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CMECME Group Inc.

Options Analysis Report•SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES
Market Cap $102.8B|NASDAQ
● 2026-08-31$285.80
NEUTRAL
Analysis: 2026-08-28 EOD data
1Y +7.7%YTD +6.0%7D +2.4%
3,716
30D
±6.5%
8%

CME Options Overview

IV is low. No clear edge detected.

REWARDS

RISK ANALYSIS

5.9VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Favorable conditions for option buyers

Learn
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CME Gamma Walls

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Value

Is IV priced right?

8.3
ExpensiveCheap

Measures whether options are cheap, fair, or rich relative to historical and peer

levels.

Risk Checks7/9 checks passed
≤35%

IV Rank 15.7% — cheap vs history

<1.05x

IV/HV 1.21x — IV premium over HV

Sector Relative≤50%

Sector percentile 24% — below sector median

<1.1x

Front/Back 0.85x — contango

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 22.7% — normal range

<80%

Effective IV 62.3% (ATM 22.7% + spread 19.8% + bias) — good value

<3.0%

Total drag 25.27% (spread 19.79% + slippage 5.48%) — high friction

≥5.0

Vega efficiency 15.86 (vega 31.395 / spread 19.79%) — efficient

Sentiment

Bullish or bearish?

5.6
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksNeutral - Weak signal (Conviction: -6%, Raw: -3%)
|net sentiment| ≥25%

Conviction-weighted: -6% (neutral) — Raw: -3%

≥15%

|OI skew| 0.7% — balanced

Same sign, |vol skew| ≥10%

Vol skew +21.2%, OI skew -0.7% — divergent (opposite)

≥2/3 conditions

0-DTE 0%, far-OTM 15%, avg DTE 30

|change| ≥3%

OI change +0.0% (5d) — stable

|weighted flow| ≥20%

ITM: -54%, ATM: +25%, OTM: -4% — bearish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 51% — neutral vs sector

Activity

Unusual activity?

4.8
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks2/8 checks passed
≥1.5x

Volume 1.2x avg — normal

≥15%

Vol/OI 6.5% — normal turnover

≥2 days

1 day(s) elevated — may be one-day event

≥5%

OI change +10.9% (5d) — building

Sector Relative≥60%

Sector activity percentile 82% — very active vs sector

≥30%

Large trade volume 25% — mixed

≥60%

Aggressive execution 12% — patient

≥30

Conviction -6 (bearish) — mixed

Liquidity

Can I trade efficiently?

3.6
IlliquidLiquid

Evaluates

, volume depth, and open interest for trade execution quality.

Risk Checks3/8 checks passed
≤5.0%

Spread 19.8% — wide

≥10,000

OI 57,339 — deep

≥500

Volume 3,716/day — adequate

≤$0.50

$0.99 to cross — expensive

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 25% — tighter than sector

≥100 contracts

Depth 43.1 contracts (bid:23.5 ask:19.6) — thin

<1.0%

Avg slippage 5.48% — poor

Timing

Is now a good time?

7.0
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

Risk Checks7/9 checks passed
|slope| ≥5%

Slope -14.7% — contango

<30 or >70

IV percentile 16% — buyer opportunity

≥10pts kink

IV kink -2.0pts — no clear event

<0.5 or >2.0

θ/ν ratio 255.66 — favors income trades

≥3 expirations

5 liquid expirations — flexible

≥60% (safe)

safe window: No events detected

<1.2 ratio

Spread ratio 1.00x — stable

≥25% strength + ≥50% consistency

Flow -6% @ 53% consistency — unclear

≥40 composite score

Score 55 (ITM 20% + inst 25%) — moderate institutional

Directional Strategy Fit

Option Buyers
Long Calls6.5
bullishIV cheap, mixed flow
Long Puts6.1
bearishIV cheap, mixed flow
Premium Sellers
Cash-Secured Put4.2
bullishIV too cheap, mixed flow
Covered Call3.8
bearishIV too cheap, mixed flow

For educational purposes only. Not investment advice.

The Options Desk tracks the move options price into every US earnings report the week of Aug 31, next to how much each stock has actually moved on its past prints — plus the SPY, QQQ and IWM expected ranges and the gamma walls that box them in.

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