CME Options History — February 2020 In February 2020, CME traded between $196.67 and $220.54. ATM implied volatility averaged 23.8%, placing in the 56.9% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 4.0% (HV 20d: 19.8%). Max pain ranged from $200.00 to $210.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.69.
Notable Days 2020-02-26 : Highest Volume — 11,216 contracts2020-02-28 : Largest IV spike — 48.4% change2020-02-26 : Highest IV Rank — 100.0%2020-02-28 : Largest Expected Move — 15.1%Monthly Statistics Metric Avg Min Max Open Close Price $211.12 $196.67 $220.54 $214.39 $196.67 Max Pain $205.26 $200.00 $210.00 $210.00 $210.00 ATM IV 23.8% 17.9% 50.4% 21.9% 50.4% Expected Move 6.9% 5.1% 15.1% 6.5% 15.1% HV 20d 19.8% 14.5% 40.3% 14.9% 40.3% HV 60d 16.7% 14.7% 26.5% 14.9% 26.5% IV Rank 56.9% 19.7% 100.0% 55.6% 100.0% IV Percentile 75.5% 21.8% 100.0% 85.7% 100.0% Term Structure -0.8% -6.5% 0.6% 0.6% -6.5% VWIV 24.3% 17.4% 53.5% 23.2% 53.5% Skew 25d 3.7% 2.7% 5.2% 4.3% 2.7% Skew 10d 7.4% 5.1% 18.4% 8.1% 18.4% Call IV 25d 22.4% 16.7% 49.1% 20.4% 49.1% Put IV 25d 26.1% 20.1% 51.9% 24.7% 51.9% Bid-Ask Spread % 43.59 31.59 56.30 44.55 45.79 Gamma HHI 0.08 0.06 0.14 0.08 0.06 Net GEX 3.1M -5.1M 11.9M 4.9M -2.2M Net DEX -55.3M -190.1M 92.8M -98.7M 92.8M Net VEX -1.2M -1.8M -1.1M -1.1M -1.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.69 0.18 1.29 1.11 1.29 Total Volume 3,891.789 1,423 11,216 2,045 6,155 Total OI 57,288.368 52,905 64,821 53,905 64,821
Daily Data (19 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 2020-02-03 $214.39 $210.00 21.9% 6.5% 14.9% 55.6% 23.2% 4.3% 0.6% 4.9M -98.7M -1.1M 1.11 44.55 N/A N/A 970 1,075 19,783 34,122 2020-02-04 $216.24 $210.00 22.0% 6.6% 15.1% 56.9% 22.7% 3.3% -0.3% 4.9M -114.7M -1.1M 1.23 42.42 N/A N/A 1,106 1,365 19,900 34,654 2020-02-05 $213.04 $210.00 22.6% 6.7% 16.3% 61.7% 23.6% 3.9% -0.3% 3.6M -70.9M -1.2M 0.51 44.17 N/A N/A 1,269 649 20,181 34,762 2020-02-06 $212.52 $200.00 22.3% 6.3% 16.4% 59.1% 22.0% 4.0% -0.5% 4.6M -71.9M -1.1M 0.69 56.04 N/A N/A 925 636 20,494 34,763 2020-02-07 $213.62 $200.00 22.4% 6.4% 16.0% 60.3% 22.5% 3.8% -0.3% 3.3M -82.0M -1.2M 0.35 56.30 N/A N/A 1,057 366 20,534 34,905 2020-02-10 $213.44 $200.00 22.3% 6.4% 14.5% 59.3% 21.8% 4.1% 0.1% 3.4M -75.6M -1.1M 1.06 47.86 N/A N/A 997 1,054 19,034 33,871 2020-02-11 $212.11 $200.00 21.5% 6.2% 14.6% 51.8% 20.5% 3.8% 0.2% 2.0M -58.3M -1.1M 0.92 55.21 N/A N/A 1,884 1,740 19,271 34,513 2020-02-12 $207.53 $200.00 19.2% 5.2% 16.8% 31.4% 18.9% 3.6% -1.0% -5.1M 4.5M -1.1M 1.22 45.45 N/A N/A 3,495 4,268 20,417 35,833 2020-02-13 $208.31 $200.00 19.3% 5.4% 16.7% 32.3% 19.3% 3.5% -0.8% -3.5M -15.0M -1.1M 1.00 35.57 N/A N/A 1,704 1,711 21,413 37,105 2020-02-14 $212.65 $200.00 17.9% 5.1% 17.8% 19.7% 17.4% 3.4% -0.2% 9.2M -88.4M -1.1M 0.55 31.59 N/A N/A 1,885 1,042 21,726 37,988 2020-02-18 $213.72 $200.00 19.0% 5.4% 17.9% 29.8% 19.4% 3.9% -0.6% 6.2M -88.6M -1.1M 0.82 35.91 N/A N/A 1,750 1,433 19,975 35,417 2020-02-19 $208.38 $200.00 18.6% 5.3% 20.3% 26.3% 19.0% 2.9% -0.2% 633.5K -16.2M -1.1M 0.38 41.10 N/A N/A 1,818 697 20,657 36,281 2020-02-20 $208.50 $210.00 19.2% 5.5% 20.3% 31.2% 20.2% 3.6% 0.2% 243.8K -13.0M -1.2M 0.31 33.98 N/A N/A 2,137 671 21,254 36,572 2020-02-21 $209.15 $210.00 21.0% 6.1% 20.2% 47.5% 21.4% 3.5% -0.6% 3.6M -25.2M -1.2M 0.32 44.86 N/A N/A 2,232 714 22,470 36,785 2020-02-24 $209.46 $210.00 22.8% 6.7% 20.2% 63.4% 22.2% 4.1% -0.2% 2.4M -35.6M -1.2M 0.18 39.32 N/A N/A 3,767 682 20,428 35,160 2020-02-25 $208.35 $210.00 26.2% 7.7% 18.6% 94.1% 27.3% 4.1% -0.7% 2.6M -29.5M -1.3M 0.53 36.11 N/A N/A 3,663 1,934 22,377 35,531 2020-02-26 $220.54 $210.00 29.3% 8.6% 27.8% 100.0% 30.6% 2.8% -1.2% 11.9M -190.1M -1.4M 0.18 41.50 N/A N/A 9,520 1,696 24,844 36,941 2020-02-27 $212.57 $210.00 34.0% 10.3% 30.9% 100.0% 35.9% 5.2% -2.6% 6.6M -75.4M -1.6M 0.52 50.56 N/A N/A 3,857 2,020 26,072 37,625 2020-02-28 $196.67 $210.00 50.4% 15.1% 40.3% 100.0% 53.5% 2.7% -6.5% -2.2M 92.8M -1.8M 1.29 45.79 N/A N/A 2,682 3,473 26,522 38,299
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