CME·CME Group Inc.

Realized volatility (21d)

22.7% 72nd pct

Below its peak

-15.7%

vs 200-day average

-1.0%

Up days (1y)

55%

CME Group Inc. is currently running 22.7% annualised volatility over the last 21 sessions. Measured against CME's own 13 years of daily returns rather than a market-wide average, that is the 72nd percentile — a little above its own norm, against a typical reading of 18.9%. The distinction matters because a number that looks calm for one stock is turbulent for another, and the absolute figure on its own tells you neither.

CME is trading -15.7% below its running peak. Across 12 full years on file, its median worst-drawdown-in-a-year was -13.1%, and the deepest was -37.6% in 2020. The current drawdown is already deeper than this stock's typical annual low point, which puts it in the part of its range where past recoveries began — and where past declines also continued.

Price sits -1.0% from its 200-day moving average. Against every other day in its history, that gap ranks at the 22nd percentile — a narrower gap than it typically runs. Over the past year CME closed higher on 55% of sessions, and it is currently 1 session into a rising streak.

On September specifically: over 13 years of records, CME finished the month higher 5 of 13 times, with a median return of -2.9% and an average of -1.0%. Its strongest month historically has been November at +5.7% on average, its weakest March at -3.0%. Seasonality is a weak signal on its own — a decade is a small sample and regimes change — but it is a real distribution rather than a rule of thumb.

Overnight risk is measurable too: CME has opened more than 2% away from the prior close in 72 of 3,267 sessions (2.2% of the time), with the largest gaps running +4.9% and -7.8%. For anyone holding through an event, that rate is a better guide to overnight exposure than the intraday range.

Across the last 3 dated reports on file, CME moved an average of 0.9% in the session after earnings, closing higher 3 of those 3 times, with a median move of +1.2% and a largest of +1.6%.

All figures computed from 3,268 daily closes between 2013-09-20 and 2026-09-18, split-adjusted, recomputed daily. Percentiles are against CME's own 13-year history, not a peer group or index.