CME Options History — January 2020 In January 2020, CME traded between $201.93 and $218.41. ATM implied volatility averaged 18.8%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 3.5% (HV 20d: 15.3%). Max pain ranged from $200.00 to $210.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.20.
Notable Days 2020-01-23 : Highest Volume — 8,348 contracts2020-01-13 : Largest IV spike — 8.2% change2020-01-31 : Highest IV Rank — 50.1%2020-01-31 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $208.04 $201.93 $218.41 $201.93 $216.62 Max Pain $203.57 $200.00 $210.00 $200.00 $210.00 ATM IV 18.8% 17.2% 21.3% 17.5% 21.3% Expected Move 5.5% 4.9% 6.3% 5.0% 6.3% HV 20d 15.3% 12.6% 17.3% 15.5% 14.7% HV 60d 16.3% 14.6% 17.6% 17.1% 14.6% IV Rank 28.0% 13.4% 50.1% 15.6% 50.1% IV Percentile 40.1% 10.7% 80.2% 13.9% 80.2% Term Structure 0.5% -0.9% 2.6% 0.5% -0.0% VWIV 19.4% 17.8% 22.1% 17.8% 22.1% Skew 25d 3.0% 2.6% 3.4% 2.6% 3.4% Skew 10d 6.0% 4.9% 7.1% 5.4% 6.7% Call IV 25d 17.7% 15.5% 20.0% 16.5% 20.0% Put IV 25d 20.7% 18.4% 23.5% 19.1% 23.5% Bid-Ask Spread % 40.63 24.00 58.69 28.54 42.50 Gamma HHI 0.16 0.10 0.64 0.15 0.10 Net GEX 9.8M 4.2M 41.9M 6.7M 8.9M Net DEX -81.3M -175.4M -32.0M -32.0M -151.9M Net VEX -954.1K -1.2M -833.8K -833.8K -1.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.20 0.22 8.71 0.61 1.37 Total Volume 3,381.762 1,405 8,348 1,431 6,325 Total OI 46,660.476 36,404 52,455 45,514 52,455
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 2020-01-02 $201.93 $200.00 17.5% 5.0% 15.5% 15.6% 17.8% 2.6% 0.5% 6.7M -32.0M -833.8K 0.61 28.54 N/A N/A 887 544 19,927 25,587 2020-01-03 $204.69 $200.00 17.8% 5.2% 16.2% 18.3% 18.6% 2.9% 0.2% 41.9M -69.0M -847.2K 0.50 33.54 N/A N/A 2,159 1,072 20,257 25,775 2020-01-06 $204.86 $200.00 17.8% 5.8% 15.6% 18.6% 19.6% 2.9% 1.8% 7.6M -64.6M -876.8K 1.06 57.36 N/A N/A 1,015 1,076 19,439 25,254 2020-01-07 $205.19 $200.00 17.8% 5.3% 15.5% 18.9% 19.1% 2.9% 2.0% 8.3M -69.3M -878.4K 1.58 58.69 N/A N/A 659 1,040 19,941 26,021 2020-01-08 $206.24 $200.00 17.6% 5.2% 15.4% 17.3% 19.0% 2.6% 1.8% 9.4M -78.6M -902.1K 1.11 57.16 N/A N/A 1,469 1,633 20,173 26,881 2020-01-09 $208.51 $200.00 17.2% 5.3% 15.9% 13.4% 18.4% 2.9% 2.4% 11.4M -106.2M -913.3K 0.45 56.12 N/A N/A 3,554 1,603 20,282 27,574 2020-01-10 $204.90 $200.00 17.6% 5.7% 17.1% 17.4% 18.9% 2.9% 2.6% 12.0M -58.6M -897.5K 0.59 55.87 N/A N/A 1,062 625 21,460 28,026 2020-01-13 $203.83 $200.00 19.1% 5.8% 17.1% 30.2% 19.8% 3.3% 0.4% 4.2M -41.0M -876.1K 0.22 44.38 N/A N/A 2,177 486 20,347 26,968 2020-01-14 $203.35 $200.00 19.4% 5.6% 17.0% 33.2% 18.4% 3.0% -0.2% 5.3M -43.6M -866.3K 0.37 30.56 N/A N/A 1,024 381 20,964 27,196 2020-01-15 $204.75 $200.00 19.3% 5.6% 17.0% 32.2% 18.2% 2.9% 0.1% 7.2M -58.2M -863.0K 0.64 30.25 N/A N/A 1,231 791 21,308 27,222 2020-01-16 $206.82 $200.00 18.0% 5.0% 17.3% 20.5% 18.2% 3.1% -0.7% 11.8M -85.2M -841.2K 0.31 54.93 N/A N/A 2,227 691 21,493 27,269 2020-01-17 $206.83 $200.00 17.8% 4.9% 15.7% 19.4% 17.8% 2.8% -0.9% 10.4M -89.7M -883.2K 1.37 52.89 N/A N/A 2,789 3,833 22,480 27,573 2020-01-21 $206.79 $200.00 18.9% 5.4% 13.8% 29.2% 19.0% 2.7% -0.2% 6.2M -53.4M -952.3K 1.16 24.00 N/A N/A 1,747 2,030 16,472 19,932 2020-01-22 $207.18 $207.50 18.8% 5.4% 13.7% 28.1% 18.7% 2.6% -0.3% 6.6M -54.9M -997.5K 2.25 25.46 N/A N/A 829 1,867 17,267 21,402 2020-01-23 $208.38 $207.50 19.6% 5.6% 13.8% 34.9% 19.4% 3.3% -0.6% 8.0M -66.9M -1.0M 8.71 30.11 N/A N/A 860 7,488 17,545 23,051 2020-01-24 $209.09 $210.00 19.6% 5.6% 13.8% 34.9% 20.0% 3.4% -0.3% 6.9M -75.9M -1.1M 0.50 24.93 N/A N/A 1,432 714 18,021 30,305 2020-01-27 $213.62 $210.00 20.6% 6.0% 14.7% 44.6% 21.2% 3.4% 0.1% 6.8M -107.3M -1.1M 0.50 31.77 N/A N/A 2,913 1,446 16,865 29,500 2020-01-28 $213.10 $210.00 19.8% 5.8% 14.7% 36.8% 20.2% 2.7% 0.5% 7.5M -105.5M -1.1M 1.04 32.81 N/A N/A 1,512 1,575 17,655 30,375 2020-01-29 $213.79 $210.00 19.6% 5.7% 12.6% 35.0% 21.0% 2.6% 0.3% 9.2M -120.9M -1.0M 0.43 44.62 N/A N/A 1,322 568 18,353 31,191 2020-01-30 $218.41 $210.00 20.1% 5.8% 14.1% 39.6% 20.9% 3.0% 0.1% 9.1M -175.4M -1.1M 0.51 36.81 N/A N/A 2,889 1,472 18,728 31,336 2020-01-31 $216.62 $210.00 21.3% 6.3% 14.7% 50.1% 22.1% 3.4% -0.0% 8.9M -151.9M -1.2M 1.37 42.50 N/A N/A 2,671 3,654 19,970 32,485
« Dec 2019 | All History | Feb 2020 » Home CME History January 2020