-17: 25.51%2026-09-18: 22.80%2026-09-21: 24.26%2026-09-22: 24.79%2026-09-23: 25.85%2026-09-24: 28.89%2026-09-25: 25.81%2026-09-28: 27.37%2026-09-29: 28.01%2026-09-30: 29.50%2026-10-01: 27.21%2026-10-02: 26.64%2026-10-05: 28.78%2026-10-06: 28.99%2026-10-07: 28.46%2026-10-08: 30.55%2026-10-09: 28.36%2026-10-12: 32.05%2026-10-13: 30.99%2026-10-14: 32.35%2026-10-15: 31.22%2026-10-16: 30.81%2026-10-19: 33.52%2026-10-20: 33.68%2026-10-21: 26.80%2026-10-22: 28.95%2026-10-23: 25.83%2026-10-26: 26.78%2026-10-27: 27.09%2026-10-28: 28.63%2026-10-29: 28.49%2026-10-30: 27.77%Aug 10Sep 21Oct 30
59 observations2026-08-10 — 2026-10-30
Table
DateIV (%)
26.71%
25.01%
22.69%
24.40%
23.03%
25.66%
26.18%
31.13%
29.97%
24.65%
25.41%
25.49%
25.04%
25.07%
22.50%
24.05%
24.55%
26.64%
27.09%
23.24%
26.38%
25.47%
25.72%
23.56%
24.84%
26.06%
26.45%
25.51%
22.80%
24.26%
24.79%
25.85%
28.89%
25.81%
27.37%
28.01%
29.50%
27.21%
26.64%
28.78%
28.99%
28.46%
30.55%
28.36%
32.05%
30.99%
32.35%
31.22%
30.81%
33.52%
33.68%
26.80%
28.95%
25.83%
26.78%
27.09%
28.63%
28.49%
27.77%